Página 1 dos resultados de 341 itens digitais encontrados em 0.002 segundos

Ensaios econométricos sobre política fiscal no Brasil

Wichmann, Roberta Moreira
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Tese de Doutorado Formato: application/pdf
Português
Relevância na Pesquisa
26.97%
O presente artigo apresenta um estudo econométrico da política fiscal brasileira com o objetivo de avaliar, no período que se estende de 2001 a 2010 utilizando dados mensais, como os diferentes componentes da política fiscal respondem à dinâmica do produto. Primeiramente é feito a identificação e a análise dos componentes da política: impulso fiscal e regra fiscal seguindo a orientação de distintas metodologias (OCDE, FMI, método Holandês e filtro de Kalman). Dessa forma, é possível avaliar se a política é oportuna e ágil, observar qual o tamanho do impacto da resposta de cada componente a choques negativos no produto e, por fim, comparar os resultados fiscais com os encontrados para a política monetária. Para tanto, foi utilizado a técnica da autorregressão vetorial. Os resultados das estimações indicam que a regra fiscal apresenta-se de forma oportuna e reage mais rapidamente, em termos gerais, à redução do hiato quando comparados aos juros e ao impulso fiscal. Em relação ao impulso fiscal os resultados das estimações não foram tão homogêneos. A política monetária apresenta resultados levemente díspares quando se trata da velocidade da adoção de medidas contracíclicas. A decomposição da política fiscal via filtro de Kalman pareceu ser a mais indicada.; This article presents an econometric study of the Brazilian fiscal policy with the objective of evaluating...

O impacto do investimento público e em construção na economia portuguesa

Andrade, Luís Filipe Pinheiro
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Dissertação de Mestrado
Publicado em //2010 Português
Relevância na Pesquisa
26.97%
Mestrado em Economia Monetária e Financeira; O objecto de estudo desta dissertação consiste na investigação dos impactos do Investimento Público e no sector da Construção na actividade económica. Nesta investigação tem-se como ponto de partida a análise dos planos estatais de estímulo à actividade económica lançados no âmbito da actual crise económica e financeira, maioritariamente compostos por Investimento em activos do sector da Construção, nomeadamente infra-estruturas. Para melhor compreender o contributo do Investimento Público e em Construção procedeu-se à análise da sua importância para uma progressão nos níveis de prosperidade económica e social, que estabeleceu uma visão ampla do seu papel nas economias desenvolvidas e em desenvolvimento. Uma vez que não são visíveis consensos entre os autores de referência em torno desta discussão, foi aplicada a metodologia de Vectores Auto-Regressivos (VAR), onde se decompõem e quantificam, com o recurso a uma base de dados com um horizonte temporal de 1960-2009, para Portugal e para uma amostra internacional de 12 países, as respostas do PIB e Investimento Privado a choques no Investimento Público e em Construção. Através destas torna-se possível a computação das elasticidades do PIB e Investimento Privado relativamente ao Investimento Público e em Construção...

Vector Autoregression, Structural Equation Modeling, and Their Synthesis in Neuroimaging Data Analysis

Chen, Gang; Glen, Daniel R.; Saad, Ziad S.; Hamilton, J. Paul; Thomason, Moriah E.; Gotlib, Ian H.; Cox, Robert W.
Fonte: PubMed Publicador: PubMed
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
27.26%
Vector autoregression (VAR) and structural equation modeling (SEM) are two popular brain-network modeling tools. VAR, which is a data-driven approach, assumes that connected regions exert time-lagged influences on one another. In contrast, the hypothesis-driven SEM is used to validate an existing connectivity model where connected regions have contemporaneous interactions among them. We present the two models in detail and discuss their applicability to FMRI data, and interpretational limits. We also propose a unified approach that models both lagged and contemporaneous effects. The unifying model, structural vector autoregression (SVAR), may improve statistical and explanatory power, and avoids some prevalent pitfalls that can occur when VAR and SEM are utilized separately.

Short run and long run causality in time series: Inference

DUFOUR, Jean-Marie; PELLETIER, Denis; RENAULT, Éric
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 223846 bytes; application/pdf
Português
Relevância na Pesquisa
27.63%
We propose methods for testing hypotheses of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses considered are nonlinear, the proposed methods only require linear regression techniques as well as standard Gaussian asymptotic distributional theory. Bootstrap procedures are also considered. For the case of integrated processes, we propose extended regression methods that avoid nonstandard asymptotics. The methods are applied to a VAR model of the U.S. economy.; Nous proposons des méthodes pour tester des hypothèses de non-causalité à différents horizons, tel que défini dans Dufour et Renault (1998, Econometrica). Nous étudions le cas des modèles VAR en détail et nous proposons des méthodes linéaires basées sur l’estimation d’autorégressions vectorielles à différents horizons. Même si les hypothèses considérées sont non linéaires, les méthodes proposées ne requièrent que des techniques de régression linéaire de même que la théorie distributionnelle asymptotique gaussienne habituelle. Dans le cas des processus intégrés...

Using pooled information and bootstrap methods to assess debt sustainability in low income countries

Hevia, Constantino
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
26.97%
Conventional assessments of debt sustainability in low income countries are hampered by poor data and weaknesses in methodology. In particular, the standard International Monetary Fund-World bank debt sustainability framework relies on questionable empirical assumptions: its baseline projections ignore statistical uncertainty, and its stress tests, which are performed as robustness checks, lack a clear economic interpretation and ignore the interdependence between the relevant macroeconomic variables. This paper proposes to alleviate these problems by pooling data from many countries and estimating the shocks and macroeconomic interdependence faced by a generic, low income country. The paper estimates a panel vector autoregression to trace the evolution of the determinants of debt, and performs simulations to calculate statistics on external debt for individual countries. The methodology allows for the value of the determinants of debt to differ across countries in the long run, and for additional heterogeneity through country-specific exogenous variables. Results in this paper suggest that ignoring the uncertainty and interdependence of macroeconomic variables leads to biases in projected debt trajectories...

Fiscal Policy and Debt Dynamics in Developing Countries

Ilzetzki, Ethan
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
26.97%
Using a new tax database for 28 countries and a variety of econometric methods, this paper contributes to the debate on the effects of fiscal policy on economic activity in a number of ways. The analysis finds that tax cuts have a stimulative effect on economic growth in developing countries. Lowering the personal income tax rate by 1 percentage point, or cutting revenues by 1 percent of gross domestic product increases gross domestic product by 0.3-0.4 percent on impact and 0.8 percent in the long run. The author finds that cuts in personal income taxes are more effective in stimulating growth than cuts in corporate or valued added tax rates. The author incorporates debt dynamics into a fiscal vector autoregression model for a number of developing countries. Existing estimates of the effects of fiscal policy on growth use linear time-series methods, which may assess the effects of fiscal policy along a debt-path that is unsustainable. Incorporating the non-linear relationship between government expenditure, taxes...

Public Infrastructure and Private Investment in the Middle East and North Africa

Agénor, Pierre-Richard; Nabli, Mustapha K.; Yousef, Tarik M.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
26.97%
The authors examine the impact of public infrastructure on private capital formation in three countries of the Middle East and North Africa-Egypt, Jordan, and Tunisia. They highlight various channels through which public infrastructure may affect private investment. Then they describe their empirical framework, which is based on a vector autoregression (VAR) model that accounts for flows and (quality-adjusted) stocks of public infrastructure, private investment, as well as changes in output, private sector credit, and the real exchange rate. The authors propose two aggregate measures of the quality of public infrastructure and use principal components to derive a composite indicator. Their analysis suggests that public infrastructure has both "flow" and "stock" effects on private investment in Egypt, but only a "stock" effect in Jordan and Tunisia. But these effects are small and short-lived, reflecting the unfavorable environment for private investment in their sample of countries. Reducing unproductive public capital expenditure and improving quality must be accompanied by policy reforms aimed at limiting investment to infrastructure capital that crowds in the private sector and corrects for fundamental market failures. This will entail privatization and greater involvement of the private sector in infrastructure investment. While infrastructure (in the form of the provision of critical telecommunications...

Are External Shocks Responsible for the Instability of Output in Low Income Countries?

Raddatz, Claudio
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
26.97%
External shocks, such as commodity price fluctuations, natural disasters, and the role of the international economy, are often blamed for the poor economic performance of low-income countries. The author quantifies the impact of these different external shocks using a panel vector autoregression (VAR) approach and compares their relative contributions to output volatility in low-income countries vis-à-vis internal factors. He finds that external shocks can only explain a small fraction of the output variance of a typical low-income country. Internal factors are the main source of fluctuations. From a quantitative perspective, the output effect of external shocks is typically small in absolute terms, but significant relative to the historic performance of these countries.

Unemployment-Poverty Trade-Offs

Agénor, Pierre-Richard
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
Português
Relevância na Pesquisa
26.97%
The author examines the potential trade-offs that may arise between poverty alleviation and unemployment reduction. He discusses various analytical arguments that may provide a rationale for their existence, and uses three alternative methodologies to assess their relevance: a vector autoregression framework (which is applied to Brazil and Chile), cross-country regressions, and simulations with a structural macro model linked to a household survey. Impulse response functions to output and wage shocks indicate no short-run tradeoff. between unemployment and poverty. By contrast, regression results, which control for a variety of determinants of poverty rates across countries, suggest that such a trade-off may indeed exist. Simulations with the structural model show that labor market reforms may induce both short- and long-run trade-offs between the composition of unemployment and the incidence of poverty among household groups.

Business Cycles, Economic Crises, and the Poor : Testing for Asymmetric Effects

Agenor, Pierre-Richard
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
26.97%
The author examines whether output contraction associated with cyclical output fluctuations and economic crises have an asymmetric effect on poverty. He identifies four potential sources of asymmetry: expectations and cofident factors, credit rationing at the firm level (induced by either adeverse selection problems or negative shocks to net worth), borrowing constraints at the household level, and the "labor hoarding" hypothesis. He also identifies some testable implications of these alternative explanations. The author then proposes a vector autoregression technique (involving the detrended components of real output, the unemployment rate, real wages, and the poverty rate) to test whether the initial cyclical position of the economy, and the size of the initial drop in the output gap in a downturn, matter in assessing the extent to which output shocks affect poverty. He applies the technique to Brazil, using annual data for 1981-99. The results indicate that poverty responds asymmetrically to output shocks...

Evolving Wage Cyclicality in Latin America

Messina, Julian; Gambetti, Luca
Fonte: World Bank Group, Washington, DC Publicador: World Bank Group, Washington, DC
Português
Relevância na Pesquisa
26.97%
A vector autoregression model with time-varying coefficients is used to examine the evolution of wage cyclicality in four Latin American economies: Brazil, Chile, Colombia and Mexico, during the period 1980-2010. Wages are highly pro-cyclical in all countries up to the mid-1990s except in Chile. Wage cyclicality declines thereafter, especially in Brazil and Colombia. This decline in wage cyclicality is in accordance with declining real-wage flexibility in a low-inflation environment. Controlling for compositional effects caused by changes in labor force participation along the business cycle does not alter these results.

Monetary policy model of Tajikistan: a structural vector autoregression approach

Tashrifov, Mohammad-Yusuf
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Working/Technical Paper Formato: 591481 bytes; 353 bytes; application/pdf; application/octet-stream
Português
Relevância na Pesquisa
37.26%
Using the Structural Vector Autoregression (SVAR) method this paper analyses the effects of monetary policy on Tajikistan’s economy for the period 1996 to 2003. A number of restrictions are imposed and the contemporaneous and long-run restrictions model are used to identify the dynamic response of inflation and output to the monetary and exchange rate innovations. As a result these shocks are used to generate the structural impulse response and forecast error variance decomposition functions for assessing the dynamic impacts of monetary and exchange rate policies on country’s real sector variables.; no

Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models

KRIWOLUZKY, Alexander
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Trabalho em Andamento Formato: application/pdf; digital
Português
Relevância na Pesquisa
37.26%
This paper shows how to identify the structural shocks of a Vector Autoregression (VAR) while simultaneously estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data-generating process. It proposes a framework for estimating the parameters of the VAR model and the DSGE model jointly: the VAR model is identified by sign restrictions derived from the DSGE model; the DSGE model is estimated by matching the corresponding impulse response functions.; I am especially thankful to Harald Uhlig, Chris Sims, Bartosz Mackowiak, Helmut Lütkepohl, Wouter den Haan, Francesco Ravazzolo, Lenno Uusküla, Morten Ravn and Martin Kliem for their comments and suggestions. The paper further benefitted from seminar participants at Norges Bank.; Part of the research was conducted while I was visiting Princeton University funded by the German Academic Exchange Service. Further grants from the DEKA Bank and the SFB 649 are gratefully acknowledged.

Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models

KRIWOLUZKY, Alexander
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Trabalho em Andamento Formato: application/pdf; digital
Português
Relevância na Pesquisa
37.26%
This paper shows how to identify the structural shocks of a Vector Autoregression (VAR) while simultaneously estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data-generating process. It proposes a framework for estimating the parameters of the VAR model and the DSGE model jointly: the VAR model is identified by sign restrictions derived from the DSGE model; the DSGE model is estimated by matching the corresponding impulse response functions.

Regime-Dependent Impulse Response Functions in a Markov-Switching Vector Autoregression Model

EHRMANN, Michael; ELLISON, Martin; VALLA, Natacha
Fonte: Elsevier Science Sa Publicador: Elsevier Science Sa
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
37.26%
This paper combines both Markov-switching and structural identifying restrictions in a vector autoregression model. The resulting regime-dependent impulse response functions show how the reaction of variables in the model to fundamental disturbances differs across regimes.

Monetary policy model of Tajikstan: A structural vector autoregression approach

Tashrifov, Mohammad-Yusuf
Fonte: Crawford School of Economics and Government, The Australian National University; http://www.crawford.anu.edu.au Publicador: Crawford School of Economics and Government, The Australian National University; http://www.crawford.anu.edu.au
Tipo: Other; Working/Technical Paper Formato: 58 pages
Português
Relevância na Pesquisa
37.26%
Using the Structural Vector Autoregression (SVAR) method this paper analyses the effects of monetary policy on Tajikistan’s economy for the period 1996 to 2003. A number of restrictions are imposed and the contemporaneous and long-run restrictions model are used to identify the dynamic response of inflation and output to the monetary and exchange rate innovations. As a result these shocks are used to generate the structural impulse response and forecast error variance decomposition functions for assessing the dynamic impacts of monetary and exchange rate policies on country’s real sector variables.

Financial Development and Dynamic Investment Behavior : Evidence from Panel Vector Autoregression

Love, Inessa; Zicchino, Lea
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
37.43%
The authors apply vector autoregression to firm-level panel data from 36 countries to study the dynamic relationship between firms' financial conditions and investment. They argue that by using orthogonalized impulse-response functions they are able to separate the "fundamental factors" (such as marginal profitability of investment) from the "financial factors" (such as availability of internal finance) that influence the level of investment. The authors find that the impact of the financial factors on investment, which they interpret as evidence of financing constraints, is significantly larger in countries with less developed financial systems. The finding emphasizes the role of financial development in improving capital allocation and growth.

Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes.

DUFOUR, Jean-Marie; TORRES, Olivier
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 665597 bytes; application/pdf
Português
Relevância na Pesquisa
27.63%
In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only require the existence of conditional densities. They are proved for possibly nonstationary and/or non-Gaussian multivariate Markov processes. In the context of a linear regression model with AR(1) errors, we show how these results can be used to simplify the distributional properties of the model by conditioning a subset of the data on the remaining observations. This transformation leads to a new model which has the form of a two-sided autoregression to which standard classical linear regression inference techniques can be applied. We show how to derive tests and confidence sets for the mean and/or autoregressive parameters of the model. We also develop a test on the order of an autoregression. We show that a combination of subsample-based inferences can improve the performance of the procedure. An application to U.S. domestic investment data illustrates the method.; Dans cet article, nous proposons des procédures d’inférence valides à distance finie pour des modèles autorégressifs (AR) stationnaires et non stationnaires. La méthode suggérée est fondée sur des propriétés particulières des processus markoviens combinées à une technique de subdivision d’échantillon. Les résultats sur les processus de Markov (indépendance intercalaire...

Impactos dos choques na política monetária e no câmbio do Brasil: um modelo de autorregressão vetorial estrutural aumentada por fatores dinâmicos; Texto para Discussão (TD) 1711: Impactos dos choques na política monetária e no câmbio do Brasil: um modelo de autorregressão vetorial estrutural aumentada por fatores dinâmicos; Impact of monetary policy shocks and exchange Brazil: a structural vector autoregression model augmented by dynamic factors

Almeida, Glaudiane; Alves, Paloma; Lima, Elcyon
Fonte: Instituto de Pesquisa Econômica Aplicada (Ipea) Publicador: Instituto de Pesquisa Econômica Aplicada (Ipea)
Tipo: Texto para Discussão (TD)
Português
Relevância na Pesquisa
27.26%
Este texto tem como objetivo estimar os impactos dos choques exógenos na política monetária e no câmbio sobre variáveis econômicas brasileiras, utilizando-se a informação contida em uma grande quantidade destas variáveis. Para obter-se um modelo Factor-Augmented Vector Autoregression (FAVAR), no qual a informação contida em um amplo subconjunto das variáveis selecionadas é condensada em um número pequeno de fatores dinâmicos. Estes fatores foram incluídos como variáveis endógenas, juntamente com variáveis cujas informações não foram condensadas em fatores, em um modelo Structural Vector Autoregression (SVAR). Todos os coeficientes e componentes não observáveis do FAVAR foram estimados conjuntamente empregando-se o amostrador de Gibbs. A identificação dos choques exógenos foi obtida por meio de restrições de sinais, nas funções impulso-resposta das variáveis cujas informações não foram condensadas, deduzidas utilizando-se uma versão dinâmica do modelo Mundell-Fleming. Além de se obterem os impactos dos choques na política monetária e no câmbio sobre um grande número de variáveis econômicas, obtiveram-se também os seguintes resultados: os choques na política monetária, considerando-se o modelo FAVAR...

Hierarchical Vector Autoregression

Nicholson, William B.; Bien, Jacob; Matteson, David S.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 16/12/2014 Português
Relevância na Pesquisa
27.26%
Vector autoregression (VAR) is a fundamental tool for modeling the joint dynamics of multivariate time series. However, as the number of component series is increased, the VAR model quickly becomes overparameterized, making reliable estimation difficult and impeding its adoption as a forecasting tool in high dimensional settings. A number of authors have sought to address this issue by incorporating regularized approaches, such as the lasso, that impose sparse or low-rank structures on the estimated coefficient parameters of the VAR. More traditional approaches attempt to address overparameterization by selecting a low lag order, based on the assumption that dynamic dependence among components is short-range. However, these methods typically assume a single, universal lag order that applies across all components, unnecessarily constraining the dynamic relationship between the components and impeding forecast performance. The lasso-based approaches are more flexible but do not incorporate the notion of lag order selection. We propose a new class of regularized VAR models, called hierarchical vector autoregression (HVAR), that embed the notion of lag selection into a convex regularizer. The key convex modeling tool is a group lasso with nested groups which ensure the sparsity pattern of autoregressive lag coefficients honors the ordered structure inherent to VAR. We provide computationally efficient algorithms for solving HVAR problems that can be parallelized across the components. A simulation study shows the improved performance in forecasting and lag order selection over previous approaches...