The Brazilian Business Cycle and Growth Cycle

UC Riverside Economics Working Paper No. 2000

35 Pages Posted: 19 Dec 2000

See all articles by Marcelle Chauvet

Marcelle Chauvet

University of California Riverside

Date Written: July 2001

Abstract

This paper uses several procedures to date and analyze the Brazilian business cycle and growth cycle. In particular, a Markov switching model is fitted to quarterly and annual real production data. The smoothed probabilities of the Markov states are used as predictive rules to define different phases of cyclical fluctuations of real Brazilian production. The results are compared with different non-parametric rules. All methods implemented yield similar dating and reveal asymmetries across the different states of the Brazilian business and growth cycle, in which slowdowns and recessions are short and abrupt, while high growth phases and expansions are longer and less steep. The resulting dating of the Brazilian economic cycles can be used as a reference point for construction and evaluation of the predictive performance of coincident, leading, or lagging indicators of economic activity. In addition, the filtered probabilities obtained from the Markov switching model allow early recognition of the transition to a new business cycle phase, which can be used, for example, for evaluation of the adequate strength and timing of counter-cyclical policies, for reassessment of projected sales or profits by businesses and investors, or for monitoring of inflation pressures.

Keywords: Business Cycle, Growth Cycle, Markov Switching, Non-Parametric Rules

JEL Classification: C32, C50, E32

Suggested Citation

Chauvet, Marcelle, The Brazilian Business Cycle and Growth Cycle (July 2001). UC Riverside Economics Working Paper No. 2000. Available at SSRN: https://ssrn.com/abstract=253715 or http://dx.doi.org/10.2139/ssrn.253715

Marcelle Chauvet (Contact Author)

University of California Riverside ( email )

900 University Avenue
4136 Sproul Hall
Riverside, CA 92521
United States
(951) 827-1587 (Phone)

HOME PAGE: http://https://sites.google.com/site/marcellechauvet/

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