Matheus Fellipe de Oliveira Santos, Rafael Morais de Souza, Wilson Luiz Rotatori Corrêa
{"title":"用奇异谱分析估算巴西核心通货膨胀率","authors":"Matheus Fellipe de Oliveira Santos, Rafael Morais de Souza, Wilson Luiz Rotatori Corrêa","doi":"10.1016/j.cbrev.2024.100177","DOIUrl":null,"url":null,"abstract":"<div><p>This paper presents a set of new core inflation measures for Brazil based on the Singular Spectrum Analysis (SSA) method. The measures are based on the official target used in the Brazilian inflation targeting regime. The period of analysis ranges from the beginning of the inflation targeting regime in 1999 and 2021. The SSA measures were compared to the inflation core ones used by the Central Bank of Brazil, through the evaluation of unbiasedness, short-term adjustment dynamics and predictive ability. The measures estimated by SSA meet the desired properties and have a greater predictive capacity than the other inflation cores.</p></div>","PeriodicalId":43998,"journal":{"name":"Central Bank Review","volume":null,"pages":null},"PeriodicalIF":2.0000,"publicationDate":"2024-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1303070124000313/pdfft?md5=ae7d0598c63e0d8da569ae0721709004&pid=1-s2.0-S1303070124000313-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Singular spectrum analysis to estimate core inflation in Brazil\",\"authors\":\"Matheus Fellipe de Oliveira Santos, Rafael Morais de Souza, Wilson Luiz Rotatori Corrêa\",\"doi\":\"10.1016/j.cbrev.2024.100177\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This paper presents a set of new core inflation measures for Brazil based on the Singular Spectrum Analysis (SSA) method. The measures are based on the official target used in the Brazilian inflation targeting regime. The period of analysis ranges from the beginning of the inflation targeting regime in 1999 and 2021. The SSA measures were compared to the inflation core ones used by the Central Bank of Brazil, through the evaluation of unbiasedness, short-term adjustment dynamics and predictive ability. The measures estimated by SSA meet the desired properties and have a greater predictive capacity than the other inflation cores.</p></div>\",\"PeriodicalId\":43998,\"journal\":{\"name\":\"Central Bank Review\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.0000,\"publicationDate\":\"2024-09-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S1303070124000313/pdfft?md5=ae7d0598c63e0d8da569ae0721709004&pid=1-s2.0-S1303070124000313-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Central Bank Review\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1303070124000313\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Central Bank Review","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1303070124000313","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
Singular spectrum analysis to estimate core inflation in Brazil
This paper presents a set of new core inflation measures for Brazil based on the Singular Spectrum Analysis (SSA) method. The measures are based on the official target used in the Brazilian inflation targeting regime. The period of analysis ranges from the beginning of the inflation targeting regime in 1999 and 2021. The SSA measures were compared to the inflation core ones used by the Central Bank of Brazil, through the evaluation of unbiasedness, short-term adjustment dynamics and predictive ability. The measures estimated by SSA meet the desired properties and have a greater predictive capacity than the other inflation cores.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
