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Triple-Filter core inflation: a measure of the inflation trajectory

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  • Ferreira, Pedro Costa
  • Mattos, Daiane Marcolino de
  • Ardeo, Vagner Laerte

Abstract

In countries with high inflation, as is the case of Brazil, the traditional cores inflation do not seem to deliver much information about the general level of prices. Therefore, we present a new measure, the Triple-Filter core inflation, which filters inflation in three ways: trimmed mean with smoothed items, seasonal adjustment and moving averages. The results allow us to say that the Triple-Filter core inflation, in addition to providing more information about the inflation trajectory than traditional core inflation, provides a more up-to-date view on the state of inflation than the accumulated inflation over 12 months.

Suggested Citation

  • Ferreira, Pedro Costa & Mattos, Daiane Marcolino de & Ardeo, Vagner Laerte, 2017. "Triple-Filter core inflation: a measure of the inflation trajectory," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 71(4), December.
    • Handle: RePEc:fgv:epgrbe:v:71:y:2017:i:4:a:64704
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    References listed on IDEAS

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    1. James H. Stock & Mark W. Watson, 2016. "Core Inflation and Trend Inflation," The Review of Economics and Statistics, MIT Press, vol. 98(4), pages 770-784, October.
    2. da Silva Filho, Tito Nícias Teixeira & Figueiredo, Francisco Marcos Rodrigues, 2011. "Has Core Inflation Been Doing a Good Job in Brazil?," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 65(2), June.
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    4. Bradley, Michael D. & Jansen, Dennis W. & Sinclair, Tara M., 2015. "How Well Does “Core” Inflation Capture Permanent Price Changes?," Macroeconomic Dynamics, Cambridge University Press, vol. 19(4), pages 791-815, June.
    5. repec:fgv:epgrbe:v:65:n:2:a:5 is not listed on IDEAS
    6. Tito Nícias Teixeira da Silva Filho & Francisco Marcos Rodrigues Figueiredo, 2014. "Revisitando as Medidas de Núcleo de Inflação do Banco Central do Brasil," Working Papers Series 356, Central Bank of Brazil, Research Department.
    7. Mark A. Wynne, 2008. "Core inflation: a review of some conceptual issues," Review, Federal Reserve Bank of St. Louis, vol. 90(May), pages 205-228.
    8. Cogley, Timothy, 2002. "A Simple Adaptive Measure of Core Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(1), pages 94-113, February.
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    Cited by:

    1. Vicente da Gama Machado & Raquel Nadal & Fernando Ryu Ramos Kawaoka, 2020. "A Data-Rich Measure of Underlying Inflation for Brazil," Working Papers Series 516, Central Bank of Brazil, Research Department.

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