Desemprego e inflação na economia brasileira: uma abordagem pela curva de Phillips

Abstract

This monograph aims to analyze the relationship between the inflation rate and the unemployment rate in Brazil, using the New Keynesian Phillips Curve as a theoretical reference. The study period covers the first quarter of 2012 to the third quarter of 2023, with the application of a Vector Autoregressive (VAR) econometric model. Data obtained from the Brazilian Institute of Geography and Statistics (IBGE) was used, including the variables of inflation rate (IPCA), inflation expectations (based on the Focus bulletin), unemployment rate (PNAD), and exchange rate shocks (calculated based on exchange rates). The main results confirm the initial hypothesis. The analysis of the Impulse Response Function (IRF) indicated that shocks to unemployment have an immediate and significant negative impact on inflation, with a reduction in the first period (-0.4189). However, this response is reversed in the second period, with a significant increase in inflation (0.2645), and the effect dissipates over subsequent periods, suggesting that the impact is transitory and loses strength over time. This behavior is aligned with the hypothesis that the negative relationship between unemployment and inflation exists in the short term but adjusts rapidly over time. Exchange rate shocks, on the other hand, did not show a consistent impact on inflation, with confidence intervals indicating weak and statistically insignificant effects. Additionally, the response of inflation to shocks in inflation expectations was also weak and without statistical significance, suggesting little influence of expectations on the short-term dynamics of inflation. Inflation itself showed significant autocorrelation in the short term, with shocks generating an initial positive response, followed by a correction in subsequent periods, suggesting that inflation adjusts rapidly after initial shocks, without significant inflationary persistence in the long term.