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FGV/IBRE

FGV/IBRE. Core Inflation Estimators for the Brazilian Economy Jack Schechtman Rebecca Barros Core Inflation and Price Index Harmonization Seminar held at Central Bank of Brazil Rio de Janeiro, 07-08 June 2001. Starting Point. Jevons (1865) - Generalized Inflation. Main Objective.

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FGV/IBRE

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  1. FGV/IBRE Core Inflation Estimators for the Brazilian Economy Jack Schechtman Rebecca Barros Core Inflation and Price Index Harmonization Seminar held at Central Bank of Brazil Rio de Janeiro, 07-08 June 2001

  2. Starting Point • Jevons (1865) - Generalized Inflation

  3. Main Objective • To extract information from individual price changes in order to detect a generalized movement of prices

  4. Relative Price Adjustment and Cross Section Distribution • Cross Section Distribution • High Degree of Kurtosis (Non-normal distribution) • Arithmetic Mean looses efficiency as a central measure estimator • Menu Cost • Market Imperfections • Asymmetric Information • Expectations

  5. Our Approach • The traditional methodology of trimmed means (Bryan, Ceccheti, Winggins and Roger) with the following additional considerations: • Individual price changes may carry information about the generalized movement of prices • There must be a special treatment for prices that are adjusted once a year or a few times per year - e.g. administered prices, etc

  6. Our Approach

  7. Measure of Core Inflation

  8. NEW RESEARCH ON MEASURING CORE INFLATION -INFORMATION CORE -

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