Português

Marina de Figueiredo Garrido, João Victor Issler, Luana Moreira de Miranda Pimentel and José Júlio Senna

Revista Brasileira de Economia - RBE, 2025, vol. 79, issue 1

Abstract: In this article, we have built a Financial Conditions Index (ICF) for Brazil that aims to identify financial shocks capable of influencing future economic activity. The methodology summarizes the information present in financial variables through the analysis of principal components that differs from the standard applications by the fact that it reflects only exogenous information associated with the financial sector. An original contribution of this work was to adapt the ICF to the Brazilian reality and to the daily frequency, using a model in state space form estimated via Kalman filter and making use of financial variables in high frequency. The empirical results show that the ICF improves the performance of traditional GDP forecasting models.

Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgrbe:v:79:y:2025:i:1:a:83379

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