Inflation Dynamics in the ABC (Argentina, Brazil and Chile) countries

Córdoba

Congreso; 50 Jornadas Internacionales de Finanzas Públicas; 2017

Facultad de Ciencias Económicas, Universidad Nacional de Córdoba

This research estimates the dynamics of theheadline or specific-component inflation and its persistence in Argentina, Brazil and Chileby autoregressive moving average models.Headline and specific-component inflation exhibit different behaviourwithin a country as well as between countries. In the case of Argentina, three samples were considered (1995-2006, 2007 ? 2016 and 1995-2016) and our results show that the inertial inflation in Argentina increased after 2006.Our results show that: a) the headline inflation response to an exogenous shock disappears after 40, 63 and 23 months in Argentina (full sample case), Brazil and Chile, b) the adjustment process after an exogenous shock hits an economy ranges between i) 4 and 70 months in Chile, ii) 10 and 80 months in Brazil; and iii), for Argentina, between 2 and 68 months for the sample 1995 and 2006 and 6 to 2400 months for the period 2007 -2016.