Financial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic Models
We examine the usefulness of various financial and real sector variables to forecast recessions in Brazil between one and eight quarters ahead. We estimate probabilistic models of recession and select models based on their outof-sample forecasts, using the Receiver Operating Characteristic (ROC) fun...
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| Format: | Article |
| Language: | English |
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Fundação Getúlio Vargas
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| Series: | Revista Brasileira de Economia |
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| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402016000300337&lng=en&tlng=en |