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

Detalhes bibliográficos
Autor(a) principal: Oliveira, Fernando Nascimento de
Data de Publicação: 2016
Tipo de documento: Artigo
Idioma: por
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: https://periodicos.fgv.br/rbe/article/view/57012
Resumo: We 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.  
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spelling Financial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic ModelsRecessionForecastsReceiver Operating Characteristic (ROC)We 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.  EGV EPGE2016-09-30info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticlesArtigosapplication/pdfhttps://periodicos.fgv.br/rbe/article/view/57012Revista Brasileira de Economia; Vol. 70 No. 3 (2016): Jul-Set; 337-355Revista Brasileira de Economia; v. 70 n. 3 (2016): Jul-Set; 337-3551806-91340034-7140reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGVporhttps://periodicos.fgv.br/rbe/article/view/57012/62177Copyright (c) 2016 Revista Brasileira de Economiainfo:eu-repo/semantics/openAccessOliveira, Fernando Nascimento de2016-12-15T19:31:39Zoai:ojs.periodicos.fgv.br:article/57012Revistahttps://periodicos.fgv.br/rbe/https://periodicos.fgv.br/rbe/oai||rbe@fgv.br1806-91340034-7140opendoar:2024-03-06T13:03:43.419247Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)true
dc.title.none.fl_str_mv Financial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic Models
title Financial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic Models
spellingShingle Financial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic Models
Oliveira, Fernando Nascimento de
Recession
Forecasts
Receiver Operating Characteristic (ROC)
title_short Financial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic Models
title_full Financial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic Models
title_fullStr Financial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic Models
title_full_unstemmed Financial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic Models
title_sort Financial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic Models
author Oliveira, Fernando Nascimento de
author_facet Oliveira, Fernando Nascimento de
author_role author
dc.contributor.author.fl_str_mv Oliveira, Fernando Nascimento de
dc.subject.por.fl_str_mv Recession
Forecasts
Receiver Operating Characteristic (ROC)
topic Recession
Forecasts
Receiver Operating Characteristic (ROC)
description We 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.  
publishDate 2016
dc.date.none.fl_str_mv 2016-09-30
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/57012
url https://periodicos.fgv.br/rbe/article/view/57012
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://periodicos.fgv.br/rbe/article/view/57012/62177
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. 3 (2016): Jul-Set; 337-355
Revista Brasileira de Economia; v. 70 n. 3 (2016): Jul-Set; 337-355
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
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