Avaliação do desempenho de indicadores de incerteza inflacionária no contexto da economia brasileira

Abstract

The present work sought to verify the performance of a set of indicators in terms of their adequacy as an empirical measure of the empirical measure of inflationary uncertainty for Brazil, considering the period from January 2003 to June 2022. Indicators built with GARCH, Marcov Switching, Dispersion of expectations, BACEN Credibility and Inflation Fan models were used. For this, three evaluative criteria were considered: (1) the positive correlation of the proxy with the levels of inflation and its expectations that were tested by the temporal correlation of the indicators with the variables; (2) the countercyclical behavior of the proxy over time, with a test of averages in peak and trough periods of the business cycle; (3) the impact of proxies on macro indicators, GDP, inflation and their expectations measured by the impulse response functions generated by the VAR model. The results show that the credibility indicator was the proxy with the best performance according to the established criteria, demonstrating a positive correlation with inflation and its expectations, peaks in recessive moments and impacting the selected macroeconomic variables as expected.