Uma medida de NAIRU para o Brasil utilizando a PNAD contínua

Abstract

The Non-Accelerating Inflation Rate of Unemployment – NAIRU – is defined as the level of unemployment that does not affect the behavior of inflation, therefore, the NAIRU is an unobservable variable whose usefulness, among others, lies in monitoring and forecasting inflation (Gordon, 1997; Grant, 2000). Then, the objective of this work was to present a NAIRU for the Brazilian economy using the quarterly series of PNAD Contínua unemployment rate from the first quarter of 2012 to the third quarter of 2023. Established as the trend of the unemployment rate, four models were employed to measure the NAIRU: unobserved components, HP filter, Singular Spectrum Analysis (SSA); Multivariate Singular Spectrum Analysis (MSSA). Considering all models, the average NAIRU for the entire sample period was 10.5%, where, except for the HP filter, the variable evolved closed to the series – which resulted in periodic unemployment gap. Furthermore, the measurement evaluations showed that the trends that evolved closed to the unemployment series better indicated the behavior of the IPCA accumulated in the quarter, while the smoothed NAIRUs corresponded better to the IPCA accumulated in four quarters. Among the models used, the SSA was the only capable of providing adequate NAIRUs for both inflation horizons, demonstrating the capacity of the nonparametric method for analyzing economic series.