Has core inflation been doing a good job in Brazil?
AbstractThis paper assesses the performance of the core inflation measures calculated by the Brazilian Central Bank (BCB). The evidence shows that they do not meet some key statistical criteria that a good core inflation should have: unbiasedness and the ability to forecast inflation. That performance stems, to a large extent, from the lack of a well-grounded statistical and economical basis behind them. Three new measures are built and assessed using the same criteria. The evidence shows that their behaviour is more in accordance to what the theory claims. However, they still lack the ability to help forecasting inflation. Hence both the BCB and the market should use core inflation cautiously.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 23340.
Date of creation: Dec 2009
Date of revision:
Core inflation; inflation; supply shocks; relative prices; volatility;
Other versions of this item:
- Tito Nícias Teixeira da Silva Filho & Francisco Marcos Rodrigues Figueiredo, 2011. "Has Core Inflation Been Doing a Good Job in Brazil?," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 65(2), pages 207-233, June.
- C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-06-26 (All new papers)
- NEP-CBA-2010-06-26 (Central Banking)
- NEP-MON-2010-06-26 (Monetary Economics)
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