Novo indicador coincidente para a atividade industrial brasileira

• Autor(a) principal: Hollauer, Gilberto
• Data de Publicação: 2009
• Outros Autores: Issler, João Victor, Notini, Hilton H.
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Economia Aplicada
• Texto Completo: https://www.revistas.usp.br/ecoa/article/view/998
• topic: Time Series Models; coincident index; business cycles; Modelos de Séries Temporais; indicadores coincidentes; ciclos de negócios

In this paper we perform and evaluate, in sample, some methodologies for building of coincident indicators focusing on the detection of business cycle of the Industrial activity. Specifically, we try a version of coincident indicator based on the coincident indicator for economy of the TCB (The Conference Board), a modified version in which the volatility is modeled, a Stock-Watson approach and a Mariano-Murasawa approach. We conclude that, in general, the TCB index out-performs the others methods tested, being competitive just with the modified method. Furthermore, The TCB Traditional has the tendency to comprehend the recessives periods of the others, in correspondence with the known recessive periods for industrial activity.