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Ciclos Econõmicos e Métodos de Filtragem: “Fatos Estilizados” para o Caso Brasileiro

Author

Listed:
  • Vladimir K¨uhl Teles

    (FGV)

  • Paulo Springer

    (Banco Central do Brasil)

  • Michel Gomes

    (Banco Central do Brasil)

  • Nelson Paes

    (UnB)

  • André Cavalcanti

    (UnB)

Abstract

The paper examines the business cycle properties of a small set of real Brazilian macroeconomic time series using a variety of detrending methods. It is shown that both quantitatively and qualitatively “stylized facts” of Brazilian business cycle vary widely across detrending methods and that alternative detrending filters extract different types of information from the data. The paper also provides simulations of the Hansen and Prescott’s (1995) and Hansen’s (1985) dynamic general equilibrium models (the standard RBC model and the Indivisible Labor Model) and tries to match the facts of the artificial economy with those of the real economy. Implications and suggestions for current macroeconomic practice are provided.

Suggested Citation

  • Vladimir K¨uhl Teles & Paulo Springer & Michel Gomes & Nelson Paes & André Cavalcanti, 2005. "Ciclos Econõmicos e Métodos de Filtragem: “Fatos Estilizados” para o Caso Brasileiro," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 6(2), pages 291-328.
    • Handle: RePEc:anp:econom:v:6:y:2005:i:2:p:291-328
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    File URL: http://www.anpec.org.br/revista/vol6/vol6n2p291_328.pdf
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    Citations

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    Cited by:

    1. Almeida, Pedro Cameira de & Fuinhas, José Alberto & Marques, António Cardoso, 2011. "A assimetria dos ciclos económicos: Evidência internacional usando o teste triples [The asymmetry of business cycles: International evidence using triples test]," MPRA Paper 35208, University Library of Munich, Germany.

    More about this item

    Keywords

    Ciclos de Negóocios; Métodos de Filtragem; Calibração;
    All these keywords.

    JEL classification:

    • B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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