Dynamics of persistence in Brazilian economic uncertainty, expectation, and confidence indexes

This study examines the persistence dynamics in Brazilian economic uncertainty, confidence, and expectation indexes, in both business and consumer sides of the economy. Using rolling window estimations of the fractional integration parameter, we assess how economic turbulence influences the persistence of these indexes. We find that economic uncertainty in Brazil is non-stationary but mean-reverting, with its persistence only transitorily affected by economic and political crises. Interestingly, confidence and expectation indexes displayed hysteretic behavior, with multiple persistence regimes linked to crises. These results may be informative for policymakers about the perceptions of the public and businessmen to economic shocks and crises. •Economic uncertainty was non-stationary with mean-reverting properties.•Confidence and expectations showed hysteretic behavior.•Persistence in structural changes had opposite signals for businessmen and consumers.•Indicative of post-crisis loss of economic expectations benchmark.•Multiple persistence regimes linked to economic and political crises.