Since 2006, FGV’s Brazilian Institute of Economics (IBRE) has calculated 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 show that the proposal technic improved the IPCA forecast in the beginning of data collection.
Variations or irregular rise of consumer price index worldwide of which Ghana is no exception has affected many businesses in the country. However, the obvious indicator of an inflationary situation is rising prices of consumer goods. On the basis of the above, the researchers decided to do a trend analysis on consumer price indices obtained from the Ghana Statistical Service to serve as a guide to the business community in Ghana. The main objective of the analysis is to determine the overall pattern in the data and to subsequently fit an appropriate trend for forecasting future values. The main statistical technique used in this work is time series analysis. Based on the trend analysis carried out, the study revealed that, there was general upward trend in the CPIs in Ghana, collaborating an earlier research conducted by Ampofo. However, the shapes of graphs of the CPIs, showed a slight difference. Finally, forecast values or predictions for the CPIs were made for the year 2008.
An overview of economic growth in US during q 3 of 2018. Overview includes data on: Economic Projections of the Federal Reserve Board, Employment Growth, Employment Growth by Industry, Employment Growth by Metropolitan Area, Consumer Price Index, Corporate Profits an Compensation of Employees, etc.
May 2015 - Getting productivity back on trackFGV Brazil
Brazil’s growth will not resume without policies to make Brazilian business more productive. The end of the first quarter was marked by the realization that tight monetary and fiscal policies may take time to correct the economy’s imbalances and that high inflation and low growth may last longer than hoped.
The Brazilian Economy is one of the oldest publications for expert economic analysis of both the Brazilian and international economies. Through this publication, FGV’s Brazilian Institute of Economics and Finance (FGV/IBRE) compares different periods of the economy, assessing both macroeconomic considerations and scenarios related to finance, administration, marketing, management, insurance, statistics, and price indices.
For more information, and Brazilian economic index results, visit: http://bit.ly/1EA1Loz
Economic Environment and Performance of Food and Beverage Sub-Sector of a Dev...paperpublications3
Abstract: This paper examines the implications of economic environment on the performance of food and beverage sub-sector of Nigeria. The economic environment is an embodiment of dynamic variables characterized by significant challenges impacting on the food and beverage sub-sector. Performance in this sector is measured in terms of profitability, exchange rate, interest rate, current asset, turnover, market share and return on investment among others. This study therefore serves as report of investigation into the implications of these variables on the performance of food and beverage sub sector. The ordinary least square technique is adopted in the methodology and the result reveals a significant relationship between economic environmental variables and the food and beverage sub-sector. The study advocates a strong public private partnership between government and the sector as well as encouragement of stable exchange rate so as to foster economic growth.
Variations or irregular rise of consumer price index worldwide of which Ghana is no exception has affected many businesses in the country. However, the obvious indicator of an inflationary situation is rising prices of consumer goods. On the basis of the above, the researchers decided to do a trend analysis on consumer price indices obtained from the Ghana Statistical Service to serve as a guide to the business community in Ghana. The main objective of the analysis is to determine the overall pattern in the data and to subsequently fit an appropriate trend for forecasting future values. The main statistical technique used in this work is time series analysis. Based on the trend analysis carried out, the study revealed that, there was general upward trend in the CPIs in Ghana, collaborating an earlier research conducted by Ampofo. However, the shapes of graphs of the CPIs, showed a slight difference. Finally, forecast values or predictions for the CPIs were made for the year 2008.
An overview of economic growth in US during q 3 of 2018. Overview includes data on: Economic Projections of the Federal Reserve Board, Employment Growth, Employment Growth by Industry, Employment Growth by Metropolitan Area, Consumer Price Index, Corporate Profits an Compensation of Employees, etc.
May 2015 - Getting productivity back on trackFGV Brazil
Brazil’s growth will not resume without policies to make Brazilian business more productive. The end of the first quarter was marked by the realization that tight monetary and fiscal policies may take time to correct the economy’s imbalances and that high inflation and low growth may last longer than hoped.
The Brazilian Economy is one of the oldest publications for expert economic analysis of both the Brazilian and international economies. Through this publication, FGV’s Brazilian Institute of Economics and Finance (FGV/IBRE) compares different periods of the economy, assessing both macroeconomic considerations and scenarios related to finance, administration, marketing, management, insurance, statistics, and price indices.
For more information, and Brazilian economic index results, visit: http://bit.ly/1EA1Loz
Economic Environment and Performance of Food and Beverage Sub-Sector of a Dev...paperpublications3
Abstract: This paper examines the implications of economic environment on the performance of food and beverage sub-sector of Nigeria. The economic environment is an embodiment of dynamic variables characterized by significant challenges impacting on the food and beverage sub-sector. Performance in this sector is measured in terms of profitability, exchange rate, interest rate, current asset, turnover, market share and return on investment among others. This study therefore serves as report of investigation into the implications of these variables on the performance of food and beverage sub sector. The ordinary least square technique is adopted in the methodology and the result reveals a significant relationship between economic environmental variables and the food and beverage sub-sector. The study advocates a strong public private partnership between government and the sector as well as encouragement of stable exchange rate so as to foster economic growth.
September 2011 – Can Brazil become a creative economy?FGV Brazil
The Brazilian Economy is one of the oldest publications for expert economic analysis of both the Brazilian and international economies. Through this publication, FGV’s Brazilian Institute of Economics and Finance (FGV/IBRE) compares different periods of the economy, assessing both macroeconomic considerations and scenarios related to finance, administration, marketing, management, insurance, statistics, and price indices.
For more information, and Brazilian economic index results, visit: http://bit.ly/1EA1Loz
International Journal of Humanities and Social Science Invention (IJHSSI) is an international journal intended for professionals and researchers in all fields of Humanities and Social Science. IJHSSI publishes research articles and reviews within the whole field Humanities and Social Science, new teaching methods, assessment, validation and the impact of new technologies and it will continue to provide information on the latest trends and developments in this ever-expanding subject. The publications of papers are selected through double peer reviewed to ensure originality, relevance, and readability. The articles published in our journal can be accessed online.
Arbor Realty's U.S. Economic Overview for 2018 q4 with insights on U.S. employment growth, the consumer price index, average earnings and the homeownership rate.
September 2011 – Can Brazil become a creative economy?FGV Brazil
The Brazilian Economy is one of the oldest publications for expert economic analysis of both the Brazilian and international economies. Through this publication, FGV’s Brazilian Institute of Economics and Finance (FGV/IBRE) compares different periods of the economy, assessing both macroeconomic considerations and scenarios related to finance, administration, marketing, management, insurance, statistics, and price indices.
For more information, and Brazilian economic index results, visit: http://bit.ly/1EA1Loz
International Journal of Humanities and Social Science Invention (IJHSSI) is an international journal intended for professionals and researchers in all fields of Humanities and Social Science. IJHSSI publishes research articles and reviews within the whole field Humanities and Social Science, new teaching methods, assessment, validation and the impact of new technologies and it will continue to provide information on the latest trends and developments in this ever-expanding subject. The publications of papers are selected through double peer reviewed to ensure originality, relevance, and readability. The articles published in our journal can be accessed online.
Arbor Realty's U.S. Economic Overview for 2018 q4 with insights on U.S. employment growth, the consumer price index, average earnings and the homeownership rate.
These slides demonstrate a storyboard for a presentation of how to create a Promo video using iPad and iMovie for iPad.
The entire presentation will be available July 29th 2015 at http://newtricks.com/making-promo-videos-with-imovie-for- ipad-the-easy-way/
The purpose of this paper is to show that the interaction between large changes in the external conditions facing the Brazilian economy since 2003 and smaller changes in the orientation of domestic economic policy after 2005 explain the improved control of inflation, the recovery of more satisfactory rates of economic growth and the stronger improvement in income distribution and poverty reduction in the second half of the decade. The change in the orientation of economic policy also explains the relatively moderate contraction and strong recovery of the economy after the world crisis hit Brazil in late 2008.
The output gap indicating the difference between the actual and potential levels of output is a critical factor for estimating the inflationary pressures in an economy. If the main target of a central bank is ensuring and maintaining the price stability, estimating the output gap with a minimum error is crucial for the efficiency of the monetary policy. In this study, we estimated the output gap in Turkey for the 2002-2014 period by using four different methods. Two of these estimation methods are purely statistical (Linear Trend and Hodrick-Presscot (HP) Filtering) while the others are integrated with the relations suggested by the economic theory (multivariate structural model and structural autoregressive (SVAR) model). By using empirical decision criteria common in the literature, we conclude that SVAR model produces the most reliable output gap estimates to explain inflationary pressures in Turkey. However, we also found that the Hodrick-Presscot filtering method is the second best methodology in the output gap estimation process.
Forecasting Economic Activity using Asset PricesPanos Kouvelis
This dissertation evaluates how well the asset prices and, in particular the term spread, the short rate and the real stock returns, forecast the GDP growth and the Industrial Production. The study is applied with data of seven countries (Canada, France, Germany, Italy, Japan, United Kingdom and United States) and it covers a period of time between 1966 until now. The research finds that the asset prices have forecasting power for one quarter/month but they lose their power when the forecasting horizon increases. Moreover, the paper evaluates that the real stock return is the best predictor of the GDP growth and that the short rate has more predictive content than the term spread.
Keywords: Term spread, short rate, stock returns, output growth, forecasting horizon, out-of-sample statistics
Is fiscal policy effective in Brazil? An empirical analysisFGV Brazil
The main goal of this paper is to determine the effectiveness of fiscal policy in Brazil. With a sample from 1997 to 2014, we are not able to obtain the relevant impact of fiscal stimuli on output, even when altering both the methodology and the model specifications.
Consumer Price Index for All Urban Consumers – Gasoline vs. Ai.docxbobbywlane695641
Consumer Price Index for All Urban Consumers – Gasoline vs. Air Fare
(August 2017)
For Immediate Release
Summary
✓ The Consumer Price Index for All Urban Consumers – Gasoline was 200.96 during August, using 1982
– 1984 = 100 as the seasonally adjusted index.
• The August 2017 reading of 200.96 was ~10.4% higher than a year ago when the Consumer
Price Index for All Urban Consumers – Gasoline was 182.09.
✓ The Consumer Price Index for All Urban Consumers – Air Fare was 270.65 during August, using 1982 –
1984 = 100 as the seasonally adjusted index.
• The August 2017 reading of 270.65 was -3.2% lower than a year ago when the Consumer Price
Index for All Urban Consumers – Air Fare was 279.71
CPI Measure August 2017 August 2016 YoY % ∆ July 2017
Consumer Price Index for All Urban
Consumers – Gasoline
200.96 182.09 +10.4% 189.06
Consumer Price Index for All Urban
Consumers – Air Fare
270.65 279.71 -3.2% 273.32
1st Paragraph of Press Release:
The Buraeu of Labor Statistics (BLS) recently released its Consumer Price Index data for August of 2017. The
Consumer Price Index for All Urban Consumers: Gasoline is a measure that tracks the average cost of gasoline
(all types). The index measures price changes (as a percentage change) from a predetermined reference date. During
August of 2017, the Consumer Price Index for All Urban Consumers: Gasoline was 200.96 when using 1982 –
1984 = 100 as the seasonally adjusted index. Also included in the monthly report was the Consumer Price Index for
All Urban Consumers: Air Fare which registered at 270.65 during the month, again using 1982 – 1984 = 100 as the
seasonally adjusted index. Eligible for pricing are all regularly scheduled domestic and international commercial airline
trips on certified carriers departing from each of the 87 cities in the CPI sample. For the selected cities that do not have
a qualifying airport, the nearest city with a qualifying airport is designated as the city of departure.
2nd Paragraph of Press Release:
The Consumer Price Index for All Urban Consumers: Gasoline increased on a year-over-year basis by 10.4%
during August, the ninth monthly year-over-year increase in the last 10 months. The Consumer Price Index for All
Urban Consumers: Air Fare decreased on a year-over-year basis by 3.2% during August, which was the fifth monthly
year-over-year decline seen in the last six months.
3rd Paragraph of Press Release:
The Consumer Price Index for All Urban Consumers: Gasoline is an important economic measure in that is a
critical gauge of overall inflation in the economy. Given the percentage of consumer spending that is related to gasoline,
understanding how prices move is of critical importance to the overall tracking of inflation. When prices are increasing
a steady, but low-single digit pace, it is a signal of economic health as wages are likely rising at a similar rate. The
Consumer Price Index for.
This paper investigates the link between forecast disparity and macroeconomic instability that results from the data revision of GDP and inflation in Japan. The recent Japanese case, which reflects the unconventional monetary policy conducted since 2013, is also examined. The empirical results show that such disparities do not cause economic instability; however, they have have done so after the unconventional and drastic monetary policy was conducted. On the other hand, exchange rates impacted economic stability for the total period. For the first part of the period under study (from 2000 to 2012), currency appreciation caused instability; however, for the more recent period, depreciation has caused such instability. Recently, macroeconomic instability has been linked with exchange rate movements.
The paper analyses the patterns of economic growth that characterized the huge decline of the Brazilian trend GDP growth rate in the period between 1970 and 2006. The analysis is based on an analytical framework that combines the classical supermultiplier demand led growth model with the hypothesis that the balance of payments is the main potential (and often the effective) constraint to the expansion of the Brazilian economy in the period under consideration. From this perspective, the proximate causes of the decline of the GDP growth trend are the following. First, we have the relatively low growth rate of the domestic components of final demand which combined, with its high weight in total final demand explains the low contribution of this type of expenditure to the GDP growth rate since the 1980s. Secondly, the external sector contribution to GDP growth was both very unstable and, whenever its contribution was relatively high, it could not sustain the relatively high GDP growth rates of 1970s. These patterns of demand led growth are quantitatively investigated with the application of a demand led growth accounting methodology which allows us to analyze the expansion patterns of a set of periods between 1970 and 2006. In what concerns the more fundamental causes, the paper points out to the relevance of: (a) the changing patterns of commercial and financial external insertion of the Brazilian economy; (b) the worsening of the income distribution conditions associated with the trend decline in the wage share, the high percentage of the population still below the poverty line and the high inequality in personal income distribution; and (c) the macroeconomic policy regimes, in particular from 1999 on with the adoption of the policy mix combining inflation targeting, large primary government budget surplus and floating (but very much managed) exchange rates.
The spending allocation pattern of national governments varies depending on public policy for
desired effects but the outcome is rather controversial according to existing literature. This research aims to
explore the relationship between government expenditure, economic development and economic growth in
Brazil from 1994 to 2017. The Human Development Indicator (HDI) index is a representative measure of
economic development and is comprised of three dimensions:
A time series analysis of household income inequality in Brazil 1977-2013FGV Brazil
This paper analyses the evolution of household income inequality in Brazil from 1977 and 2013 using Brazilian National Household Survey data at aggregated and regional levels.
What are the chances of your country winning the 2018 World Cup?
FGV's mathematical model predicts that Brazil has the greatest chances of winning.
http://fgv.br/emap/copa-2018
Interval observer for uncertain time-varying SIR-SI model of vector-borne dis...FGV Brazil
The issue of state estimation is considered for an SIR-SI model describing a vector-borne disease such as dengue fever, with seasonal variations and uncertainties in the transmission rates. Assuming continuous measurement of the number of new infectives in the host population per unit time, a class of interval observers with estimate-dependent gain is constructed, and asymptotic error bounds are provided. The synthesis method is based on the search for a common linear Lyapunov function for monotone systems representing the evolution of the estimation errors.
Date: 2017
Authors:
Soledad Aronna, Maria
Bliman, Pierre-Alexandre
Ensuring successful introduction of Wolbachia in natural populations of Aedes...FGV Brazil
The control of the spread of dengue fever by introduction of the intracellular parasitic bacterium Wolbachia in populations of the vector Aedes aegypti, is presently one of the most promising tools for eliminating dengue, in the absence of an efficient vaccine. The success of this operation requires locally careful planning to determine the adequate number of individuals carrying the wolbachia parasite that need to be introduced into the natural population. The introduced mosquitoes are expected to eventually replace the Wolbachia-free population and guarantee permanent protection against the transmission of dengue to human. In this study, we propose and analyze a model describing the fundamental aspects of the competition between mosquitoes carrying Wolbachia and mosquitoes free of the parasite. We then use feedback control techniques to devise an introduction protocol which is proved to guarantee that the population converges to a stable equilibrium where the totality of mosquitoes carry Wolbachia.
Date: 2015-03-19
Authors:
Bliman, Pierre-Alexandre
Soledad Aronna, Maria
Coelho, Flávio Codeço
Silva, Moacyr da
The resource curse reloaded: revisiting the Dutch disease with economic compl...FGV Brazil
This paper shows that the Dutch disease can be more formally characterised as low economic complexity using ECI-type indicators; there is a solid and robust inverse relationship between exports concentrating on natural resources and economic complexity as measured by complexity indicators for a database of 122 countries from 1963 to 2013. In a large majority of cases, oil answers for shares in excess of 50% of exports. In addition to empirical panel analysis, we address case studies concerned with Indonesia and Nigeria and introduce a brief review of the theoretical literature on the topic. Indonesia is considered in the literature as a good example in avoiding the negative effects of the Dutch disease, whereas Nigeria is taken as a bad example in terms of institutions and policies adopted during the seventies and eighties. The empirical results show that complexity analysis and Big Data may offer significant contributions to the still-current debate surrounding the Dutch disease.
Date: 2017-03
Authors:
Camargo, Jhean Steffan Martines de
Gala, Paulo
The Economic Commission for Latin America (ECLA) was right: scale-free comple...FGV Brazil
The main purpose of this paper is to apply big-data and scale-free complex network techniques to the study of world trade, with a specific focus on the investigation of ECLA and structuralist ideas. A secondary objective is to illustrate the potentialities of the use of the new science of complex networks in economics, in what has been recently referred to as an econophysics research agenda. We work with a trade network of 101 countries and 762 products (SITC-4) which generated 1,756,224 trade links in 2013. The empirical results based on network analysis and computational methods reported here point in the direction of what ECLA economists used to argue; countries with higher income per capita concentrate in producing and exporting manufactured and complex goods at the center of the trade network; countries with lower income per capita specialize in producing and exporting non-complex commodities at the network’s periphery.
Date: 2017-03
Authors:
Gala, Paulo
Camargo, Jhean Steffan Martines de
Freitas, Elton
Cost of equity estimation for the Brazilian market: a test of the Goldman Sac...FGV Brazil
As an approach to determining the degree of integration of the Brazilian economy, this paper seeks to test the explanatory power of the Goldman Sachs Model for the expected returns by a foreign investor in the Brazilian market during the past eleven years (2004-2014). Using data for the stocks of 57 of the most actively traded firms at the BM&FBovespa, it begins by testing directly the degree of integration of the Brazilian economy during this period, in an attempt to better understand the context in which the model has been used. In sequence, in an indirect test of the Goldman Sachs model, the risk factor betas (market risk and country risk) of the sample stocks were estimated and a panel regression of expected stock returns on these betas was performed. It was found that country risk is not a statistically significant explanation of expected returns, indicating that it is being added in an ad hoc fashion by market practitioners to their cost of equity calculations. Thus, although there is evidence of a positive and significant relationship between systematic risk and return, the results for country risk demonstrate that the Goldman Sachs Model was not a satisfactory explanation of expected returns in the Brazilian market in the past eleven years, leading us to question the validity of its application in practice. By adding a size premium factor to the model, there is evidence of a negative and significant relationship between companies’ size and return, although country risk remains not satisfactory to explain stock expected returns.
Date: 2017-03
Authors:
Guanais, Luiz Felipe Poli
Sanvicente, Antonio Zoratto
Sheng, Hsia Hua
A dynamic Nelson-Siegel model with forward-looking indicators for the yield c...FGV Brazil
This paper proposes a Factor-Augmented Dynamic Nelson-Siegel (FADNS) model to predict the yield curve in the US that relies on a large data set of weekly financial and macroeconomic variables. The FADNS model significantly improves interest rate forecasts relative to the extant models in the literature. For longer horizons, it beats autoregressive alternatives, with a reduction in mean absolute error of up to 40%. For shorter horizons, it offers a good challenge to autoregressive forecasting models, outperforming them for the 7- and 10-year yields. The out-of-sample analysis shows that the good performance comes mostly from the forward-looking nature of the variables we employ. Including them reduces the mean absolute error in 5 basis points on average with respect to models that reflect only past macroeconomic events.
Date: 2017-03
Authors:
Vieira, Fausto José Araújo
Chague, Fernando Daniel
Fernandes, Marcelo
Improving on daily measures of price discoveryFGV Brazil
We formulate a continuous-time price discovery model in which the price discovery measure varies (stochastically) at daily frequency. We estimate daily measures of price discovery using a kernel-based OLS estimator instead of running separate daily VECM regressions as standard in the literature. We show that our estimator is not only consistent, but also outperforms the standard daily VECM in finite samples. We illustrate our theoretical findings by studying the price discovery process of 10 actively traded stocks in the U.S. from 2007 to 2013.
Date: 2017-03
Authors:
Dias, Gustavo Fruet
Fernandes, Marcelo
Scherrer, Cristina Mabel
Disentangling the effect of private and public cash flows on firm valueFGV Brazil
This paper presents a simple model for dual-class stock shares, in which common shareholders receive both public and private cash flows (i.e. dividends and any private benefit of holding voting rights) and preferred shareholders only receive public cash flows (i.e. dividends). The dual-class premium is driven not only by the firm's ability to generate cash flows, but also by voting rights. We isolate these two effects in order to identify the role of voting rights on equity-holders' wealth. In particular, we employ a cointegrated VAR model to retrieve the impact of the voting rights value on cash flow rights. We finnd a negative relation between the value of the voting right and the preferred shareholders' wealth for Brazilian cross- listed firms. In addition, we examine the connection between the voting right value and market and firm specific risks.
Date: 2017-03
Authors:
Autor
Scherrer, Cristina Mabel
Fernandes, Marcelo
Mandatory IFRS adoption in Brazil and firm valueFGV Brazil
Using diff-in-diff approaches and the propensity-score matching, this study focuses on firm-level Tobin´s q and Market-to-book outcomes for Brazilian firms who in 2008 were required by Law 11.638/07 to adopt the full International Financial Reporting Standards (IFRS) by 2010. Brazil’s tier-system of corporate governance standards for publicly-traded firms, its uniquely wholesale adoption of the IFRS, and the previously considerable gap between its national GAAP and IFRS readily lend the scenario to research, which thus far finds small or inconsistent results when focused on IFRS adoption-related outcomes in Europe and China. However, while these features recommend the transitioned Brazilian equity market to analysis, additional unique features, such as its small population size and its limited historical data -- of varied quality – increase the challenge in selecting a suitable empirical methodology. Using quarterly data from 2006-2011, control firms in the Nivel II and Novo Mercado tiers of Bovespa which already complied with higher quality accounting standards are matched to treatment firms in the Regular and Nivel I tiers with similar averaged values of size and sector. Our results suggest that there is a positive impact on Tobin´s q and Market-to-book for firms who are forced to adopt IFRS in Brazil. We can observe the same results when we consider all variables winsorized at 5% level. We also find a positive relation between the firm value (measured by Tobin´s q and Market-to-book) and net income. Firms with higher net income are more likely to have higher Tobin´s q and Market-tobook. In an opposite way, we find a negative relation among firm value, size, Ebit-to-sales, sales growth and PPE-to-sales. All results are statistically significant at 1% level. '
Date: 2017-03
Authors:
Sampaio, Joelson Oliveira
Gallucci Netto, Humberto
Silva, Vinícius Augusto Brunassi
Dotcom bubble and underpricing: conjectures and evidenceFGV Brazil
We provide conjectures for what caused the price spiral and the high underpricing of the dotcom bubble of 1999–2000. We raise two conjectures for the price spiral. First, given the uncertainty about the growth opportunities generated by the new technologies and their spillover effects across technology industries, investors saw the inflow of a large number of high-growth firms as a sign of high growth rates for the market as a whole. Second, investors interpreted the wave of highly underpriced IPOs as an opportunity to obtain gains by investing in newly public companies. The underpricing resulted from the emergence a large cohort of firms racing for market leadership. Fundamentals pricing at the IPO was part of their strategy. We provide evidence for our conjectures. We show that returns on NASDAQ composite index are explained by the flow of high-growth (or highly underpriced) IPOs; the high underpricing can be fully explained by firms’ characteristics and strategic goals. We also show that, contrary to alternatives explanations, underpricing was not associated with top underwriting, there was no deterioration of issuers’ quality, and top underwriters and analysts became more selective.
Date: 2017-03
Authors:
Autor
Carvalho, Antonio Gledson de
Pinheiro, Roberto Benjamin
Sampaio, Joelson Oliveira
Contingent judicial deference: theory and application to usury lawsFGV Brazil
Legislation that seems unreasonable to courts is less likely to be followed. Building on this premise, we propose a model and obtain two main results. First, the enactment of legislation prohibiting something raises the probability that courts will allow related things not expressly forbidden. In particular, the imposition of an interest rate ceiling can make it more likely that courts will validate contracts with interest rates below the legislated cap. Second, legal uncertainty is greater with legislation that commands little deference from courts than with legislation that commands none. We discuss examples of effects of legislated prohibitions (and, in particular, usury laws) that are consistent with the model.
Date: 2017-03
Authors:
Guimarães, Bernardo
Salama, Bruno Meyerhof
Education quality and returns to schooling: evidence from migrants in BrazilFGV Brazil
We provide a new education quality index for states within a developing country using 2010 Brazilian data. This measure is constructed based on the notion that the financial returns obtained from an additional year of schooling can be
seen as being derived from the value that market forces assign to this education. We use migrant data to estimate returns to schooling of individuals who studied in different states but who work in the same labor market. We find very heterogeneous educational qualities across states: the poorest Brazilian region presents education quality levels that are approximately equal to one-third of the average of all other regions, a gap three times larger than the one suggested by standardized test scores. We compare our index with standardized test scores, educational outcome variables, and public expenditure per schooling stage at the state level, producing new evidence related to education in a large developing country. We conduct an education quality-adjusted development accounting exercise for Brazilian states and find that human capital accounts for 26%-31% of output per worker differences. Adjusting for quality increases human capital’s explanatory power by 60%.
Date: 2017-02
Authors:
Brotherhood, Luiz Mário
Ferreira, Pedro Cavalcanti
Santos, Cézar Augusto Ramos
On October 31st and November 1st, 2016, the Center for Regulation and Infrastructure from Fundação Getulio Vargas (FGV CERI) organized a two-day workshop discussion in collaboration with the World Bank and ABRACE. The event gathered regulators, government representatives, academics, operators, financial institutions and investors. The debate focused on the main challenges faced by the current restructuring process of the Brazilian gas industry. This document presents the main points discussed during the debates.
Date: 2017-01
Authors:
Vazquez, Miguel
Amorim, Lívia
Dutra, Joísa Campanher
The impact of government equity investment on internationalization: the case ...FGV Brazil
We examine the impact of government equity ownership on the degree of internationalization of emerging market firms. Our analysis of 173 Brazilian publicly traded firms from 2002 to 2011 shows that the higher the equity held by the state through the state investment bank and the pension funds of SOEs and privatized SOEs, the higher the firm’s degree of internationalization. Firms in which the government shared control with families, and with both families and foreigners, had a higher degree of internationalization. Our findings underline the importance of the institutional context in explaining the internationalization of Brazilian firms.
Date: 2016
Author:
Sheng, Hsia Hua
Techno-government networks: Actor-Network Theory in electronic government res...FGV Brazil
The Actor-Network Theory (ANT) is a theoretical approach for the study of controversies associated with scientific discoveries and technological innovations through the networks of actors involved in such actions. This approach has generated studies in Information Systems (IS) since 1990, however few studies have examined the use of this approach in the e-government area. Thus, this paper aims to broaden the theoretical approaches on e-government, by presenting ANT as a theoretical framework for e-government studies via published empirical work. For this reason, the historical background of ANT is described, duly listing its theoretical and methodological premises. In addition to this, one presented ANT-based e-government works, in order to illustrate how ANT can be applied in empirical studies in this knowledge area.
Date: 2016
Authors:
Fornazin, Marcelo
Joia, Luiz Antonio
Condemning corruption while condoning inefficiency: an experimental investiga...FGV Brazil
This article reports results from an economic experiment that investigates to what extent voters punish corruption and waste in elections. While both are responsible for a loss of welfare for voters, they are not necessarily perceived as equally immoral. The empirical literature in political agency has not yet dealt with these two dimensions that determine voters’ choices. Our results suggest that morality and norms are indeed crucial for a superior voting equilibrium in systems with heterogeneous politicians: while corruption is always punished, self-interest alone – in the absence of norms – leads to the acceptance and perpetuation of waste and social losses.
Date: 2016
Authors:
Arvate, Paulo Roberto
Souza, Sergio Mittlaender Leme de
Falcon stands out as a top-tier P2P Invoice Discounting platform in India, bridging esteemed blue-chip companies and eager investors. Our goal is to transform the investment landscape in India by establishing a comprehensive destination for borrowers and investors with diverse profiles and needs, all while minimizing risk. What sets Falcon apart is the elimination of intermediaries such as commercial banks and depository institutions, allowing investors to enjoy higher yields.
The secret way to sell pi coins effortlessly.DOT TECH
Well as we all know pi isn't launched yet. But you can still sell your pi coins effortlessly because some whales in China are interested in holding massive pi coins. And they are willing to pay good money for it. If you are interested in selling I will leave a contact for you. Just telegram this number below. I sold about 3000 pi coins to him and he paid me immediately.
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The European Unemployment Puzzle: implications from population agingGRAPE
We study the link between the evolving age structure of the working population and unemployment. We build a large new Keynesian OLG model with a realistic age structure, labor market frictions, sticky prices, and aggregate shocks. Once calibrated to the European economy, we quantify the extent to which demographic changes over the last three decades have contributed to the decline of the unemployment rate. Our findings yield important implications for the future evolution of unemployment given the anticipated further aging of the working population in Europe. We also quantify the implications for optimal monetary policy: lowering inflation volatility becomes less costly in terms of GDP and unemployment volatility, which hints that optimal monetary policy may be more hawkish in an aging society. Finally, our results also propose a partial reversal of the European-US unemployment puzzle due to the fact that the share of young workers is expected to remain robust in the US.
how to sell pi coins effectively (from 50 - 100k pi)DOT TECH
Anywhere in the world, including Africa, America, and Europe, you can sell Pi Network Coins online and receive cash through online payment options.
Pi has not yet been launched on any exchange because we are currently using the confined Mainnet. The planned launch date for Pi is June 28, 2026.
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An individual who buys coins from miners on the pi network and resells them to investors hoping to hang onto them until the mainnet is launched is known as a pi merchant.
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how to swap pi coins to foreign currency withdrawable.DOT TECH
As of my last update, Pi is still in the testing phase and is not tradable on any exchanges.
However, Pi Network has announced plans to launch its Testnet and Mainnet in the future, which may include listing Pi on exchanges.
The current method for selling pi coins involves exchanging them with a pi vendor who purchases pi coins for investment reasons.
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how to sell pi coins in South Korea profitably.DOT TECH
Yes. You can sell your pi network coins in South Korea or any other country, by finding a verified pi merchant
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Since pi network is not launched yet on any exchange, the only way you can sell pi coins is by selling to a verified pi merchant, and this is because pi network is not launched yet on any exchange and no pre-sale or ico offerings Is done on pi.
Since there is no pre-sale, the only way exchanges can get pi is by buying from miners. So a pi merchant facilitates these transactions by acting as a bridge for both transactions.
How can i find a pi vendor/merchant?
Well for those who haven't traded with a pi merchant or who don't already have one. I will leave the telegram id of my personal pi merchant who i trade pi with.
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how can I sell pi coins after successfully completing KYCDOT TECH
Pi coins is not launched yet in any exchange 💱 this means it's not swappable, the current pi displaying on coin market cap is the iou version of pi. And you can learn all about that on my previous post.
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Abhay Bhutada Leads Poonawalla Fincorp To Record Low NPA And Unprecedented Gr...Vighnesh Shashtri
Under the leadership of Abhay Bhutada, Poonawalla Fincorp has achieved record-low Non-Performing Assets (NPA) and witnessed unprecedented growth. Bhutada's strategic vision and effective management have significantly enhanced the company's financial health, showcasing a robust performance in the financial sector. This achievement underscores the company's resilience and ability to thrive in a competitive market, setting a new benchmark for operational excellence in the industry.
USDA Loans in California: A Comprehensive Overview.pptxmarketing367770
USDA Loans in California: A Comprehensive Overview
If you're dreaming of owning a home in California's rural or suburban areas, a USDA loan might be the perfect solution. The U.S. Department of Agriculture (USDA) offers these loans to help low-to-moderate-income individuals and families achieve homeownership.
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Find a USDA-Approved Lender: Not all lenders offer USDA loans, so it's essential to choose one approved by the USDA.
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USDA loans are an excellent option for those looking to buy a home in California's rural and suburban areas. With no down payment and flexible requirements, these loans make homeownership more attainable for many families. Explore your eligibility today and take the first step toward owning your dream home.
Lecture slide titled Fraud Risk Mitigation, Webinar Lecture Delivered at the Society for West African Internal Audit Practitioners (SWAIAP) on Wednesday, November 8, 2023.
Currently pi network is not tradable on binance or any other exchange because we are still in the enclosed mainnet.
Right now the only way to sell pi coins is by trading with a verified merchant.
What is a pi merchant?
A pi merchant is someone verified by pi network team and allowed to barter pi coins for goods and services.
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I will leave the telegram contact of my personal pi merchant. I and my friends has traded more than 6000pi coins successfully
Tele-gram
@Pi_vendor_247
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Yes. Pi network coins can be exchanged but not on bitmart exchange. Because pi network is still in the enclosed mainnet. The only way pioneers are able to trade pi coins is by reselling the pi coins to pi verified merchants.
A verified merchant is someone who buys pi network coins and resell it to exchanges looking forward to hold till mainnet launch.
I will leave the telegram contact of my personal pi merchant to trade with.
@Pi_vendor_247
Yes of course, you can easily start mining pi network coin today and sell to legit pi vendors in the United States.
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Applying the Daily Inflation to Forecast the Broad Consumer Price Index (IPCA) – June 2015
1. 0
Junho de 2015
TEXTO DE DISCUSSÃO Nº 78
APLICAÇÃO DA INFLAÇÃO DIÁRIA
PARA PREVISÃO DO IPCA
Título original:
APPLYING THE DAILY INFLATION
TO FORECAST THE BROAD
CONSUMER PRICE INDEX (IPCA)
Pedro Costa Ferreira
Juliana Carneiro
André Furtado Braz
2. 1
Applying the daily inflation to forecast the Broad Consumer Price Index (IPCA)
Pedro Costa Ferreira
Brazilian Institute of Economics – Getulio Vargas Foundation (FGV/IBRE)
Barão de Itambi, 60 – Botafogo, Rio de Janeiro - Brazil
pedro.guilherme@fgv.br
Juliana Carneiro
Brazilian Institute of Economics – Getulio Vargas Foundation (FGV/IBRE)
Barão de Itambi, 60 – Botafogo, Rio de Janeiro - Brazil
julianaccp@gmail.com
André Furtado Braz
Brazilian Institute of Economics – Getulio Vargas Foundation (FGV/IBRE)
Barão de Itambi, 60 – Botafogo, Rio de Janeiro - Brazil
andre.braz@fgv.br
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.
Key-words: IPCA, daily inflation, Monitor, Time Series, SARIMA
JEL code: E3; C22
3. 2
1. INTRODUCTION
The predictability of financial and economic phenomena is a matter of the
utmost importance for all actors in the market, including stakeholders and households.
Accordingly, the more accurate processes for forecasting these events (as well as micro
and macroeconomic variables) are, the more efficient the financial market will be. This
is, it will be possible for the country to outperform, boosting not only its economy, but
also its growing pace. (DANTHINE & DONALDSON, 2011)
The Consumer Price Index is one of the macroeconomic variables that attracts
major attention from analysts since it measures inflation. For this reason, many
Brazilian and overseas entities study this issue. For instance, since 1947, the Getulio
Vargas Foundation estimates the Consumer Price Index (IPC) (IBRE/FGV, 2015).
In 1979, the Brazilian Institute of Geography and Statistics (IBGE) started to
disclose the Broad Consumer Price Index, IPCA. IBGE is the agency responsible for
statistical information in Brazil, which includes data collection and the IPCA release.
The IPCA is a measure of the average change over time in the prices paid by
urban consumers for a market basket of consumer goods and services (BUREAU OF
LABOR STATISTICS, 2015). Moreover, it is used by the Brazilian Central Bank as the
guideline for achieving its inflation targets policy (SOUZA JÚNIOR & LAMEIRAS,
2013).
The index represents all goods and services purchased for consumption by the
reference population. The sample is composed by urban inhabitants whose monthly
incomes range from one to forty minimum wages. Each month, IBGE data collectors
visit or call thousands of retail stores, service establishments, rental units, doctor´s
offices and concessionaires of public services to obtain information on the prices of
items used to track and measure price changes in the CPI.
Each category of goods receives different weights depending on the importance
the households prioritize when purchasing their basket of goods. This is, the weights
change over time. Major groups and examples of categories are food and beverages,
transportation and housing, which one corresponding approximately to 23%, 20% and
14% of the basket of goods respectively (IBGE, 2012).
Due to the importance of the subject, there are a plethora of works trying to do
“good” prices forecasting, as it can be seen in (SAZ, 2011), in which the authors
analyze the efficacy of using the models SARIMA (Seasonal Autoregressive Integrated
Moving Average) in order to forecast inflation rates in Turkey. The researcher found a
capable, parsimonious, accurate and appropriate SARIMA time-series model of
forecasting for inflation in Turkey between 2003 and 2009.
Another study using SARIMA models for inflation forecasting in the short term
can be found in (PUFNIK & KUNOVAC, 2006). The research is done by the Croatian
4. 3
National Bank since the entity recognizes the importance of inflation forecasting as an
essential component for the monetary policy projection. Furthermore, by using seasonal
processes ARIMA, it is possible to understand not only the CPI as a whole, but also its
elements and weights so that the Bank can afford better views concerning detailed
sources of future either inflationary or deflationary pressures in the Croatian economy.
In Brazil, owing to the hyperinflation episode in the 1980s, there have been
made many studies on this issue. Moreover, the Brazilian economy faced the most
extreme inflation phenomenon, with yearly price increases of three-digit percentage
points and an explosive acceleration (RESENDE, 1989). Besides this, it is still a
recurrent issue even after the monetary stabilization brought about by the Real Plan
(Plano Real). This was a set of measures taken to stabilize the Brazilian economy in
1994, during the presidency of Itamar Franco (GIAMBIAGI, VILLELA, DE CASTRO,
& HERMANN, 2011).
Accordingly, theoretical frameworks have been constructed so that they are able
to explain the origin and the duration of this economic anomaly (BARBOSA &
SALLUM, 2002). Besides this, many researchers cast light on the inflation tax effect
caused by high level of prices, mainly because Brazil is a country composed eminently
by lower class. Therefore, it becomes an awkward kind of tax that corrodes the incomes
of the less well-off (BARBOSA, 2014). The author estimates the curves for the inflation
tax related to hyperinflationary processes occurred both in Germany and in Brazil. It is
worth noting that the issue also concerns policy makers and the financial market.
In view of that, in 2006, FGV created a new methodology aimed at measuring
daily prices variations. As showed in (ARDEO, QUADROS, & PICCHETTI, 2013), the
Inflation Monitor makes daily estimations based on data from prices of the last 30 days,
as a proxy for the official inflation calculated by IBGE. 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 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. Furthermore, in order to
bring it about the time series was divided into six other as follows. The first one was
built taking the first day of the index collection (made by IBGE); the second series took
5. 4
into consideration the two ensuing days of the collection start; the third data set
considered three days and so on until the sixth time series.
The IPCA prevision will be made in conformity with the methodology created
by Box & Jenkins, that is, the SARIMA models (Seasonal Autoregressive Integrated
Moving Average). SARIMA (p,d,q) (P,D,Q)s is used when seasonal (hence
nonstationary) behavior is present in the time series (BOX & JENKINS, 1970).
The present paper is relevant since it aims at doing a daily forecast for the
Brazilian CPI (IPCA), as well as acting as a complement for the Inflation Monitor. It is
to say that the prediction will be more robust for the first days in each month.
Besides this first, the present work is composed by three more sections. The
second one deals with the Inflation Monitor, which are the main source of the data base
used for the models; the third section deals with the methodology, as well as the
proposed model; the forth part shows the results achieved by this work; and, then, final
conclusions.
2. INFLATION MONITOR
Since 2006, the Getulio Vargas Foundation (FGV) calculates a daily proxy of
the Broad Consumer Price Index (IPCA) for 30 days, ending in the date of computation.
It is measured in harmony with the Laspeyres Index, whereby the weights are monthly
adjusted according to changes in the relative prices. The daily appraisal combines both
price collection under the responsibility of FGV and the calculation procedures
followed by IBGE. This data set is called Inflation Monitor (ARDEO, QUADROS, &
PICCHETTI, 2013).
For calculating the daily proxy for IPCA it is necessary to consider that the
sample prices follow a uniform distribution over time as the new prices are constantly
added to the time series and processed in the same day.
The announcement dates of IPCA (by IBGE) provide the parameters required by
the Monitor to carry out the estimations. After issuing the publication, the weights
become known and prepared to be used in the coming month. Moreover, such piece of
information is straightaway embodied by FGV.
6. 5
One of the various advantages that the daily indicator affords is calculating the
changes in the monthly rate of the official index day by day. As can be seen in graphic
1, there is a decreasing tendency for the IPCA over may 2014. Furthermore, the second
fortnight reveals a sharp decline in price index. In using these results, the financial
market operators and the monetary authority are able to catch a glimpse of the index
behavior as well as its tendency for the ensuing month so that they can steer their
decision making. It is of the utmost importance for the former to have access to this
kind of daily information since they use them to beacon their decision on portfolio
diversification. Besides this, as the Central Bank of Brazil deliberates on monetary
policy, and as it is aimed at the short run, the daily information plays a key role also for
the latter.
Graphic 1: Daily IPCA - Monitor
Source: FGV. By the authors.
In terms of disadvantage, the Monitor uses data from the previous month when
doing the estimation of the index in the current month. The Monitor does a kind of
moving average in order to calculate the daily IPCA, however, as it uses data from other
month, its prediction can be biased and impaired. The day the Monitor is more accurate
coincides with the last day of collection of IPCA done by IBGE. Thus, on this day, the
margin of error is minimized (very short). Therefore, the closer it is from this date, the
more precise the Monitor is when estimating the price index since it uses data that come
from the same month, as shows graphic 2.
0.35
0.45
0.55
0.65
0.75
0.85
0.95
4/28/2014
4/30/2014
5/2/2014
5/4/2014
5/6/2014
5/8/2014
5/10/2014
5/12/2014
5/14/2014
5/16/2014
5/18/2014
5/20/2014
5/22/2014
5/24/2014
5/26/2014
5/28/2014
7. 6
Graphic 2: Monthly IPCA and Monitor on the day of shutting
Source: FGV. By the authors
The proposed model intends to minimize that flaw by using SARIMA models.
Capturing seasonal and tendency effects is a huge advantage offered by this model as
the Monitor is neither capable of performing this way, nor able to amend other
irregularities.
3. METODOLOGY BOX & JENKINS AND PROPOSED METHOD
3.1. BOX & JENKINS Models
Time series can be either stationary or nonstationary; either stochastic or
deterministic process. A stochastic process that has a Gaussian distribution can presents
weak stationarity. That is the mean and the variance of a stochastic process do not
depend on t (that is they are constant) and the autocovariance between Xt and Xt+τ only
can depend on the lag τ (τ is an integer, the quantities also need to be finite), which is
the temporal distance between the observations (HAMILTON, 1994); (NASON, 2008).
The Box & Jenkins models are used to deal with time series (TS) originally
stationary or made stationary by differencing – that is computing the differences
between consecutive observations. On one hand, transformations such as logarithms
may stabilize the variance of a time series; on the other hand, differencing can stabilize
the mean of a time series. Generally, economic time series are non-stationary, thus they
need to be differenced until they become stationary.
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0
0.2
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0.6
0.8
1
1.2
May-13
Jun-13
Jul-13
Aug-13
Sep-13
Oct-13
Nov-13
Dec-13
Jan-14
Feb-14
Mar-14
Apr-14
May-14
IPCA
Monitor
8. 7
The Box and Jenkins methodology to stationary time series and to ARIMA time
series forecasting follows an iterative cycle composed by five parts (GRANGER &
NEWBOLD, 1976):
1- Specification: the general class of the structures (p,d,q) is analyzed.
2- Identification: based on sample ACF and PACF and other criteria. If
the autocorrelation function (ACF) plot shows a very slow decay,
then the time series is supposed to be non-stationary. Thus, one must
do unit root tests in order to confirm statistically the graphic
hypothesis. If the null hypothesis is not rejected, then diffencing is
required so that the time series can become stationary eventually.
3- Estimation: the parameters of the identified model are estimated and
tests are made to determine their statistical significance.
4- Diagnosis: The residuals are analyzed and must be white noise.
Ljung-Box test is also necessary to verify the model fitting.
Afterwards, it is necessary to verify which models have the smallest
values for Akaike information criterion (AIC) and Bayesian
information criterion (BIC) tests. Should the diagnosis phase show
problems, one must go back to identification phase.
5- Definitive model: for forecasting or control. One must verify which
models have the best RMSE and MAPE (it is worth noting that the
latter cannot be applied for values close to zero; in this case, it is
recommended that one use other method to analyze the errors).
An ARIMA (p,d,q) process is an ARMA with d differencing (differencing
should be done until the process become stationary). The SARIMA models are used
with series which shows a periodic behavior over time (s times). That is, when similar
performances are find time after time (with periodicity s) (BOX & JENKINS, 1970).
This is the case of the time series that this paper deals with.
9. 8
3.2. PROPOSED METHOD
The method used in this paper is the one step ahead forecast by employing
SARIMA models (Seasonal Autoregressive Integrated Moving Average), in accordance
with Box & Jenkins methodology as explained above.
The time series were constructed from a data set from the Inflation Monitor. The
Monitor series are built by using moving averages concerning previous periods of time.
For instance, the IPCA released on May 3 is estimated with data starting on April 3, and
so on. Therefore, the closer it is from the collection beginning, the greater the sort of
data will be related to the antecedent month. Thus, the forecasting error will be also
greater (Monitor).
As discussed in the first section, there were built six time series (TS) from daily
data set for this work. It is to say that the first one is created with parts of information
concerning to the first day of data collection. By following the example showed in
graphic 3, one can imagine that the collection always starts the third day of every
month. In connection with that, there is a monthly TS with information related to one
day after the collection starting and with “too much” information dating back the
previous month. To build the second time series, daily data from the second day after
the collection starting were used, and so on until the sixth TS. These six time series
were used in this paper in order to forecast daily IPCA.
Ultimately, it is worth remembering that the aforesaid hypotheses, though
useful, do not retreat the reality since the collection period changes every month.
Besides this, the days for the series can be Saturday, Sunday or Holiday, when the
Monitor does not estimate price index.
By using the six monthly time series and SARIMA models, it is possible to do
one step ahead forecasting for the IPCA. Furthermore, the purpose of this article is
using these subterfuges (construction of six time series + SARIMA models) in order to
boost the forecasting performed by the Inflation Monitor since its inflation estimations
put together too much information from the last month.
10. 9
Graphic 3 – Draft of the time series built in this article
Source: By the authors.
4. RESULTS
The six time series used in the models were made up of 87 observations between
February 2007 and April 2014. Then, it was created a one-step-ahead forecasting for
May 2014. Moreover, the forecasts were built for one, two, three until six days (in the
same month) after the last day that IPCA is collected by the IBGE.
The Box & Jenkins methodology for SARIMA models were used. In analyzing
the ACF and PACF, the IPCA time series could be considered stationary in the level
part and non-stationary in the seasonal part. Then, it was necessary differencing in the
seasonal part so that the non-stationarity could be corrected. The unit root test
(DICKEY & FULLER, 1979) rejected H0, revealing that the series were eventually
stationary, as it can be seen in the table 1 below.
Table 1: ADF Test ( Augmented Dickey-Fuller)
Series Lags t -Statistic (ADF) Critical Value 1% Critical Value 5%
1 5 -4,9899 -4,04 -3,45
2 5 -4,8807 -4,04 -3,45
3 5 -4,9842 -4,04 -3,45
4 5 -4,8832 -4,04 -3,45
5 5 -4,9017 -4,04 -3,45
6 5 -4,9527 -4,04 -3,45
Source: By authors (software R)
There were made tests for the normality of data (Jarque-Bera), whose null
hypothesis of skewness and curtosis equal to zero was not rejected (JARQUE & BERA,
11. 10
1987). Some models for every single time series were tested and the best-fit models are
showed in the table 2 below.
Table 2: Adjusted models
Series Chosen models
1 (0,0,2)(0,1,1)12
2 (0,0,1)(0,1,2)12
3 (0,0,2)(0,1,1)12
4 (0,0,2)(0,1,1)12
5 (0,0,2)(0,1,1)12
6 (0,0,2)(0,1,1)12
Source: By authors (software R)
The ACFs of the residual confirmed normality , in other words, they are
statistically equal to zero. These were the expected results and corroborate the models
fitting. Afterwards, there were made Jarque Bera test for normality and Ljung Box test
for serial autocorrelation (G.M.LJUNG & G.E.P.BOX, 1978).
The monthly forecasts using daily data showed the following results. The six
time series, that is those built from the six first days after the release of IPCA by IBGE
(each of the six series correspond to the number of days after the official announcement)
presented low Mean Absolute Error (MAE) when compared to the same measure related
to the Monitor errors for the same period of time (table 3). The MAE increased for
longer periods of time (this fact was observed by some other models constructed for
forecasting day beyond the initial six) and was more significantly than the Inflation
Monitor.
Table 3: Mean Absolut Error (MAE)
Series MAE
(days ahead) Monitor Model
1 0,048 0,043
2 0,044 0,031
3 0,041 0,037
4 0,044 0,038
5 0,042 0,039
6 0,039 0,038
Source: By authors (software R)
12. 11
It was verified that for the first six days the forecasting proposed in this paper is
more accurate than the estimation made by the Inflation Monitor. In addition to this
result, after the sixth day, the latter proved to be errorless when estimating daily
inflation.
5. CONCLUSIONS
The core purpose of this work was to reduce the forecast error of daily IPCA
done by the Inflation Monitor as it is more accurate for the closest days to the
announcement date of the official index (done by IBGE). It happens because the
Monitor uses data from the previous month. In doing a kind of moving average, the
Monitor absorbs the price index (IPCA) daily; thus, the closer to the end of the month it
is (when the IPCA is officially announced), the greater the amount of data collected in
the same month in analysis is, which conveys to more accurate daily estimations.
By using SARIMA models, the daily IPCA could be forecasted one step ahead.
In order to do this, there were built six time series corresponding to the period between
February 2007 and April 2014.
The achieved results corroborate the tested hypothesis by the models that the
first collections done shortly after the release of the official index and that are forecasted
until six days after this date can be forecasted more accurately by the models used in
this paper.
The data used to create the time series stem from the Inflation Monitor, which
does not take the seasonal feature of IPCA into consideration in its daily forecasting.
Despite this fact, the model deals with and treats the seasonality so that it manages to
improve the results showed by the Monitor for the first six days of the IPCA collection,
as well as to correct further irregularities.
Should those details be corrected, the results will be more accurate. Therefore, it
is proposed for future works to consider those aspects when modeling. Furthermore,
daily forecasts could be done by using SARIMA models.
As Pufnik ans Kunovac (2006) have done, this article suggests the hypothesis
that more precise results could be achieved by, firstly, forecasting the components of the
index themselves and, afterwards, by aggregating them in an index as a whole. The
authors put forward for consideration the implementation of these tests in further works
on the theme.
13. 12
6. REFERENCES
ARDEO, V., QUADROS, S., & PICCHETTI, P. (2013). A daily frequency inflation measure
and its information content on forecasts.
BARBOSA, F. D. (2014). As Curvas do Imposto Inflacionário nas Hiperinflações da Alemanha
e do Brasil. EPGE/FGV.
BARBOSA, F. D., & SALLUM, É. M. (2002, out-dez). Hiperinflação: um arcabouço teórico.
Revista Brasileira de Economia.
BOX, G. E., & JENKINS, G. M. (1970). Time Series Analysis forecasting and control.
DANTHINE, J., & DONALDSON, J. (2011). Intermediate Financial Theory.
DICKEY, D. A., & FULLER, W. A. (1979). Distribution of the Estimators for Autoregressive
Time Series with a Unit Root. Journal of the American Statistical Association, pp. 427–
431.
G.M.LJUNG, & G.E.P.BOX. (1978). On a Measure of a Lack of Fit in Time Series Models.
Biometrika, pp. 297-303.
GIAMBIAGI, F., VILLELA, A., DE CASTRO, L. B., & HERMANN, J. (2011). Economia
brasileira contemporânea 1945-2010. Campus.
GRANGER, C. W., & NEWBOLD, P. (1976). Forecasting transformed series. Journal of the
Royal Statistical Society B 38, pp. 189–203.
HAMILTON, J. D. (1994). Time series analysis.
JARQUE, C. M., & BERA, A. K. (1987). A test for normality of observations and regression
residuals. pp. 163–172.
NASON, G. (2008). Wavelet Methods in Statistics with R. Springer.
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