Indicadores antecedentes da inflação brasileira

Abstract

The goal of this paper is to construct leading indicators that anticipate inflation turning points in a real time monitoring basis. As a first step, turning points of the IPCA inflation are determined using a periodic stochastic Markov switching model. These turning points are the event timing that the leading indicators should anticipate. A dynamic factor model is then used to extract common cyclical movements in a set of variables that display predictive content for inflation. The leading indicators are designed to serve as practical tools to assist real-time monitoring of monetary policy on a monthly basis. Thus, the indicators are built and ranked according to their out-of-sample predictive performance. The leading indicators are found to be an informative tool for signaling future fases of the inflation cycle out-of-sample, even in real time when only preliminary and unrevised data are available.