Construção de Indicadores Antecedentes para a Atividade Industrial Brasileira e Comparação de Metodologias
João Victor Issler
In this first working paper on leading indicators, we review the literature on the subject and, on this framework, we apply some methods of leading indicators building for industrial activity, testing in-sample, in order to monitor the industrial activity growing and its business cycle detection. Regarding leading series selection for Brazilian case, we support it on recent literature (SPACOV, 2001), testing, selecting the leading series by time leading, Granger-causality and comparison with others works. For leading indicator composition, specifically, we consider the Vectorial Auto-Regressive system, with and without error correction term as well as a simple probit system for business cycle forecast. We conclude, that a VECM can be used successfully and, in-sample, on a visual evaluation, overrule the VAR system and the probit system is quite efficient, despite its simplicity.
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