Vector Autoregressive Model
Mostrando 1-12 de 24 artigos, teses e dissertações.
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1. Global shocks in emerging economies: An empirical investigation
Resumo Shocks in commodity prices are viewed as a major driver of emerging economies’ business cycle. We show this is not the case for Brazil, Chile, Colombia, and Peru when a structural vector autoregressive model accounts for macro-finance linkages at world and domestic levels. The presence of a global financial variable modifies established results as i
Revista Brasileira de Economia. Publicado em: 2022
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2. Não linearidade entre câmbio e preços no Brasil e implicações para uma estratégia de desenvolvimento econômico
RESUMO O objetivo deste artigo é realizar uma análise da política monetária no Brasil a partir de um modelo de Vetores Autorregressivos com Cadeias de Markov (MS-VAR), na busca de evidências da não linearidade da relação entre câmbio e preços no Brasil. A análise demonstrou que, em períodos de apreciação cambial, tanto pelo lado da demanda quan
Brazil. J. Polit. Econ.. Publicado em: 02/05/2019
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3. Evaluating the existence of structural change in the brazilian term structure of interest : evidence based on cointegration models with structural break
This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the deterministi
Publicado em: 17/09/2012
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4. Evaluating the existence of structural change in the Brazilian term structure of interest: evidence based on cointegration models with structural break
This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegra- tion techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the determin-
Publicado em: 05/07/2012
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5. Determinantes da disponibilidade de crédito de longo prazo no Brasil: uma análise da linha Finem do BNDES / Determinants of long-term credit availability in Brazil: an analysis of the Finem line of credit from BNDES
The search for greater availability of long-term credit for productive investments in Brazil has been gaining importance since it enables companies to engage in medium and large-scale businesses, feeding the economic growth and development processes. The line of credit provided by BNDES, called Financing to Enterprises (Finem), is one of the few lines existi
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 30/05/2012
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6. Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we p
Escola de Pós-Graduação em Economia da FGV. Publicado em: 27/01/2011
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7. Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well as the traditional ones. We suggest a new two-step model selecti
Escola de Pós-Graduação em Economia da FGV. Publicado em: 13/09/2010
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8. Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well as the traditional ones. We suggest a new two-step model selecti
Publicado em: 29/03/2010
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9. Determinantes da taxa de juros no Brasil: uma abordagem não-linear
This paper investigates the interest rate determination in Brazil based on autoregressive Markov-Switching Process (MS-VAR). Initially developed to model US business cycle, the MS-VAR approach has been used in several fields in conomics due to its flexibility and to its important empirical results, based on estimates of nonlinear parameters of the regression
Publicado em: 2010
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10. A study on the impact of fiscal policy in the collection of VAT in the state of Ceara by vector autoregressive model / Um estudo sobre o impacto da política fiscal na arrecadação do ICMS no estado do Ceará através do modelo de vetores autorregressivo
Esta pesquisa se propõe a analisar de maneira quantitativa os impactos da política fiscal promovida pelo Governo Federal sobre o comportamento da arrecadação setorial de ICMS no Ceará. Para isso, foram consideradas informações sobre a arrecadação dos setores industrial, comércio varejista e elétrico, além da taxa de desemprego aberta de Fortaleza
Publicado em: 2010
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11. Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties for a lack of parsimony, as well as the traditional ones. We suggest a n
Publicado em: 05/02/2009
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12. Transmission of prices and volatility in the marketing of pork / Transmissão de preços e da volatilidade na comercialização da carne suína
The pork chain, despite showing significant technical improvement and competitiveness, is still one of the most volatile sectors of Brazilian agribusiness, and marketing and price fluctuation is one of the main barriers for its development. Accordingly, the present study aimed to analyze the price ratios and volatility among production agents and major meat
Publicado em: 2009