Title: Weak dependence between the Brazilian consumer inflation and expected inflation: non-linear and Copulas methods and a note on the Central Bank's credibility

Authors: Ricardo Ramalhete Moreira; Chukiat Chaiboonsri; Prasert Chaitip

Addresses: Department of Economics, Espirito Santo Federal University, Vitória, Espírito Santo, Brazil ' Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand ' Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

Abstract: By implementing the Copulas method, this work analyses the dependence relationship or structure between the Brazilian consumer observed inflation and the expected inflation, from January 2005 to June 2011. Its results are consistent with some works for the Brazilian case, as the dependence structure measures showed that there exists a weak relationship between those variables, thereby confirming the hypothesis of high credibility for the Brazilian monetary policy under the inflation targeting period.

Keywords: inflation targeting; Copulas; expected inflation; credibility; weak dependence; Brazil; consumer inflation; nonlinear methods; Central Bank credibility; dependence relationship; monetary policy.

DOI: 10.1504/IJMEF.2013.055701

International Journal of Monetary Economics and Finance, 2013 Vol.6 No.1, pp.40 - 54

Received: 29 Nov 2012
Accepted: 08 Mar 2013
Published online: 05 Aug 2013 *

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