An Early Warning Test for the Brazilian Inflation-Targeting Regime During the COVID-19 Pandemic
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Revista Brasileira de Economia (Online) |
Texto Completo: | https://periodicos.fgv.br/rbe/article/view/88834 |
Resumo: | We estimate in this paper a mixed causal noncausal model for Brazilian inflation year-over-year (YoY) and ask the question of whether it could serve as an early-warning system for the Brazilian Central Bank during the COVID-19 pandemic era. We focus on forecasting inflation, and the probability of staying within the bounds of the Inflation-Targeting Regime during the Covid-19 pandemic and its aftermath – namely, the sample from January 2020 to December 2022. We estimate a high probability thatBrazilian inflation will leave the tolerance bounds of the Inflation-Targeting System in March 2021, using information up to February 2021. This is one month in advance compared to the Consensus of experts in the Focus database. For point forecasts we show that the mixed causal noncausal MAR(1,1) model has a significant improvement for 1 and 3-months ahead horizons compared to the forecast of these experts. This is an interesting finding, since our model only requires the estimation of a linear model with leads and lags under non-Gaussian disturbances. Although simple to estimate, it has the important feature of being a forward-looking model. |
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An Early Warning Test for the Brazilian Inflation-Targeting Regime During the COVID-19 PandemicAn Early Warning Test for the Brazilian Inflation-Targeting Regime: An Application to the COVID-19 PandemicMAR modelinflation targetingblaWe estimate in this paper a mixed causal noncausal model for Brazilian inflation year-over-year (YoY) and ask the question of whether it could serve as an early-warning system for the Brazilian Central Bank during the COVID-19 pandemic era. We focus on forecasting inflation, and the probability of staying within the bounds of the Inflation-Targeting Regime during the Covid-19 pandemic and its aftermath – namely, the sample from January 2020 to December 2022. We estimate a high probability thatBrazilian inflation will leave the tolerance bounds of the Inflation-Targeting System in March 2021, using information up to February 2021. This is one month in advance compared to the Consensus of experts in the Focus database. For point forecasts we show that the mixed causal noncausal MAR(1,1) model has a significant improvement for 1 and 3-months ahead horizons compared to the forecast of these experts. This is an interesting finding, since our model only requires the estimation of a linear model with leads and lags under non-Gaussian disturbances. Although simple to estimate, it has the important feature of being a forward-looking model. Estimamos neste artigo um modelo causal não causal misto para a inflação brasileira ano a ano (YoY) e questionamos se ele poderia servir como um sistema de alerta antecipado para o Banco Central do Brasil durante a era da pandemia do COVID-19. Nosso foco é prever a inflação e a probabilidade de permanecer dentro dos limites do Regime de Metas de Inflação durante a pandemia de Covid-19 e suas consequências – ou seja, a amostra de janeiro de 2020 a dezembro de 2022. Estimamos uma alta probabilidade de que A inflação brasileira sairá dos limites de tolerância do Sistema de Metas de Inflação em março de 2021, usando informações até fevereiro de 2021. Isso é um mês de antecedência em relação ao Consenso de especialistas na base de dados Focus. Para previsões pontuais, mostramos que o modelo MAR(1,1) causal misto misto apresenta uma melhora significativa para os horizontes de 1 e 3 meses à frente em comparação com a previsão desses especialistas. Esta é uma descoberta interessante, uma vez que nosso modelo requer apenas a estimação de um modelo linear com avanços e atrasos sob perturbações não gaussianas. Embora simples de estimar, tem a importante característica de ser um modelo voltado para o futuro.EGV EPGE2023-12-14info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticlestextoArtigosapplication/pdfhttps://periodicos.fgv.br/rbe/article/view/88834Revista Brasileira de Economia; Vol. 77 No. 4 (2023): OUT -DEZRevista Brasileira de Economia; v. 77 n. 4 (2023): OUT -DEZ1806-91340034-7140reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGVporhttps://periodicos.fgv.br/rbe/article/view/88834/84981PDFCopyright (c) 2023 Revista Brasileira de Economiainfo:eu-repo/semantics/openAccessIssler, VictorHecq, AlainVoisin, Elisa2023-12-19T17:34:42Zoai:ojs.periodicos.fgv.br:article/88834Revistahttps://periodicos.fgv.br/rbe/https://periodicos.fgv.br/rbe/oai||rbe@fgv.br1806-91340034-7140opendoar:2024-03-06T13:03:54.633575Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)true |
dc.title.none.fl_str_mv |
An Early Warning Test for the Brazilian Inflation-Targeting Regime During the COVID-19 Pandemic An Early Warning Test for the Brazilian Inflation-Targeting Regime: An Application to the COVID-19 Pandemic |
title |
An Early Warning Test for the Brazilian Inflation-Targeting Regime During the COVID-19 Pandemic |
spellingShingle |
An Early Warning Test for the Brazilian Inflation-Targeting Regime During the COVID-19 Pandemic Issler, Victor MAR model inflation targeting bla |
title_short |
An Early Warning Test for the Brazilian Inflation-Targeting Regime During the COVID-19 Pandemic |
title_full |
An Early Warning Test for the Brazilian Inflation-Targeting Regime During the COVID-19 Pandemic |
title_fullStr |
An Early Warning Test for the Brazilian Inflation-Targeting Regime During the COVID-19 Pandemic |
title_full_unstemmed |
An Early Warning Test for the Brazilian Inflation-Targeting Regime During the COVID-19 Pandemic |
title_sort |
An Early Warning Test for the Brazilian Inflation-Targeting Regime During the COVID-19 Pandemic |
author |
Issler, Victor |
author_facet |
Issler, Victor Hecq, Alain Voisin, Elisa |
author_role |
author |
author2 |
Hecq, Alain Voisin, Elisa |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Issler, Victor Hecq, Alain Voisin, Elisa |
dc.subject.por.fl_str_mv |
MAR model inflation targeting bla |
topic |
MAR model inflation targeting bla |
description |
We estimate in this paper a mixed causal noncausal model for Brazilian inflation year-over-year (YoY) and ask the question of whether it could serve as an early-warning system for the Brazilian Central Bank during the COVID-19 pandemic era. We focus on forecasting inflation, and the probability of staying within the bounds of the Inflation-Targeting Regime during the Covid-19 pandemic and its aftermath – namely, the sample from January 2020 to December 2022. We estimate a high probability thatBrazilian inflation will leave the tolerance bounds of the Inflation-Targeting System in March 2021, using information up to February 2021. This is one month in advance compared to the Consensus of experts in the Focus database. For point forecasts we show that the mixed causal noncausal MAR(1,1) model has a significant improvement for 1 and 3-months ahead horizons compared to the forecast of these experts. This is an interesting finding, since our model only requires the estimation of a linear model with leads and lags under non-Gaussian disturbances. Although simple to estimate, it has the important feature of being a forward-looking model. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-12-14 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Articles texto Artigos |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://periodicos.fgv.br/rbe/article/view/88834 |
url |
https://periodicos.fgv.br/rbe/article/view/88834 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://periodicos.fgv.br/rbe/article/view/88834/84981 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2023 Revista Brasileira de Economia info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2023 Revista Brasileira de Economia |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.coverage.none.fl_str_mv |
PDF |
dc.publisher.none.fl_str_mv |
EGV EPGE |
publisher.none.fl_str_mv |
EGV EPGE |
dc.source.none.fl_str_mv |
Revista Brasileira de Economia; Vol. 77 No. 4 (2023): OUT -DEZ Revista Brasileira de Economia; v. 77 n. 4 (2023): OUT -DEZ 1806-9134 0034-7140 reponame:Revista Brasileira de Economia (Online) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Revista Brasileira de Economia (Online) |
collection |
Revista Brasileira de Economia (Online) |
repository.name.fl_str_mv |
Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
||rbe@fgv.br |
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1798943115794448384 |