The object of study of this paper is the Brazilian inflationary dynamics after the implementation of the Real Plan in 1994. We use quantile autoregressive models and unit root tests derived from quantile autoregressive representations to characterize such dynamics. It is shown that the inflationary dynamics is not uniform across different conditional quantiles. In particular, the overall dynamics is stationary, even though the time series behavior of the process at the upper tail of the conditional distribution proves to be far from stationary.
