Economic cycles and term structure: application to Brazil
Autor(a) principal: | |
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Data de Publicação: | 2010 |
Outros Autores: | |
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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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 |
eu_rights_str_mv |
openAccess |
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