Table 5 Business cycles statistics Data...

Table 5

Business cycles statistics

	Data	Model	Data	Model	Data	Model
	σ^X	σ^X	σ^X/σY	σ^X/σY	ρ(X_t)	ρ(X_t)
$\hat{Y_{t}}$	0.041	0.099	1	1	0.824	0.968
${\hat{C}}_{t}$	0.038	0.078	0.924	0.779	0.797	0.982
${\hat{I}}_{t}$	0.106	0.128	2.59	1.288	0.875	0.943
${\hat{t b y}}_{t}$	0.017	0.024	0.404	0.238	0.896	0.777
${\hat{r}}_{t}$	0.006	0.02	0.157	0.196	0.818	0.429
${\hat{P^{C M}}}_{t}$	0.202	0.226	4.932	2.276	0.918	0.973
	ρ(X_t, Y_t)	ρ(X_t, Y_t)	$ρ (X_{t}, p_{t}^{C M})$	$ρ (X_{t}, p_{t}^{C M})$
$\hat{Y_{t}}$	1	1	0.818	0.646
${\hat{C}}_{t}$	0.842	0.837	0.558	0.455
${\hat{I}}_{t}$	0.923	0.895	0.739	0.666
${\hat{t b y}}_{t}$	−0.436	0.096	−0.157	0.103
${\hat{r}}_{t}$	−0.503	−0.303	−0.608	−0.215

	Data	Model	Data	Model	Data	Model
	σ^X	σ^X	σ^X/σY	σ^X/σY	ρ(X_t)	ρ(X_t)
$\hat{Y_{t}}$	0.041	0.099	1	1	0.824	0.968
${\hat{C}}_{t}$	0.038	0.078	0.924	0.779	0.797	0.982
${\hat{I}}_{t}$	0.106	0.128	2.59	1.288	0.875	0.943
${\hat{t b y}}_{t}$	0.017	0.024	0.404	0.238	0.896	0.777
${\hat{r}}_{t}$	0.006	0.02	0.157	0.196	0.818	0.429
${\hat{P^{C M}}}_{t}$	0.202	0.226	4.932	2.276	0.918	0.973
	ρ(X_t, Y_t)	ρ(X_t, Y_t)	$ρ (X_{t}, p_{t}^{C M})$	$ρ (X_{t}, p_{t}^{C M})$
$\hat{Y_{t}}$	1	1	0.818	0.646
${\hat{C}}_{t}$	0.842	0.837	0.558	0.455
${\hat{I}}_{t}$	0.923	0.895	0.739	0.666
${\hat{t b y}}_{t}$	−0.436	0.096	−0.157	0.103
${\hat{r}}_{t}$	−0.503	−0.303	−0.608	−0.215

Note(s): The data are the indicators for the Brazilian economy. The data are quarterly from 1996.Q1-2016.Q4. Y, C, I, TBy, p^CM and r denote real output, real consumption, real investment, trade balance-to-output ratio, real commodity price and real country-specific interest rate. All data are seasonally adjusted using X-13 ARIMA-SEATS and the trend was removed using a quadratic trend. Column symbols σ, ρ denote standard deviation and correlation, respectively

Source(s): Prepared by the authors

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