Measuring core inflation as the common trend of prices
Autor(a) principal: | |
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Data de Publicação: | 2000 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/12193 |
Resumo: | In recent years, many central banks have adopted inflation targeting policies starting an intense debate about which measure of inflation to adopt. The literature on core inflation has tried to develop indicators of inflation which would respond only to 'significant' changes in inflation. This paper defines a measure of core inflation as the common trend of prices in a multivariate dynamic model, that has, by construction, three properties: it filters idiosyncratic and transitory macro noises, and it leads the future leveI of headline inflation. We also show that the popular trimmed mean estimator of core inflation could be regarded as a proxy for the ideal GLS estimator for heteroskedastic data. We employ an asymmetric trimmed mean estimator to take account of possible skewness of the distribution, and we obtain an unconditional measure of core inflation. |
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Fiorencio, AntonioEscolas::EPGEFGV2014-10-23T11:01:29Z2014-10-23T11:01:29Z2000-10-26http://hdl.handle.net/10438/12193In recent years, many central banks have adopted inflation targeting policies starting an intense debate about which measure of inflation to adopt. The literature on core inflation has tried to develop indicators of inflation which would respond only to 'significant' changes in inflation. This paper defines a measure of core inflation as the common trend of prices in a multivariate dynamic model, that has, by construction, three properties: it filters idiosyncratic and transitory macro noises, and it leads the future leveI of headline inflation. We also show that the popular trimmed mean estimator of core inflation could be regarded as a proxy for the ideal GLS estimator for heteroskedastic data. We employ an asymmetric trimmed mean estimator to take account of possible skewness of the distribution, and we obtain an unconditional measure of core inflation.engEscola de Pós-Graduação em Economia da FGVSeminários de pesquisa econômica da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessMeasuring core inflation as the common trend of pricesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaInflaçãoIndexação (Economia)reponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL000304442.pdf000304442.pdfapplication/pdf969039https://repositorio.fgv.br/bitstreams/6188db9f-a4e7-4cd2-b4c8-1863f3bd1456/download4499cce7c8f7e66ca9f4aac68807bfc0MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/b9fcf416-8a2d-4ca3-97c0-0e75d52867a0/downloaddfb340242cced38a6cca06c627998fa1MD52TEXT000304442.pdf.txt000304442.pdf.txtExtracted 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dc.title.eng.fl_str_mv |
Measuring core inflation as the common trend of prices |
title |
Measuring core inflation as the common trend of prices |
spellingShingle |
Measuring core inflation as the common trend of prices Fiorencio, Antonio Economia Inflação Indexação (Economia) |
title_short |
Measuring core inflation as the common trend of prices |
title_full |
Measuring core inflation as the common trend of prices |
title_fullStr |
Measuring core inflation as the common trend of prices |
title_full_unstemmed |
Measuring core inflation as the common trend of prices |
title_sort |
Measuring core inflation as the common trend of prices |
author |
Fiorencio, Antonio |
author_facet |
Fiorencio, Antonio |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Fiorencio, Antonio |
dc.subject.area.por.fl_str_mv |
Economia |
topic |
Economia Inflação Indexação (Economia) |
dc.subject.bibliodata.por.fl_str_mv |
Inflação Indexação (Economia) |
description |
In recent years, many central banks have adopted inflation targeting policies starting an intense debate about which measure of inflation to adopt. The literature on core inflation has tried to develop indicators of inflation which would respond only to 'significant' changes in inflation. This paper defines a measure of core inflation as the common trend of prices in a multivariate dynamic model, that has, by construction, three properties: it filters idiosyncratic and transitory macro noises, and it leads the future leveI of headline inflation. We also show that the popular trimmed mean estimator of core inflation could be regarded as a proxy for the ideal GLS estimator for heteroskedastic data. We employ an asymmetric trimmed mean estimator to take account of possible skewness of the distribution, and we obtain an unconditional measure of core inflation. |
publishDate |
2000 |
dc.date.issued.fl_str_mv |
2000-10-26 |
dc.date.accessioned.fl_str_mv |
2014-10-23T11:01:29Z |
dc.date.available.fl_str_mv |
2014-10-23T11:01:29Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
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info:eu-repo/semantics/article |
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article |
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http://hdl.handle.net/10438/12193 |
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http://hdl.handle.net/10438/12193 |
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eng |
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eng |
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Seminários de pesquisa econômica da EPGE |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
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