Welfare cost of inflation in Brazil: an approach with time-varying cointegration and Kalman filter
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...
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| Format: | Article |
| Language: | Portuguese |
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Universidade de São Paulo
2020-05-01
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| Series: | Economia Aplicada |
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| Online Access: | http://www.revistas.usp.br/ecoa/article/view/141132 |
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doaj-bd7f3874599f4b7cb482869b8ad617302020-11-25T03:43:20ZporUniversidade de São PauloEconomia Aplicada1413-80501980-53302020-05-0123110.11606/1980-5330/ea141132Welfare cost of inflation in Brazil: an approach with time-varying cointegration and Kalman filterEduardo Lima CamposRubens Penha Cysne 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%. http://www.revistas.usp.br/ecoa/article/view/141132welfare cost of inflationmoney demandcointegrationKalman filter |
| collection |
DOAJ |
| language |
Portuguese |
| format |
Article |
| sources |
DOAJ |
| author |
Eduardo Lima Campos Rubens Penha Cysne |
| spellingShingle |
Eduardo Lima Campos Rubens Penha Cysne Welfare cost of inflation in Brazil: an approach with time-varying cointegration and Kalman filter Economia Aplicada welfare cost of inflation money demand cointegration Kalman filter |
| author_facet |
Eduardo Lima Campos Rubens Penha Cysne |
| author_sort |
Eduardo Lima Campos |
| title |
Welfare cost of inflation in Brazil: an approach with time-varying cointegration and Kalman filter |
| title_short |
Welfare cost of inflation in Brazil: an approach with time-varying cointegration and Kalman filter |
| title_full |
Welfare cost of inflation in Brazil: an approach with time-varying cointegration and Kalman filter |
| title_fullStr |
Welfare cost of inflation in Brazil: an approach with time-varying cointegration and Kalman filter |
| title_full_unstemmed |
Welfare cost of inflation in Brazil: an approach with time-varying cointegration and Kalman filter |
| title_sort |
welfare cost of inflation in brazil: an approach with time-varying cointegration and kalman filter |
| publisher |
Universidade de São Paulo |
| series |
Economia Aplicada |
| issn |
1413-8050 1980-5330 |
| publishDate |
2020-05-01 |
| description |
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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| topic |
welfare cost of inflation money demand cointegration Kalman filter |
| url |
http://www.revistas.usp.br/ecoa/article/view/141132 |
| work_keys_str_mv |
AT eduardolimacampos welfarecostofinflationinbrazilanapproachwithtimevaryingcointegrationandkalmanfilter AT rubenspenhacysne welfarecostofinflationinbrazilanapproachwithtimevaryingcointegrationandkalmanfilter |
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1724520602424836096 |