Persistência estrutural da inflação brasileira em regime de bolhas fiscais

MARQUES, André de Mattos

doi:10.1590/1980-53575614amm

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Research article • Estud. Econ. 56 (01) • Jan-Mar 2026 • https://doi.org/10.1590/1980-53575614amm linkcopiar

Persistência estrutural da inflação brasileira em regime de bolhas fiscais

Autoria SCIMAGO INSTITUTIONS RANKINGS

Estimamos uma curva de Phillips híbrida permitindo mudanças ocasionais no coeficiente da inflação passada e no coeficiente da expectativa de inflação, em que as mudanças nos coeficientes estão associadas ao comportamento explosivo e formação de bolhas de dívida pública. Para dados mensais de janeiro de 2002 a novembro de 2023, utilizando o IPCA como medida de inflação, constatamos que a ocorrência de bolhas de dívida pública eleva significativamente o coeficiente da inflação passada, implicando maior perda de produto e menor eficácia da política monetária para atingir a meta de inflação. Constatamos uma subestimação do coeficiente da inflação passada. Em particular, observamos que o coeficiente da inflação passada varia entre 0,24 e 0,77 na literatura padrão, entretanto, tendo-se em conta o comportamento explosivo da dívida pública, o coeficiente aumenta significativamente para 0,99: a condição fiscal explica parcialmente a dinâmica da inflação, caracterizada pela persistência e o nível de inflação. Na ausência de bolhas de dívida pública a inércia é significativamente menor, contribuindo favoravelmente para o alcance das metas de inflação com menor perda de produto e ganhos de credibilidade. Empregamos métodos que são robustos à presença de (múltiplos) instrumentos fracos e heterocedasticidade. Não há indícios de instabilidade nos coeficientes nem erros de especificação. Empregamos pré-testes formais para quebras estruturais e estacionariedade, aspectos frequentemente negligenciados na literatura.

Palavras-chave:
Curva de Phillips; Inflação; Inércia; Bolha de dívida pública; Política fiscal

Variable	Perron-Yabu structural break test	Kim-Perron/ADF unit root test
1. Monthly IPCA inflation rate (%)	0.7028	-4.8159**
2. 12-month ahead inflation expectations	12.7331** ( $\hat{T B} = 2010 : 10$ )	-3.1736*
3. Output gap	49.5172** ( $\hat{T B} = 2014 : 10$ )	-4.2461**

Start	End
2008-03-01	2008-05-01
2008-08-01	2009-01-01
2016-03-01	2016-05-01
2016-06-01	2018-05-01
2018-10-01	2018-11-01
2019-01-01	2019-02-01
2020-11-01	2021-01-01
2015-09-01	2015-10-01
2015-12-01	2016-01-01
2016-03-01	2016-04-01
2016-12-01	2018-10-01
2020-06-01	2020-07-01
2020-09-01	2021-04-01

	$\hat{γ_{b}}$	$\hat{γ_{u}}$	$\hat{γ_{f}}$	$\hat{γ_{g}}$	$\hat{λ}$	$γ_{b} + γ_{f} = 1$	$γ_{b} + γ_{u} + γ_{f} + γ_{g} = 1$
Eq. (2) GMM	0.749**	---	0.024**	---	0.048**	8.1e+06	---
	(0.0001)	---	(0.0000)	---	(0.0001)	[0.0000]	---
Hansen’s J-statistic	[0.9432]	---	---	---	---	---	---
Eq. (2) HLIM	0.606**	---	0.037**	---	-0.0191	50.30	---
	(0.0561)	---	(0.0069)	---	(0.3930)	[0.0000]	---
Chao’s J-statistic	[0.1516]	---	---	---	---	---	---
Kleibergen and Paap rk statistic	41.242	---	---	---	---	---	---
Hausman $χ^{2}$ test statistic	[0.0000]	---	---	---	---	---	---
IV RESET test	[0.9816]	---	---	---	---	---	---
supWald test statistic	[0.4946]	---	---	---	---	---	---
Eq. (3) GMM (Debt/GDP)	0.598**	1.257**	0.044**	-0.122**	-0.357**	143.64	9.62
	(0.0332)	(0.2683)	(0.0039)	(0.0246)	(0.1183)	[0.0000]	[0.0019]
Hansen’s J-statistic	[0.5334]	---	---	---	---	---	---
Eq. (3) HLIM (Debt/GDP)	0.566**	0.757**	0.043**	-0.073**	-0.345	62.50	2.65
	(0.0552)	(0.1952)	(0.0070)	(0.0194)	(0.4135)	[0.0000]	[0.1047]
Chao’s J-statistic	[0.3454]	---	---	---	---	---	---
Kleibergen and Paap rk statistic	34.877	---	---	---	---	---	---
Hausman $χ^{2}$ test statistic	[0.0000]	---	---	---	---	---	---
IV RESET test	[0.9498]	---	---	---	---	---	---
supWald test statistic	[0.8680]	---	---	---	---	---	---
Eq. (3) GMM (Gross Debt/GDP)	0.667**	0.706**	0.032**	-0.064**	-0.164**	6480.44	2986.51
	(0.0043)	(0.0043)	(0.0006)	(0.0013)	(0.0117)	[0.0000]	[0.0000]
Hansen’s J-statistic	[0.8991]	---	---	---	---	---	---
Eq. (3) HLIM (Gross Debt/GDP)	0.565**	0.798**	0.041**	-0.073**	-0.210	67.70	6.30
	(0.0534)	(0.1449)	(0.0067)	(0.0204)	(0.4006)	[0.0000]	[0.0127]
Chao’s J-statistic	[0.2882]	---	---	---	---	---	---
Kleibergen and Paap rk statistic	36.006	---	---	---	---	---	---
Hausman $χ^{2}$ test statistic	[0.0000]	---	---	---	---	---	---
IV RESET test	[0.7571]	---	---	---	---	---	---
supWald test statistic	[0.3576]	---	---	---	---	---	---

	$\hat{γ_{b}}$	$\hat{γ_{u}}$	$\hat{γ_{f}}$	$\hat{γ_{g}}$	$\hat{λ}$	$γ_{b} + γ_{f} = 1$	$γ_{b} + γ_{u} + γ_{f} = 1$
Eq. (3A) GMM (Debt/GDP)	0.749**	0.016**	0.024**		0.056**	6.0e+06	4.5e+05
	(0.0001)	(0.0002)	(0.0000)
Hansen’s J-statistic	[0.9202]	---	---	---	---	---	---
Eq. (3A) HLIM (Debt/GDP)	0.609**	0.157**	0.036**	---	0.050	49.98	2.31
	(0.0560)	(0.1208)	(0.0069)	---	(0.3998)	[0.0000]	[0.1302]
Chao’s J-statistic	[0.1741]	---	---	---	---	---	---
Kleibergen and Paap rk statistic	36.006	---	---	---	---	---	---
Hausman $χ^{2}$ test statistic	[0.0000]	---	---	---	---	---	---
IV RESET test	[0.8385]	---	---	---	---	---	---
supWald test statistic	[0.1726]	---	---	---	---	---	---
CLR test statistic	[0.0000]	---	---	---	---	---	---
Eq. (3A) GMM (Gross Debt/GDP)	0.716**	0.322**	0.024**	---	0.218**	1.6e+05	9223.39
	(0.0007)	(0.0009)	(0.0001)	---	(0.0017)	[0.0000]	[0.0000]
Hansen’s J-statistic	[0.9398]	---	---	---	---	---	---
Eq. (3A) HLIM (Gross Debt/GDP)	0.595**	0.392**	0.041**	---	0.193	57.53	0.05
	(0.0543)	(0.0924)	(0.0067)	---	(0.3804)	[0.0000]	[0.8291]
Chao’s J-statistic	[0.2785]	---	---	---	---	---	---
Kleibergen and Paap rk statistic	41.246	---	---	---	---	---	---
Hausman $χ^{2}$ test statistic	[0.0000]	---	---	---	---	---	---
IV RESET test	[0.7549]	---	---	---	---	---	---
supWald test statistic	[0.1345]	---	---	---	---	---	---
CLR test statistic	[0.0000]	---	---	---	---	---	---

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[TFN1] Notes: (**), (*) denote statistical significance at the 5% and 10% levels, respectively. We apply model I of Perron and Yabu (2009), which tests a change in the series level for the actual inflation series, the 12-month ahead inflation expectations, and the output gap for the Perron-Yabu test. The null hypothesis of the Perron-Yabu test is that the series has no structural break. The reported test statistic uses a trimming percentage of 0.15. The critical values at the 5% and 10% levels are 1.74 and 1.26 for the Perron-Yabu test statistic (Perron and Yabu, 2009, Table 1), respectively. The null hypothesis for the Kim-Perron unit root test is that the series has a unit root. The critical values at the 5% and 10% levels for the Kim-Perron unit root test are -4.24 and -3.96 (Perron, 1989, Table VI.B), respectively. The null hypothesis for the ADF unit root test is that the series has a unit root. The critical values for the ADF unit root test at the 5% and 10% levels are -3.41 and -3.12 (Banerjee et al., 1993, Table 4.2), respectively.