Economic cycles and term structure : application to Brazil
AbstractThe objective of this work is to describe the behavior of the economiccycle in Brazil through Markov processes which can jointly model the slopefactor of the yield curve, obtained by the estimation of the Nelson-SiegelDynamic Model by the Kalman filter and a proxy variable for economicperformance, providing some forecasting measure for economic cycles
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) in its series Textos para discussão with number 259.
Date of creation: 29 Jun 2010
Date of revision:
Contact details of provider:
Postal: Rua Itapeva, 474, 13o andar, CEP 01332-000, São Paulo - SP
Phone: 55 (011) 3799-3350
Fax: 55 (011) 3799-3357
Web page: http://eesp.fgv.br
More information through EDIRC
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-10 (All new papers)
- NEP-FOR-2010-07-10 (Forecasting)
- NEP-MAC-2010-07-10 (Macroeconomics)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Bilgili, Faik & Tülüce, Nadide Sevil Halıcı & Doğan, İbrahim, 2012. "The determinants of FDI in Turkey: A Markov Regime-Switching approach," Economic Modelling, Elsevier, vol. 29(4), pages 1161-1169.
- Marçal, Emerson Fernandes & Valls Pereira, Pedro L., 2012. "Evaluating the existence of structural change in the brazilian term structure of interest : evidence based on cointegration models with structural break," Textos para discussÃ£o 314, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
- Rodrigo Cabral & Richard Munclinger & Luiz Alves & Marco Rodriguez Waldo, 2011. "On Brazilâ€™s Term Structure: Stylized Facts and Analysis of Macroeconomic Interactions," IMF Working Papers 11/113, International Monetary Fund.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Núcleo de Computação da EPGE).
If references are entirely missing, you can add them using this form.