English, Article, Journal or magazine article edition: Construção de Indicadores Coincidentes para a Atividade Industrial Brasileira e Comparação de Metodologias Gilberto Hollauer; João Victor Issler

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Bookmark: http://trove.nla.gov.au/version/1978
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Construção de Indicadores Coincidentes para a Atividade Industrial Brasileira e Comparação de Metodologias
Author
  • Gilberto Hollauer
  • João Victor Issler
Physical Description
  • preprint
Notes
  • 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. In respect of selection of coincident series for the Brazilian case, we will lean on recent literature (SPACOV, 2001). 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 and a Stock-Watson approach. Finally, we test if the unemployment series can be a good indicator for recession, as in American case, when submitted to a Hamilton Modeling. We conclude that, in general, the TCB index outperform 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. The Stock-Watson approach and the Hamilton modeling are not appropriate for Brazilian Industrial Economy. The former because ignore almost all recessive periods known and the second, on the contrary, since indicates a excessive ones. In addition, we have concluded that when we compare with preceding research, dating made by Duarte, Issler e Spacov for instance, the standard TCB method is superior and most appropriated.
  • RePEc:ipe:ipetds:1194
Language
  • English
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