In this paper we find that Fama and French factors can explain the future behavior of three macroeconomic variables of the Brazilian economy: GDP, industrial production and inflation. The results show that these three factors explain the future behavior of the macroeconomic variables with a...

Previous studies have shown that linear models are incapable of capturing business cycle dynamics with accuracy. This has brought interest in non-linear models such as the Markov switching (MS) regime technique, which can distinguish business cycle recession and expansion phases, and is...