A Influência do Preço dos Hortifrutícolas no IPCA: uma análise por meio da curva de Phillips

Supply shocks have frequently been related to the behavior of inflation. Those shocks are in general measured by changes in commodity prices (minerals, oil, agricultural commodities, etc.). The objective of this paper is to examine the influence of supply shocks caused by changes in prices of horticultural products (perishable with short cycles) exert in the Brazilian inflation. Although not quite studied academically, this process has popularly been associated with important variations on the IPCA index. To deal with this process, a Phillips curve, following New Keynesians principles, based on the semi structural model of small size by the Brazilian Central Bank and the estimation method used was Auto regression with Vector Error Correction (VEC) in its structural version. The results show that there is evidence that the prices of horticultural products may have a considerable participation in the IPCA and inflation expectations variations and their shocks produce effects that persist for several months in the trajectory of these two variables.

供给冲击常与通胀的运行态势密切相关，此类冲击通常以大宗商品（涵盖矿产、原油、农产品等）的价格变动作为核心衡量指标。本文旨在探究短周期易腐的园艺产品价格变动引发的供给冲击，对巴西通胀产生的影响。尽管该领域尚未得到充分的学术研究，但实务界普遍认为此类变动与巴西消费者物价指数（IPCA）的显著波动存在关联。为此，本文基于巴西中央银行构建的小型半结构模型，遵循新凯恩斯主义框架构建菲利普斯曲线，并采用结构性向量误差修正模型（Vector Error Correction, VEC）进行估计。研究结果显示，园艺产品价格对IPCA及通胀预期波动具有显著贡献，且此类冲击会在这两个变量的运行轨迹中持续数月之久。