Medidas de Núcleo de Inflação para o Brasil baseadas no Método Wavelets?

Nelson Silva

No 528, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This work presents core inflation measures in which transitory shocks are mitigated by the application of wavelet techniques. The Brazilian monthly IPCA (Broad Consumer Price Index) data used in constructing these core measures begins in December 1997 and ends in March 2019. The estimates are submitted to the traditional tests like absence of bias, trend representation, and predictive power, for example. The results show that the estimated wavelet-based core measures meet several criteria established in the literature. The disadvantage is that these core measures are periodically revised. The adjustment of the traditional cores by wavelet, alternatively, tends to improve their performance in relation to the proposed criteria, and to minimize revisions.

Date: 2020-07
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