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Economic cycles and term structure: application to Brazil

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  • Ribeiro, Priscila Fernandes
  • Pereira, Pedro L. Valls

Abstract

The objective of this work is to describe the behavior of the economic cycle in Brazil through Markov processes which can jointly model the slope factor of the yield curve, obtained by the estimation of the Nelson-Siegel Dynamic Model by the Kalman filter and a proxy variable for economic performance, providing some forecasting measure for economic cycles

Suggested Citation

  • Ribeiro, Priscila Fernandes & Pereira, Pedro L. Valls, 2010. "Economic cycles and term structure: application to Brazil," Textos para discussão 259, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  • Handle: RePEc:fgv:eesptd:259
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    File URL: http://bibliotecadigital.fgv.br/dspace/bitstream/10438/6858/1/TD%20259%20-%20Pedro%20L.%20Valls.pdf
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    Cited by:

    1. Bilgili, Faik, 2012. "Linear and nonlinear TAR panel unit root analyses for solid biomass energy supply of European countries," Renewable and Sustainable Energy Reviews, Elsevier, vol. 16(9), pages 6775-6781.
    2. 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.
    3. Rodrigo Cabral & Richard Munclinger & Luiz Alves & Marco Rodriguez Waldo, 2011. "On Brazil’s Term Structure; Stylized Facts and Analysis of Macroeconomic Interactions," IMF Working Papers 11/113, International Monetary Fund.
    4. Marçal, Emerson Fernandes & Pereira, Pedro L. Valls, 2012. "Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break," Textos para discussão 314, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).

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