Economic cycles and term structure: application to Brazil

Detalhes bibliográficos
Autor(a) principal: Ribeiro, Priscila Fernandes
Data de Publicação: 2010
Outros Autores: Pereira, Pedro L. Valls
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/6858
Resumo: The objective of this work is to describe the behavior of the economic cycle in Brazil through Markov processes which can jointly model the slope factor of the yield curve, obtained by the estimation of the Nelson-Siegel Dynamic Model by the Kalman filter and a proxy variable for economic performance, providing some forecasting measure for economic cycles
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spelling Ribeiro, Priscila FernandesPereira, Pedro L. VallsEscolas::EESP2010-06-29T15:42:45Z2010-06-29T15:42:45Z2010-06-29http://hdl.handle.net/10438/6858The objective of this work is to describe the behavior of the economic cycle in Brazil through Markov processes which can jointly model the slope factor of the yield curve, obtained by the estimation of the Nelson-Siegel Dynamic Model by the Kalman filter and a proxy variable for economic performance, providing some forecasting measure for economic cyclesengTextos para discussão - EESP ; 259Ciclos econômicos - BrasilEconomiaEconomiaEconomic cycles and term structure: application to Brazilinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALTD 259 - Pedro L. Valls.pdfTD 259 - Pedro L. 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dc.title.eng.fl_str_mv Economic cycles and term structure: application to Brazil
title Economic cycles and term structure: application to Brazil
spellingShingle Economic cycles and term structure: application to Brazil
Ribeiro, Priscila Fernandes
Ciclos econômicos - Brasil
Economia
Economia
title_short Economic cycles and term structure: application to Brazil
title_full Economic cycles and term structure: application to Brazil
title_fullStr Economic cycles and term structure: application to Brazil
title_full_unstemmed Economic cycles and term structure: application to Brazil
title_sort Economic cycles and term structure: application to Brazil
author Ribeiro, Priscila Fernandes
author_facet Ribeiro, Priscila Fernandes
Pereira, Pedro L. Valls
author_role author
author2 Pereira, Pedro L. Valls
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.author.fl_str_mv Ribeiro, Priscila Fernandes
Pereira, Pedro L. Valls
dc.subject.por.fl_str_mv Ciclos econômicos - Brasil
topic Ciclos econômicos - Brasil
Economia
Economia
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Economia
description The objective of this work is to describe the behavior of the economic cycle in Brazil through Markov processes which can jointly model the slope factor of the yield curve, obtained by the estimation of the Nelson-Siegel Dynamic Model by the Kalman filter and a proxy variable for economic performance, providing some forecasting measure for economic cycles
publishDate 2010
dc.date.accessioned.fl_str_mv 2010-06-29T15:42:45Z
dc.date.available.fl_str_mv 2010-06-29T15:42:45Z
dc.date.issued.fl_str_mv 2010-06-29
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/6858
url http://hdl.handle.net/10438/6858
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Textos para discussão - EESP ; 259
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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institution FGV
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collection Repositório Institucional do FGV (FGV Repositório Digital)
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