In this paper, we propose an econometric model of the joint dynamic relationship between the yield curve and the economy to predict business cycles. We examine the predictive value of the yield curve to forecast future economic growth as well as the beginning and end of economic recessions at...

This paper constructs an indicator of Brazilian GDP at the monthly frequency. The peculiar instability and abrupt changes of regimes in the dynamic behavior of the Brazilian business cycle were explicitly modeled within nonlinear frameworks. In particular, a Markov switching dynamic factor model...