Financial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic Models

dc.creatorOliveira, Fernando Nascimento de
dc.date2016-09-30
dc.date.accessioned2023-08-31T21:37:51Z
dc.date.available2023-08-31T21:37:51Z
dc.identifierhttps://periodicos.fgv.br/rbe/article/view/57012
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/8560138
dc.descriptionWe examine the usefulness of various financial and real sector variables to forecast recessions in Brazil between one and eight quarters ahead. We estimate probabilistic models of recession and select models based on their out-of-sample forecasts, using the Receiver Operating Characteristic (ROC) function. We find that the predictive out-of-sample ability of several models vary depending on the numbers of quarters ahead to forecast and on the number of regressors used in the model specification. The models selected seem to be relevant to give early warnings of recessions in Brazil.  pt-BR
dc.formatapplication/pdf
dc.languagepor
dc.publisherEGV EPGEpt-BR
dc.relationhttps://periodicos.fgv.br/rbe/article/view/57012/62177
dc.rightsCopyright (c) 2016 Revista Brasileira de Economiapt-BR
dc.sourceRevista Brasileira de Economia; Vol. 70 No. 3 (2016): Jul-Set; 337-355en-US
dc.sourceRevista Brasileira de Economia; v. 70 n. 3 (2016): Jul-Set; 337-355pt-BR
dc.source1806-9134
dc.source0034-7140
dc.subjectRecessionpt-BR
dc.subjectForecastspt-BR
dc.subjectReceiver Operating Characteristic (ROC)pt-BR
dc.titleFinancial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic Modelspt-BR
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion
dc.typeArticlesen-US
dc.typeArtigospt-BR


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