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Output Gap and GDP in Brazil: a real-time data analysis

Author

Listed:
  • Rafael Tiecher Cusinato
  • André Minella
  • Sabino da Silva Pôrto Júnior

Abstract

Economic agents make decisions using real-time data. However, recent literature has shown that several economic activity measures go through important revisions over time, impairing the reliability of real-time data. We organize a real-time dataset for Brazil’s GDP, and assess the revisions of GDP growth and the output gap. We show that GDP growth revisions are substantial, with a 0.7 p.p. mean absolute revision for the quarter-over-quarter growth, although the revisions become less important for four-quarter changes. To assess output gap revisions, we use four methods to estimate the output gap: Hodrick-Prescott filter, linear trend, quadratic trend, and Harvey-Clark model of unobservable components. The output gap revisions are substantial in all methods, with absolute mean revisions between 0.6 p.p. and 2.3 p.p. In three out of the four methods, the revisions implied changes in the output gap sign in 30 percent or more of the cases. In general, both the GDP data revision and the sample increase are relevant sources of output gap revisions. Key words: Real-time data; Output gap; Gross Domestic Product; Business cycle; Brazil. JEL classification: C82; E32.

Suggested Citation

  • Rafael Tiecher Cusinato & André Minella & Sabino da Silva Pôrto Júnior, 2010. "Output Gap and GDP in Brazil: a real-time data analysis," Working Papers Series 203, Central Bank of Brazil, Research Department.
  • Handle: RePEc:bcb:wpaper:203
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    File URL: http://www.bcb.gov.br/pec/wps/ingl/wps203.pdf
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    Cited by:

    1. Pierre-Richard Agénor & Luiz A. Pereira da Silva, 2013. "Inflation Targeting and Financial Stability: A Perspective from the Developing World," Working Papers Series 324, Central Bank of Brazil, Research Department.
    2. repec:spr:jbuscr:v:12:y:2016:i:1:d:10.1007_s41549-016-0004-3 is not listed on IDEAS

    More about this item

    JEL classification:

    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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