Since 2014
A Monthly Indicator of Brazilian GDP
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
A Monthly Indicator of Brazilian GDP
A Monthly Indicator of Brazilian GDP |
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| Creator |
Chauvet, Marcelle; Department of Economics, University of California
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| Subject |
Business Cycle; Dynamic Factor; Markov Switching; Composite Indicators; Kalm an Filter; Filtered Probabilities; Forecast
C32; C50; E32 Business Cycle; Dynamic Factor; Markov Switching; Composite Indicators; Kalm an Filter; Filtered Probabilities; Forecast C32; C50; E32 |
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| Description |
This paper constructs an indicator of Brazilian GDP at the monthly frequency. The peculiar instability and abrupt changes of regimes in the dynamic behavior of the Brazilian business cycle are explicitly modeled within nonlinear frameworks. In particular, a Markov switching dynamic factor model is used to combine several macroeconomic variables that display simultaneous comovements with aggregate economic activity. The model generates as output a monthly indicator of the Brazilian GDP and real time probabilities of the current phase of the Brazilian business cycle. The monthly indicator shows a remarkable historical conformity with cyclical movements of GDP. In addition, the estimated filtered probabilities predict all recessions in sample and out-of-sample. The ability of the indicator in linear forecasting growth rates of GDP is also examined within and out-of-sample. In both cases the estimated indicator displays a better predictive performance compared to a linear autoregressive model for GDP. In particular, the inclusion of lags of the indicator improves substantially forecasts of the severity of recessions and strength of expansions, as measured by the volatility of changes in GDP. These results suggest that the estimated monthly indicator can be used to forecast GDP and to monitor the state of the Brazilian economy in real time.
Esse artigo constr6i um indicador do PIB brasileiro em frequencia mensal. A instabilidade e mudan |
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| Publisher |
Sociedade Brasileira de Econometria
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| Date |
2001-05-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/3191
10.12660/bre.v21n12001.3191 |
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| Source |
Brazilian Review of Econometrics; Vol 21, No 1 (2001); 1-47
Brazilian Review of Econometrics; Vol 21, No 1 (2001); 1-47 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/3191/2076
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