Central bank research hub - Papers by Francisco Marcos Rodrigues Figueiredo
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Research hub papers by author Francisco Marcos Rodrigues FigueiredoenLocal Unit Root and Inflationary Inertia in Brazil
http://www.bcb.gov.br/pec/wps/port/wp406.asp?idiom=I
Central Bank of Brazil Working Papers by Wagner Piazza Gaglianone, Osmani Teixeira de Carvalho Guilln and Francisco Marcos Rodrigues FigueiredoLocal Unit Root and Inflationary Inertia in Brazil2015-11-27T17:32:59ZIn this paper, we study the persistence of Brazilian inflation using quantile regression techniques. To characterize the inflation dynamics we employ the Quantile Autoregression model (QAR) of Koenker and Xiao (2004, 2006), where the autoregressive coefficient may assume different values in distinct quantiles, allowing testing the asymmetry hypothesis for the inflation dynamics. Furthermore, the model allows investigating the existence of a local unit root behavior, with episodes of mean reversion sufficient to ensure stationarity. In other words, the model enables one to identify locally unsustainable dynamics, but still compatible with global stationarity; and it can be reformulated in a more conventional random coefficient notation to reveal the periods of local non-stationarity. Another advantage of this technique is the estimation method, which does not require knowledge of the innovation process distribution, making the approach robust against poorly specified models. An empirical exercise with Brazilian inflation data and its components illustrates the methodology. As expected, the behavior of inflation dynamics is not uniform across different conditional quantiles. In particular, the results can be summarized as follows: (i) the dynamics is stationary for most quantiles; (ii) the process is non-stationary in the upper tail of the conditional distribution; (iii) the periods associated with local unsustainable dynamics can be related to those of increased risk aversion and higher inflation expectations; and (iv) out-of-sample forecasting exercises show that the QAR model at the median quantile level can exhibit, in some cases, lower mean squared error (MSE) compared to the random walk and AR forecasts.Local Unit Root and Inflationary Inertia in BrazilAbstracthttp://www.bcb.gov.br/pec/wps/port/wp406.asp?idiom=IFull texthttp://www.bcb.gov.br/pec/wps/ingl/wps406.pdfWagner P. GaglianoneFrancisco Marcos Rodrigues FigueiredoOsmani Teixeira de Carvalho GuillénWagner Piazza Gaglianone, Osmani Teixeira de Carvalho Guilln and Francisco Marcos Rodrigues Figueiredo2015-11Central Bank of Brazil Working PapersC14C22E31Assessing the Short-term Forecasting Power of Confidence Indices
http://www.bcb.gov.br/pec/wps/port/wp371.asp?idiom=I
Central Bank of Brazil Working Papers by Euler Pereira G. de Mello and Francisco Marcos R. FigueiredoAssessing the Short-term Forecasting Power of Confidence Indices2014-12-13T17:53:00ZThis paper assesses the predictive power of the main confidence índices available in Brazil to forecast economic activity. More specifically, we consider a set of economic activity variables and, for each of those, compare the predictive power of a univariate autoregressive model to that of a similar model that includes confidence index. Preliminary results using the Diebold Mariano test suggest that the Industry Confidence Index (ICI) provides relevant information, for both present and the near future, on some economic activity variables of interest to the economic agents.Assessing the Short-term Forecasting Power of Confidence IndicesAbstracthttp://www.bcb.gov.br/pec/wps/port/wp371.asp?idiom=IFull texthttp://www.bcb.gov.br/pec/wps/ingl/wps371.pdfEuler Pereira G. de MelloFrancisco Marcos Rodrigues FigueiredoEuler Pereira G. de Mello and Francisco Marcos R. Figueiredo2014-12Central Bank of Brazil Working PapersC32E17E27A Volatility and Persistence-Based Core Inflation
http://www.bcb.gov.br/pec/wps/port/wp367.asp?idiom=I
Central Bank of Brazil Working Papers by Tito Ncias Teixeira da Silva Filho and Francisco Marcos Rodrigues FigueiredoA Volatility and Persistence-Based Core Inflation2014-11-13T17:53:00ZIntuitively core inflation is understood as a measure of inflation where noisy price movements are avoided. This is typically achieved by either excluding or downplaying the importance of the most volatile items. However, some of those items show high persistence, and one certainly does not want to disregard persistent price changes. The non equivalence between volatility and (the lack of) persistence implies that when one excludes volatile items relevant information is likely to be discarded. Therefore we propose a new type of core inflation measure, one that takes simultaneously into account both volatility and persistence. The evidence shows that such measures far outperform those based on either volatility or persistence.A Volatility and Persistence-Based Core InflationAbstracthttp://www.bcb.gov.br/pec/wps/port/wp367.asp?idiom=IFull texthttp://www.bcb.gov.br/pec/wps/ingl/wps368.pdfTito Nícias Teixeira da Silva FilhoFrancisco Marcos Rodrigues FigueiredoTito Ncias Teixeira da Silva Filho and Francisco Marcos Rodrigues Figueiredo2014-11Central Bank of Brazil Working PapersC43E31E52Forecasting Brazilian Inflation Using a Large Data Set
http://www.bcb.gov.br/pec/wps/ingl/wps228.pdf
Central Bank of Brazil Working Papers by Francisco Marcos Rodrigues FigueiredoForecasting Brazilian Inflation Using a Large Data Set2011-02-11T17:36:00ZThe objective of this paper is to verify if exploiting the large data set available to the Central Bank of Brazil, makes it possible to obtain forecast models that are serious competitors to models typically used by the monetary authorities for forecasting inflation. Some empirical issues such as the optimal number of variables to extract the factors are also addressed. I find that the best performance of the data rich models is usually for 6-step ahead forecasts. Furthermore, the factor model with targeted predictors presents the best results among other data-rich approaches, whereas PLS forecasts show a relative poor performance.Forecasting Brazilian Inflation Using a Large Data SetAbstracthttp://www.bcb.gov.br/pec/wps/port/wp228.asp?idiom=IFull texthttp://www.bcb.gov.br/pec/wps/ingl/wps228.pdfFrancisco Marcos Rodrigues FigueiredoFrancisco Marcos Rodrigues Figueiredo2010-12Central Bank of Brazil Working Papers