Estimating Brazilian Monthly GDP: a State-Space Approach
This paper has several contributions. The first is to employ a superior interpo lation method that enables to estimate, nowcastandforecast monthly Brazilian GDP for 1980-2012 in an integrated way-see Bernanke, Gertler, & Watson (1997)[Systematic monetary policy and the effects of oil price shocks(Brookings Papers in Economic Activity No.1)]. Second, along the spirit of Mariano & Murasawa (2003) [A new coincident index of business cycles based on monthly and quarterly series.Journal of Applied Econometrics, 18(4), 427-443], we propose and test a myriad of interpolation models and interpolation auxiliary series-all coincident with GDP from a business-cycle dating point of view. Based on these results, we finally choose the most appropriate monthly indicator for Brazilian GDP. Third, this monthly GDP estimate is compared to an economic ac tivity indicator widely used by practitioners in Brazil-the Brazilian Economic Activity Index (IBC-Br). We found that our monthly GDP tracks economic ac tivity better than IBC-Br. This happens by construction, since our state-space approach imposes the restriction (discipline) that our monthly estimate must add up to the quarterly observed series in any given quarter, which may not hold regarding IBC-Br. Moreover, our method has the advantage to be easily im plemented: it only requires conditioning on two observed series for estimation, while estimating IBC-Br requires the availability of hundreds of monthly series. Third, in a nowcasting and forecasting exercise, we illustrate the advantages of our integrated approach. Finally, we compare the chronology of recessions of our monthly estimate with those done elsewhere.
| Main Authors: | , |
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| Format: | Digital revista |
| Language: | English |
| Published: |
Fundação Getúlio Vargas
2016
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| Online Access: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402016000100041 |
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