Estimating Brazilian Monthly GDP: a State-Space Approach

This paper has several original contributions. The first is to employ a superior interpolation method that enables to estimate, nowcast and forecast monthly Brazilian GDP for 1980-2012 in an integrated way; see Bernanke, Gertler and Watson (1997, Brookings Papers on Economic Activity). Second, along the spirit of Mariano and Murasawa (2003, Journal of Applied Econometrics), we propose and test a myriad of interpolation models and interpolation auxiliary series- all coincident with GDP from a business-cycle dating point of view. Based on these results, we finally choose the most appropriate monthly indicator for Brazilian GDP. Third, this monthly GDP estimate is compared to an economic activity indicator widely used by practitioners in Brazil - the Brazilian Economic Activity Index - (IBC-Br). We found that the our monthly GDP tracks economic activity better than IBC-Br. This happens by construction, since our state-space approach imposes the restriction (discipline) that our monthly estimate must add up to the quarterly observed series in any given quarter, which may not hold regarding IBC-Br. Moreover, our method has the advantage to be easily implemented: it only requires conditioning on two observed series for estimation, while estimating IBC-Br requires the availability of hundreds of monthly series. Third, in a nowcasting and forecasting exercise, we illustrate the advantages of our integrated approach. Finally, we compare the chronology of recessions of our monthly estimate with those done elsewhere.

Estimating brazilian monthly GDP: a state-space approach

This paper has several original contributions. The rst is to employ a superior interpolation method that enables to estimate, nowcast and forecast monthly Brazilian GDP for 1980-2012 in an integrated way; see Bernanke, Gertler and Watson (1997, Brookings Papers on Economic Activity). Second, along the spirit of Mariano and Murasawa (2003, Journal of Applied Econometrics), we propose and test a myriad of interpolation models and interpolation auxiliary series all coincident with GDP from a business-cycle dating point of view. Based on these results, we nally choose the most appropriate monthly indicator for Brazilian GDP. Third, this monthly GDP estimate is compared to an economic activity indicator widely used by practitioners in Brazil - the Brazilian Economic Activity Index - (IBC-Br). We found that the our monthly GDP tracks economic activity better than IBC-Br. This happens by construction, since our state-space approach imposes the restriction (discipline) that our monthly estimate must add up to the quarterly observed series in any given quarter, which may not hold regarding IBC-Br. Moreover, our method has the advantage to be easily implemented: it only requires conditioning on two observed series for estimation, while estimating IBC-Br requires the availability of hundreds of monthly series. Third, in a nowcasting and forecasting exercise, we illustrate the advantages of our integrated approach. Finally, we compare the chronology of recessions of our monthly estimate with those done elsewhere.

Investor disagreement: the modern approach

Disagreement between economists is a well know fact. However, it took a long time for this concept to be incorporated in economic models. In this survey, we review the consequences and insights provided by recent models. Since disagreement between market agents can be generated through different hypotheses, the main differences between them are highlighted. Finally, this work concludes with a short review of nowcasting using google trends, emphasizing advances connecting both literatures.

Estimating Brazilian monthly GDP: a state-space approach

This paper has several original contributions. The rst is to employ a superior interpolation method that enables to estimate, nowcast and forecast monthly Brazilian GDP for 1980-2012 in an integrated way; see Bernanke, Gertler and Watson (1997, Brookings Papers on Economic Activity). Second, along the spirit of Mariano and Murasawa (2003, Journal of Applied Econometrics), we propose and test a myriad of interpolation models and interpolation auxiliary series all coincident with GDP from a business-cycle dating point of view. Based on these results, we nally choose the most appropriate monthly indicator for Brazilian GDP. Third, this monthly GDP estimate is compared to an economic activity indicator widely used by practitioners in Brazil- the Brazilian Economic Activity Index - (IBC-Br). We found that the our monthly GDP tracks economic activity better than IBC-Br. This happens by construction, since our state-space approach imposes the restriction (discipline) that our monthly estimate must add up to the quarterly observed series in any given quarter, whichmay not hold regarding IBC-Br. Moreover, our method has the advantage to be easily implemented: it only requires conditioning on two observed series for estimation, while estimating IBC-Br requires the availability of hundreds of monthly series. Third, in a nowcasting and forecasting exercise, we illustrate the advantages of our integrated approach. Finally, we compare the chronology of recessions of our monthly estimate with those done elsewhere.

Estimating Brazilian monthly GDP: a state-space approach

The first contribution of this paper is to employ a superior interpolation method that enables to estimate, nowcast and forecast monthly Brazilian GDP for 1980-2012 in an integrated way; see Bernanke, Gertler and Watson (1997, Brookings Papers on Economic Activity). The second contribution, along the spirit of Mariano and Murasawa (2003, Journal of Applied Econometrics), is to propose and test a myriad of inter-polation models and interpolation auxiliary series all coincident with GDP from a business-cycle dating point of view. Based on these results, we finally choose the most appropriate monthly indicator for Brazilian GDP. Third, this monthly GDP estimate is compared to an economic activity indicator widely used by practitioners in Brazil - the Brazilian Economic Activity Index - (IBC-Br). We found that our monthly GDP tracks economic activity better than IBC-Br. This happens by construction, since our state-space approach imposes the restriction (discipline) that our monthly estimate must add up to the quarterly observed series in any given quarter, which may not hold regarding IBC-Br. Moreover, our method has the advantage to be easily implemented: it only requires conditioning on two observed series for estimation, while estimating IBC-Br requires the availability of hundreds of monthly series. The third contribution is to illustrate, in a nowcasting and forecasting exercise, the advantages of our integrated approach. Finally, we compare the chronology of recessions of our monthly estimate with those done elsewhere.

Iniciação de tempestades convectivas em um ambiente tropical úmido

Pós-graduação em Agronomia (Energia na Agricultura) - FCA

Utilização da técnica VxIAT para a determinação de volumes de precipitação na área central do Estado de São Paulo

Pós-graduação em Agronomia (Energia na Agricultura) - FCA

Feature-oriented regional modeling and simulations (FORMS) for the western South Atlantic: Southeastern Brazil region

The multi-scale synoptic circulation system in the southeastern Brazil (SEBRA) region is presented using a feature-oriented approach. Prevalent synoptic circulation structures, or ""features,"" are identified from previous observational studies. These features include the southward-flowing Brazil Current (BC), the eddies off Cabo Sao Tome (CST - 22 degrees S) and off Cabo Frio (CF - 23 degrees S), and the upwelling region off CF and CST. Their synoptic water-mass (T-S) structures are characterized and parameterized to develop temperature-salinity (T-S) feature models. Following [Gangopadhyay, A., Robinson, A.R., Haley, PJ., Leslie, W.J., Lozano, C.j., Bisagni, J., Yu, Z., 2003. Feature-oriented regional modeling and simulation (forms) in the gulf of maine and georges bank. Cont. Shelf Res. 23 (3-4), 317-353] methodology, a synoptic initialization scheme for feature-oriented regional modeling and simulation (FORMS) of the circulation in this region is then developed. First, the temperature and salinity feature-model profiles are placed on a regional circulation template and objectively analyzed with available background climatology in the deep region. These initialization fields are then used for dynamical simulations via the Princeton Ocean Model (POM). A few first applications of this methodology are presented in this paper. These include the BC meandering, the BC-eddy interaction and the meander-eddy-upwelling system (MEUS) simulations. Preliminary validation results include realistic wave-growth and eddy formation and sustained upwelling. Our future plan includes the application of these feature models with satellite, in-situ data and advanced data-assimilation schemes for nowcasting and forecasting the SEBRA region. (c) 2008 Elsevier Ltd. All rights reserved.

Analisi quantitativa di alcuni recenti eventi temporaleschi registrati in Emilia-Romagna

Negli ultimi cinque anni, l’Emilia Romagna è stata interessata da 83 fenomeni temporaleschi, che hanno causato allagamenti, smottamenti e anche la perdita di vite umane a Sala Baganza l’11 giugno 2011 e a Rimini il 24 giugno 2013. Nonostante questi fenomeni siano protagonisti di eventi calamitosi, la loro previsione rimane ancora complessa poiché sono eventi localizzati, brevi e molto intesi. Il progetto di Tesi si inserisce in questo contesto e tratta due tematiche principali: la valutazione, quantitativa, della variazione di frequenza degli eventi intensi negli ultimi 18 anni (1995-2012), in relazione ad un periodo storico di riferimento, compreso tra il 1935 ed il 1989 e il confronto tra l’andamento spaziale delle precipitazioni convettive, ottenuto dalle mappe di cumulata di precipitazione oraria dei radar meteorologici e quello ottenuto mediante due tecniche di interpolazione spaziale deterministiche in funzione dei dati pluviometrici rilevati al suolo: Poligoni di Voronoi ed Inverse Distance Weighting (IDW). Si sono ottenuti risultati interessanti nella valutazione delle variazioni dei regimi di frequenza, che hanno dimostrato come questa sembrerebbe in atto per eventi di precipitazione di durata superiore a quella oraria, senza una direzione univoca di cambiamento. Inoltre, dal confronto degli andamenti spaziali delle precipitazioni, è risultato che le tecniche di interpolazione deterministiche non riescono a riprodurre la spazialità della precipitazione rappresentata dal radar meteorologico e che ogni cella temporalesca presenta un comportamento differente dalle altre, perciò non è ancora possibile individuare una curva caratteristica per i fenomeni convettivi. L’approfondimento e il proseguimento di questo ultimo studio potranno portare all’elaborazione di un modello che, applicato alle previsioni di Nowcasting, permetta di valutare le altezze di precipitazione areale, associate a delle celle convettive in formazione e stabilire la frequenza caratteristica dell’evento meteorico in atto a scala spaziale, fornendo indicazioni in tempo reale che possono essere impiegate nelle attività di Protezione Civile.

Essays in macroeconometrics

The knowledge of the current state of the economy is crucial for policy makers, economists and analysts. However, a key economic variable, the gross domestic product (GDP), are typically colected on a quartely basis and released with substancial delays by the national statistical agencies. The first aim of this paper is to use a dynamic factor model to forecast the current russian GDP, using a set of timely monthly information. This approach can cope with the typical data flow problems of non-synchronous releases, mixed frequency and the curse of dimensionality. Given that Russian economy is largely dependent on the commodity market, our second motivation relates to study the effects of innovations in the russian macroeconomic fundamentals on commodity price predictability. We identify these innovations through a news index which summarizes deviations of offical data releases from the expectations generated by the DFM and perform a forecasting exercise comparing the performance of different models.

A Bayesian state space modelling approach to probabilistic quantitative precipitation forecasting

The generation of very short range forecasts of precipitation in the 0-6 h time window is traditionally referred to as nowcasting. Most existing nowcasting systems essentially extrapolate radar observations in some manner, however, very few systems account for the uncertainties involved. Thus deterministic forecast are produced, which have a limited use when decisions must be made, since they have no measure of confidence or spread of the forecast. This paper develops a Bayesian state space modelling framework for quantitative precipitation nowcasting which is probabilistic from conception. The model treats the observations (radar) as noisy realisations of the underlying true precipitation process, recognising that this process can never be completely known, and thus must be represented probabilistically. In the model presented here the dynamics of the precipitation are dominated by advection, so this is a probabilistic extrapolation forecast. The model is designed in such a way as to minimise the computational burden, while maintaining a full, joint representation of the probability density function of the precipitation process. The update and evolution equations avoid the need to sample, thus only one model needs be run as opposed to the more traditional ensemble route. It is shown that the model works well on both simulated and real data, but that further work is required before the model can be used operationally. © 2004 Elsevier B.V. All rights reserved.

Bayesian data assimilation

This thesis addresses data assimilation, which typically refers to the estimation of the state of a physical system given a model and observations, and its application to short-term precipitation forecasting. A general introduction to data assimilation is given, both from a deterministic and' stochastic point of view. Data assimilation algorithms are reviewed, in the static case (when no dynamics are involved), then in the dynamic case. A double experiment on two non-linear models, the Lorenz 63 and the Lorenz 96 models, is run and the comparative performance of the methods is discussed in terms of quality of the assimilation, robustness "in the non-linear regime and computational time. Following the general review and analysis, data assimilation is discussed in the particular context of very short-term rainfall forecasting (nowcasting) using radar images. An extended Bayesian precipitation nowcasting model is introduced. The model is stochastic in nature and relies on the spatial decomposition of the rainfall field into rain "cells". Radar observations are assimilated using a Variational Bayesian method in which the true posterior distribution of the parameters is approximated by a more tractable distribution. The motion of the cells is captured by a 20 Gaussian process. The model is tested on two precipitation events, the first dominated by convective showers, the second by precipitation fronts. Several deterministic and probabilistic validation methods are applied and the model is shown to retain reasonable prediction skill at up to 3 hours lead time. Extensions to the model are discussed.