Estimating Brazilian Monthly GDP: a State-Space Approach
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Revista Brasileira de Economia (Online) |
Texto Completo: | https://periodicos.fgv.br/rbe/article/view/29022 |
Resumo: | This paper has several original contributions. The fi 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 froma business-cycle dating point of view. Based on these results, we fi 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 estimatewith those done elsewhere. |
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Estimating Brazilian Monthly GDP: a State-Space ApproachGDP InterpolationState-space RepresentationKalman FilterComposite and Leading IndicatorsNowcastingForecastingThis paper has several original contributions. The fi
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 froma business-cycle dating point of view. Based on these results, we fi
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 estimatewith those done elsewhere.EGV EPGE2016-03-30info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticlesArtigosapplication/pdfhttps://periodicos.fgv.br/rbe/article/view/29022Revista Brasileira de Economia; Vol. 70 No. 1 (2016): Jan-Mar; 41-59Revista Brasileira de Economia; v. 70 n. 1 (2016): Jan-Mar; 41-591806-91340034-7140reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGVporhttps://periodicos.fgv.br/rbe/article/view/29022/58562Copyright (c) 2016 Revista Brasileira de Economiainfo:eu-repo/semantics/openAccessIssler, João VictorNotini, Hilton Hostalacio2016-12-15T19:39:42Zoai:ojs.periodicos.fgv.br:article/29022Revistahttps://periodicos.fgv.br/rbe/https://periodicos.fgv.br/rbe/oai||rbe@fgv.br1806-91340034-7140opendoar:2024-03-06T13:03:41.390887Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)true |
dc.title.none.fl_str_mv |
Estimating Brazilian Monthly GDP: a State-Space Approach |
title |
Estimating Brazilian Monthly GDP: a State-Space Approach |
spellingShingle |
Estimating Brazilian Monthly GDP: a State-Space Approach Issler, João Victor GDP Interpolation State-space Representation Kalman Filter Composite and Leading Indicators Nowcasting Forecasting |
title_short |
Estimating Brazilian Monthly GDP: a State-Space Approach |
title_full |
Estimating Brazilian Monthly GDP: a State-Space Approach |
title_fullStr |
Estimating Brazilian Monthly GDP: a State-Space Approach |
title_full_unstemmed |
Estimating Brazilian Monthly GDP: a State-Space Approach |
title_sort |
Estimating Brazilian Monthly GDP: a State-Space Approach |
author |
Issler, João Victor |
author_facet |
Issler, João Victor Notini, Hilton Hostalacio |
author_role |
author |
author2 |
Notini, Hilton Hostalacio |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Issler, João Victor Notini, Hilton Hostalacio |
dc.subject.por.fl_str_mv |
GDP Interpolation State-space Representation Kalman Filter Composite and Leading Indicators Nowcasting Forecasting |
topic |
GDP Interpolation State-space Representation Kalman Filter Composite and Leading Indicators Nowcasting Forecasting |
description |
This paper has several original contributions. The fi
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 froma business-cycle dating point of view. Based on these results, we fi
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 estimatewith those done elsewhere. |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-03-30 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Articles Artigos |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://periodicos.fgv.br/rbe/article/view/29022 |
url |
https://periodicos.fgv.br/rbe/article/view/29022 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://periodicos.fgv.br/rbe/article/view/29022/58562 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2016 Revista Brasileira de Economia info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2016 Revista Brasileira de Economia |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
EGV EPGE |
publisher.none.fl_str_mv |
EGV EPGE |
dc.source.none.fl_str_mv |
Revista Brasileira de Economia; Vol. 70 No. 1 (2016): Jan-Mar; 41-59 Revista Brasileira de Economia; v. 70 n. 1 (2016): Jan-Mar; 41-59 1806-9134 0034-7140 reponame:Revista Brasileira de Economia (Online) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Revista Brasileira de Economia (Online) |
collection |
Revista Brasileira de Economia (Online) |
repository.name.fl_str_mv |
Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
||rbe@fgv.br |
_version_ |
1798943115156914176 |