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
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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
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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)
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- 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.
- 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).
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