This paper examines the influence of food inflation on core inflation in Brazil by employing a VAR model with time-varying parameters and stochastic volatility. The estimation is conducted through Bayesian simulation spanning the period from January 1999 to February 2023. In light of the recent upswing in commodity prices and the inflationary repercussions of the pandemic, a thorough evaluation of the impact of food prices on core inflation becomes imperative. The results uncover a notable degree of uncertainty during the pandemic era. Furthermore, the study identifies a significant and statistically meaningful impact of food inflation on core inflation, especially in the recent period. Given that food inflation poses a big challenge, especially for Central Banks in emerging economies, these findings carry important implications for policymakers.
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