Browsing FGV EPGE - Ensaios Econômicos by Subject "Kalman, Filtragem de"

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An alert on the recent fall of the fiscal reaction in Brazil

Campos, Eduardo Lima; Cysne, Rubens Penha
2018-08

Recent evaluations of how the Brazilian government’s primary surplus reacts to the evolution of the debt to GDP ratio convey two important (and worrisome) messages: first, the reaction function has been almost steadily ...
Welfare cost of Inflation in Brazil: an approach with time-varying cointegration and Kalman filter

Campos, Eduardo Lima; Cysne, Rubens Penha
2018-08-01

This paper compares the time-varying cointegration and the Kalman filter techniques to estimate the Brazilian money demand between 1996 and 2015. The estimation using Kalman filtering performs better and is subsequently ...