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A Study of the Brazilian business cycles (1900 – 2012)

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  • Valls Pereira, Pedro L.
  • Vieira, Heleno Piazentini

Abstract

This paper studies the Brazilian business cycles in the period of 1900 to 2012. Since the quarterly series of the actual GDP only starts in 1980 we had to build the series for the period of 1900 to 1979, using the time series structural model with temporal disaggregation for the first period. After that, a Markov switching model is proposed to build a chronology of the business cycles. The chosen model has two separate regimes with different scenarios of expansion and recession, and the dating carried out in this paper is compared with other studies on the theme, and characterizations for the growth phases that can support studies of the economic history in Brazil are proposed.

Suggested Citation

  • Valls Pereira, Pedro L. & Vieira, Heleno Piazentini, 2013. "A Study of the Brazilian business cycles (1900 – 2012)," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 33(2), November.
    • Handle: RePEc:sbe:breart:v:33:y:2013:i:2:a:17176
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    1. Backus, David K & Kehoe, Patrick J, 1992. "International Evidence of the Historical Properties of Business Cycles," American Economic Review, American Economic Association, vol. 82(4), pages 864-888, September.
    2. Roberto Ellery-Jr. & Victor Gomes, 2005. "Ciclo de Negócios no Brasil Durante o Século XX – Uma Comparação com a Evidência Internacional," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 6(1), pages 45-66.
    3. Markus Haas, 2004. "A New Approach to Markov-Switching GARCH Models," Journal of Financial Econometrics, Oxford University Press, vol. 2(4), pages 493-530.
    4. Eurilton Araújo & Luciane C. Carpena & Alexandre B. Cunha, 2005. "Brazilian Business Cycles and Growth from 1850 to 2000," IBMEC RJ Economics Discussion Papers 2005-05, Economics Research Group, IBMEC Business School - Rio de Janeiro.
    5. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
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