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Applying the daily inflation to forecast the Broad Consumer Price Index (IPCA)

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TEXTO PARA DISCUSSÃO (1.078Mb)
Date
2015-06-01
Author
Ferreira, Pedro Cavalcanti
Carneiro, Juliana
Braz, André
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Abstract
Since 2006, the Getulio Vargas Foundation (FGV) calculates a daily version of the Broad Consumer Price Index (IPCA), the official inflation index, calculated under the responsibility of the IBGE, the federal statistics agency in Brazil. Ardeo et. al. (2013) showed the importance of this indicator and how this daily information can be useful to a country that had high level of inflation. Despite the fact that this measure is a fair antecedent variable for inflation, due to some peculiarities concerning the collection period, the initial daily rating may not anticipate some effects, such as seasonal factors and the increase in prices controlled by the Brazilian Government. Hence, by taking into account the Monitor´s daily time series, this paper intends to forecast the IPCA for the first six days of data collection. The results showed up that the proposal technic improved the IPCA forecast in the beginning of data collection.
URI
http://hdl.handle.net/10438/13871
Collections
  • FGV IBRE - Textos para discussão [59]
Knowledge Areas
Economia
Subject
Inflação - Brasil
Keyword
Daily inflation
Monitor
Time series
SARIMA
IPCA

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