dc.contributorDemais unidades::RPCA
dc.contributorFGV
dc.creatorIssler, João Victor
dc.creatorNotini, Hilton Hostalácio
dc.date.accessioned2015-09-22T13:18:46Z
dc.date.available2015-09-22T13:18:46Z
dc.date.created2015-09-22T13:18:46Z
dc.date.issued2015-07-10
dc.identifierISSLER, J. v.; NOTINI, H. H. Estimating Brazilian Monthly GDP: a State-Space Approach. Rio de Janeiro : FGV Crescimento e Desenvolvimento. Documentos de Trabalho. Working Papers. July 10, 2015
dc.identifierhttp://hdl.handle.net/10438/14072
dc.description.abstractThis paper has several original contributions. The rst is to employ a superior interpolation method that enables to estimate, nowcast and forecast monthly Brazilian GDP for 1980-2012 in an integrated way; see Bernanke, Gertler and Watson (1997, Brookings Papers on Economic Activity). Second, along the spirit of Mariano and Murasawa (2003, Journal of Applied Econometrics), we propose and test a myriad of interpolation models and interpolation auxiliary series all coincident with GDP from a business-cycle dating point of view. Based on these results, we nally choose the most appropriate monthly indicator for Brazilian GDP. Third, this monthly GDP estimate is compared to an economic activity indicator widely used by practitioners in Brazil- the Brazilian Economic Activity Index - (IBC-Br). We found that the our monthly GDP tracks economic activity better than IBC-Br. This happens by construction, since our state-space approach imposes the restriction (discipline) that our monthly estimate must add up to the quarterly observed series in any given quarter, whichmay not hold regarding IBC-Br. Moreover, our method has the advantage to be easily implemented: it only requires conditioning on two observed series for estimation, while estimating IBC-Br requires the availability of hundreds of monthly series. Third, in a nowcasting and forecasting exercise, we illustrate the advantages of our integrated approach. Finally, we compare the chronology of recessions of our monthly estimate with those done elsewhere.
dc.languageeng
dc.publisherFGV Crescimento e Desenvolvimento
dc.relationDocumentos de Trabalho
dc.relationWorking Papers
dc.subjectGDP interpolation
dc.subjectState-space representation
dc.subjectKalman filter
dc.subjectComposite and leading indicators
dc.subjectNowcasting
dc.subjectForecasting
dc.titleEstimating Brazilian monthly GDP: a state-space approach
dc.typeArticle (Journal/Review)


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