Economic cycles and term structure: application to Brazil

Priscila Fernandes Ribeiro and Pedro Valls Pereira

No 259, Textos para discussão from FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

Abstract: 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

Date: 2010-06-29
New Economics Papers: this item is included in nep-for and nep-mac
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:fgv:eesptd:259

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