Triple-Filter Core Inflation: A Measure of the Inflation Trajectory

In countries with high inflation, as is the case of Brazil, the traditional cores inflation do not seem to deliver much information about the general level of prices. Therefore, we present a new measure, the Triple-Filter core inflation, which filters inflation in three ways: trimmed mean with smoothed items, seasonal adjustment and moving averages. The results allow us to say that the Triple-Filter core inflation, in addition to providing more information about the inflation trajectory than traditional core inflation, provides a more up-to-date view on the state of inflation than the accumulated inflation over 12 months.

在高通胀国家（如巴西），传统核心通货膨胀（core inflation）似乎难以提供有效信息以反映总体物价水平。为此，我们提出一种全新测算方法：三重过滤核心通货膨胀（Triple-Filter core inflation），该方法通过三种路径对通胀进行滤波处理：带平滑项的截尾均值法、季节调整法与移动平均法。研究结果显示，相较于传统核心通货膨胀，三重过滤核心通货膨胀不仅能提供更多通胀走势相关信息，还比12个月累计通胀更能及时展现当前的通胀状态。