AN ANALYSIS OF THE PREDICTABILITY OF BRAZILIAN INFLATION INDEXES BY INFORMATION THEORY QUANTIFIERS

Leonardo H. S. Fernandes (), Fernando H. A. de Araujo and Jos㉠W. L. Silva ()
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Leonardo H. S. Fernandes: Department of Economics and Informatics, Federal Rural University of Pernambuco, Avenue Gregório Ferraz Nogueira, S/N – José Tomé de Souza Ramos, 569090-535 Serra Talhada, PE, Brazil
Fernando H. A. de Araujo: ��Federal Institute of Education, Science and Technology of Paraíba, Campus Patos, PB. Acesso Rodovia PB 110, S/N Alto Tubiba – CEP
Jos㉠W. L. Silva: ��Department of Statistics and Informatics, Federal Rural University of Pernambuco, Rua Dom Manuel de Medeiros, S/N Dois Irmãos – CEP

FRACTALS (fractals), 2022, vol. 30, issue 04, 1-9

Abstract: This research explores the predictability of the Brazilian inflation monthly price indexes time series by information theory quantifiers. Given this, we apply the Bandt and Pompe method to estimate the information theory quantifiers, specifically the Permutation entropy (Hs) and the Fisher information measure (Fs). Based on the values of both complexity measures, we construct the 2D plane called the Shannon-Fisher causality plane, which allows us to explore the disorder and quantify the randomness inherent to the temporal evolution of the significant Brazilian inflation indexes. Also, we apply Hs and Fs to rank the Brazilian inflation indexes based on the complexity hierarchy. An overview shows that the Brazilian inflation indexes display lower entropy which implies in higher predictability. The sliding window approach reveals that Brazilian inflation indexes (IPA, IPCA, IGP, IPC, and INPC) present decrease related to efficiency. The only exception is the INCC, which shows an increase in efficiency.

Keywords: Brazilian Inflation Indexes; Permutation Entropy; Fisher Information Measure; Shannon-Fisher Causality Plane; Sliding Window (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1142/S0218348X22500979

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