Data from: Dynamic Associations Between GDP and Crude Oil Prices in Brazil: Structural Shifts and Nonlinear Causality
Description
Underlying data (raw and processed time series) and metadata related to the manuscript: Dynamic Associations Between GDP and Crude Oil Prices in Brazil: Structural Shifts and Nonlinear Causality 1. Raw Data 1.1 Brazilian Real Quarterly GDP - seasonally adjusted, mean 1995 = 100 Sources: 1980Q1 - 2018Q1: IBGE (2018a) 1947Q1 - 1979Q4: Bonelli & Rodrigues (2012); IBGE (2018b) References: Bonelli, R. and Rodrigues, C. O. F. (2012) PIB trimestral: Proposta metodológica e resultados para o período 1947-79, Rio de Janeiro: FGV, Texto para discussão, n. 3, 1–24. Available at: http://hdl.handle.net/10438/11687 IBGE (Instituto Brasileiro de Geografia e Estatística) (2018a) Sistema de Contas Nacionais Trimestrais - Referência 2000 (IBGE/SCN 2000 Trim.) - série SCN4_PIBPMAS4. Available through the Brazilian Institute for Applied Economic Research (IPEA) Data Portal: http://www.ipeadata.gov.br (accessed 19 September 2018) IBGE (Instituto Brasileiro de Geografia e Estatística) (2018b) Sistema de Contas Nacionais Referência - 2000 (IBGE/SCN 2000 Anual) - série SCN_PIBN. Available through the Brazilian Institute for Applied Economic Research (IPEA) Data Portal: http://www.ipeadata.gov.br (accessed 19 September 2018) 1.2 Spot Crude Oil Price: West Texas Intermediate (WTI), Index Q4 1995=100, Quarterly, Not Seasonally Adjusted Sources: 1947Q1 - 2018Q1: FRED (2018) References: FRED (Federal Reserve Bank of St. Louis Economic Research) (2018) Spot Crude Oil Price: West Texas Intermediate (WTI) (WTISPLC). Available at: https://fred.stlouisfed.org/series/WTISPLC (accessed 20 September 2018). 2. Processed Data: 2.1 Log-levels and Log-returns for the GDP and WTI series; 2.2 Residuals and standardized residuals from the selected Markov-Switching specification; 2.3 Residuals and standardized residuals from the Markov-Switching specification after appropriate GARCH filtering. Additional series (related to Appendix A): HP- and BK-filtered trend and cycle for the Brazilian GDP.
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Steps to reproduce
Steps for accessing IBGE (2018a): Available through the Brazilian Institute for Applied Economic Research (IPEA) Data Portal: http://www.ipeadata.gov.br (series SCN4_PIBPMAS4) 1) Macroeconômico > Periodicidade > Trimestral > Temas > Contas Nacionais > Page 2 > PIB - preços de mercado - índice encadeado - dessaz. (média 1995 = 100) - ref. 2010 Steps for accessing IBGE (2018b): Available through the Brazilian Institute for Applied Economic Research (IPEA) Data Portal: http://www.ipeadata.gov.br (series SCN_PIBN) 1) Macroeconômico > Periodicidade > Anual > Temas > Contas Nacionais > Page 3 > Produto interno bruto (PIB) a preços de mercado - referência 2000 Steps for accessing FRED (2018): Available at: https://fred.stlouisfed.org/series/WTISPLC 1) Modify frequency to Quarterly (average aggregation method) in "Edit Graph"; 2) Modify scale value to 100 in 1995-12-31 (end of 1995/beginning of 1996) in "Select a date that will equal 100 for your custom index". For processed data, the reader is referred to the manuscript (Dynamic Associations Between GDP and Crude Oil Prices in Brazil: Structural Shifts and Nonlinear Causality).