Welfare cost of inflation in Brazil: an approach with time-varying cointegration and Kalman filter

Q4 Economics, Econometrics and Finance

Economia Aplicada Pub Date : 2018-08-01 DOI:10.11606/1980-5330/EA141132

Eduardo Lima Campos, R. Cysne

引用次数: 1

Abstract

This paper compares the time-varying cointegration and the Kalman filter techniques to estimate the Brazilian money demand between 1996 and 2015. The estimation using Kalman filtering performs better and is subsequently used to calculate the welfare cost of inflation. Taking into consideration the time variability of the interest-rate elasticity during the period, the average welfare cost amounts to 0.24% of the GDP, for an average annual inflation of 6.63%.

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巴西通货膨胀的福利成本：一种基于时变协整和卡尔曼滤波器的方法

本文比较了时变协整和卡尔曼滤波技术对1996 - 2015年巴西货币需求的估计。使用卡尔曼滤波的估计效果更好，并随后用于计算通货膨胀的福利成本。考虑到这一时期利率弹性的时间变异性，平均福利成本相当于GDP的0.24%，平均年通货膨胀率为6.63%。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economia Aplicada Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

0.30

自引率

0.00%

发文量

审稿时长

100 weeks

期刊介绍： The journal Economia Aplicada (Brazilian Journal of Applied Economics) is a quarterly publication of the Dept. of Economics of the Faculty of Economics, Business and Accounting of the University of São Paulo at Ribeirão Preto (FEA-RP/USP). It was first published in 1997 by the Dept. of Economics of FEA-USP and by FIPE, with the primary concern of filling an editorial gap in Brazil. The Journal"s interest is to publish solely scientific papers on applied economics. Nowadays it has the same goal. Its focus is to publish papers with economic analysis applied to specific problems of interest either to public or private sector, especially with quantitative results bringing theory and reality closer.