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| Diego Ferreira, Andreza A Palma, Ana C Kreter and José Ronaldo Castro Souza jr |
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| ''The impact of food inflation on core inflation in Brazil: a time-varying parameter approach'' |
| ( 2025, Vol. 45 No.1 ) |
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| TThis paper investigates the impact of food inflation on core inflation in Brazil using a time-varying parameter vector autoregression model with stochastic volatility (TVP-VAR-SV). Employing Bayesian methods, we estimate the model using monthly data from August 1999 to January 2023. Our findings reveal a substantial increase in the volatility of the relationship between food and core inflation during the COVID-19 pandemic. We find a statistically significant pass-through from food inflation to core inflation. Food inflation represents a substantial challenge, especially for Central Banks in emerging economies, and these findings carry important implications for monetary policy formulation and implementation. |
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| Keywords: food inflation, core inflation, time-varying models, bayesian econometrics, stochastic volatility |
JEL: E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit: General
C5 - Econometric Modeling: General |
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| Manuscript Received : Nov 27 2023 | | Manuscript Accepted : Mar 30 2025 |
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