Multifractal risk measures by Macroeconophysics perspective: The case of Brazilian inflation dynamics

被引：23

作者：

Fernandes, Leonardo H. S. ^{[1
]}

Silva, Jose W. L. ^{[2
]}

de Araujo, Fernando H. A. ^{[2
]}

机构：

[1] Univ Fed Rural Pernambuco, Dept Econ & Informat, BR-56909535 Serra Talhada, PE, Brazil

[2] Univ Fed Rural Pernambuco, Dept Stat & Informat, BR-52171900 Recife, PE, Brazil

来源：

CHAOS SOLITONS & FRACTALS | 2022年 / 158卷

关键词：

Macroeconophysics; Brazilian inflation indexes; Multifractality; Cross-correlation; Complexity; Risk measures; DETRENDED FLUCTUATION ANALYSIS; ECONOMIC-GROWTH; ECONOPHYSICS; WELFARE; VOLATILITY; IMPACT; MONEY;

D O I：

10.1016/j.chaos.2022.112052

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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.

引用

页数：10

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