Core inflationrobust common trend model forecasting

Resumo

The monetary authorities need a future measure of in°ation trend to keep on tracking the in°ation on target. Many alternatives of the core in°ation measure have appeared in the recent literature pretending to avoid the de¯ciencies of the usual headline in°ation index as a predictor. This price index is de¯ned as some weighted average of the individual price change of a list of goods and services. To use it as the future in°ation indicator is criticized in the literature, as far as the products are heterogeneous in respect to the variability and some of the involved prices have relevant seasonal movements. A multivariate model including simultaneously the seasonal e®ects of each component of the price index and a common trend - the core in°ation - will be developed in this paper. The model will be phrased as a dynamic model and a robust sequential ¯lter will be introduced. The posterior and predictive distributions of the quantities of interest will be evaluated via stochastic simulation techniques, MCMC - Monte Carlo Markov Chain. Di®erent models will be compared using the minimum posterior predictive loss approach and many graphical illustrations will be presented.

Ficha do documento

Tipo

Estudo

Ano

2015

Instituição

Instituto de Pesquisa Econômica Aplicada (Ipea)

Fonte

Repositório do Ipea

Idioma

Inglês

Acesso

Acesso aberto

Identificador

oai:repositorio.ipea.gov.br:11058/4986

Licença

Licença Comum

Temas

Economia

Palavras-chave

Tendência da inflaçãoNúcleo da inflaçãoInflação futuraÍndice de preçosVariância preditiva