首页|Multifractal risk measures by Macroeconophysics perspective: The case of Brazilian inflation dynamics
Multifractal risk measures by Macroeconophysics perspective: The case of Brazilian inflation dynamics
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NSTL
Elsevier
This paper examines the Brazilian inflation indexes dynamics using the multifractal detrended fluctuations analysis (MF-DFA) and the multifractal detrended cross-correlation analysis (MF-DCCA). We find that the Brazilian inflation indexes (alpha(0)> 0.5) and the pairs of Brazilian Inflation indexes (Delta alpha> 0.5) display a persistentmultifractal behaviour, high complexity and skewsymmetries. Also, we propose a novel multifractal risk measure (MR) considering the multifractal cross-correlation measure (MRCC). The higher MR and MRCC values indicate the more complex and persistent analyzed phenomenon. In contrast, the lowest MR value indicates less complexity and less persistence. Froma Macroeconophysics perspective, our findings clarify that the dynamics of Brazilian inflation indexes and the pairs of Brazilian inflation indexes genuinely have a robust inertial component that makes inflation last for a long time. (C) 2022 Elsevier Ltd. All rights reserved.
NSTL
Elsevier
