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Hysteresis nas exportações manufaturadas brasileiras: uma análise de cointegração com dados em painel; Hysteresis in brazilian manufactured exports: a panel cointegration analysis

Scarpelli, Maíra Camargo
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 04/03/2010 Português
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Apesar da recente queda no crescimento das exportações, a resposta das vendas externas à valorização cambial tem sido mais lenta do que previa a teoria econômica. Essas evidências sugerem a lentidão na correção dos desvios de uma relação de longo prazo entre o câmbio e as exportações, motivando a pesquisa sobre a presença de hysteresis no comércio brasileiro. O objetivo deste estudo é confirmar as predições da teoria de hysteresis em nível macroeconômico para as exportações manufaturadas brasileiras. Para isso, propõe-se um diferencial metodológico: a inclusão, nos modelos de oferta e demanda de exportações, de variável representativa de hysteresis, construída segundo o método de Piscitelli et al. (2000), testando sua significância nas equações. São utilizados modelos com dados em painel, metodologia que permite lidar com efeitos específicos aos setores industriais e realizar testes de hysteresis para o total das exportações manufaturadas a partir de informações desagregadas, proporcionado maior eficiência na estimação. Além disso, é investigada a estacionariedade das séries de dados, realizando testes para raiz unitária e cointegração em painel. Também são estimados os parâmetros das relações de longo prazo entre as variáveis. Os resultados confirmam a hipótese de uma relação de hysteresis...

Gastos do governo e consumo privado: uma abordagem de correção de erros em painel; Government Spending and Private Consumption: A Panel Error Correction Approach

Soave, Gian Paulo
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 06/12/2012 Português
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Contribuições recentes em teoria econômica têm sugerido que os efeitos do gasto do governo sobre o consumo privado dependem da interação entre agentes otimizadores e não-otimizadores, dada a restrição de liquidez dos últimos. Este trabalho analisa empiricamente tal hipótese estimando modelos de correção de erros em painel uniequacionais (P-ECM) e multiequacionais (P-VECM) para um painel com 48 países, assumindo uma estrutura de dependência de corte transversal e utilizando alguns dos mais recentes procedimentos de cointegração em painel. Sob a hipótese de que em países em desenvolvimento existe uma maior fração de agentes não-otimizadores (restritos ao crédito), analisa-se a existência de efeitos distintos entre países desenvolvidos e em desenvolvimento. Os resultados indicam que o gasto do governo crowds in o consumo privado agregado no longo prazo, sugerindo que o gasto do governo e o consumo privado podem ser descritos como bens complementares, e que os efeitos são duas vezes maiores nos países em desenvolvimento relativamente aos desenvolvidos, dando suporte às hipóteses testadas.; Recent contributions in economic theory have proposed that the observed effects of government spending on private consumption depend on the interaction between optimizing and non-optimizing agents...

Using a panel structure to discuss the Feldstein-Horioka puzzle in developing countries

Rocha, Fabiana
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
46.61%
The purpose of this paper is to test the implications of current account solvency for the savinginvestment correlation in developing countries. Since solvency is a long-run phenomenon, and given that the power of the standard unit root and cointegration tests is low, we exploit the panel structure of the sample of 29 developing countries. We find evidence that saving and investment are cointegrated and that the current account is stationary. Therefore, the Feldstein-Horioka correlations are not a puzzle in the sense they reflect the intertemporal budget constraint. The same results are obtained for different subsamples (Africa, Asia, and Latin America) and for different periods of time (1960-74 and 1975-96). We, then, suggest that an error correction model should distinguish between the long-run correlation, which reflects the solvency condition, and the short-run correlation, which could measure capital mobility.

What do we really know about fiscal sustainability in the EU? A panel data diagnostic

Afonso, António; Rault, Christophe
Fonte: Global Economic Modeling Network Publicador: Global Economic Modeling Network
Tipo: Conferência ou Objeto de Conferência
Publicado em //2008 Português
Relevância na Pesquisa
56.8%
We assess the sustainability of public finances in the EU15 over the period 1970-2006 using stationarity and cointegration analysis. Specifically, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks. We also apply modern panel cointegration techniques developed by Pedroni (1999, 2004), generalized by Banerjee and Carrion-i-Silvestre (2006) and Westerlund and Edgerton (2007), to a structural long-run equation between general government expenditures and revenues. While estimations point to fiscal sustainability being an issue in some countries, fiscal policy was sustainable both for the EU15 panel set, and within sub-periods (1970-1991 and 1992-2006).

What do we really know about fiscal sustainability in the EU? : a panel data diagnostic

Afonso, António; Rault, Christophe
Fonte: European Central Bank Publicador: European Central Bank
Tipo: Outros
Publicado em /10/2007 Português
Relevância na Pesquisa
56.8%
We assess the sustainability of public finances in the EU15 over the period 1970-2006 using stationarity and cointegration analysis. Specifically, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks. We also apply modern panel cointegration techniques developed by Pedroni (1999, 2004), generalized by Banerjee and Carrion-i-Silvestre (2006) and Westerlund and Edgerton (2007), to a structural long-run equation between general government expenditures and revenues. While estimations point to fiscal sustainability being an issue in some countries, fiscal policy was sustainable both for the EU15 panel set, and within sub-periods (1970-1991 and 1992-2006).

3-step analysis of public finances sustainability : the case of the European Union

Afonso, António; Rault, Christophe
Fonte: European Central Bank Publicador: European Central Bank
Tipo: Outros
Publicado em /06/2008 Português
Relevância na Pesquisa
46.75%
We use a 3-step analysis to assess the sustainability of public finances in the EU27. Firstly, we perform the SURADF specific panel unit root test to investigate the mean-reverting behaviour of general government expenditure and revenue ratios. Secondly, we apply the bootstrap panel cointegration techniques that account for the time series and cross-sectional dependencies of the regression error. Thirdly, we check for a structural long-run equation between general government expenditures and revenues via SUR analysis. While results imply that public finances were not unsustainable for the EU panel, fiscal sustainability is an issue in most countries, with a below unit estimated coefficient of expenditure in the cointegration relation with revenue as the dependent variable.

Budgetary and external imbalances relationship : a panel data diagnostic

Afonso, António; Rault, Christophe
Fonte: European Central Bank Publicador: European Central Bank
Tipo: Outros
Publicado em /11/2008 Português
Relevância na Pesquisa
56.83%
We assess the cointegration relationship between current account and budget balances, and effective real exchange rates, using recent bootstrap panel cointegration techniques and SUR methods. We investigate the magnitude of the relationship between the two imbalances for each country for the period 1970-2007, and for different EU and OECD country groupings. The panel cointegration tests used allow for within and between correlation, while the SUR results show both positive and negative effects of budget balances on current account balances for several countries. The magnitude of the effects varies across countries, and there is no evidence pointing to a direct and close relationship between budgetary and current account balances.

3-Step Analysis of Public Finances Sustainability: the Case of the European Union

Afonso, António; Rault, Christophe
Fonte: ISEG – Departamento de Economia Publicador: ISEG – Departamento de Economia
Tipo: Outros
Publicado em /06/2008 Português
Relevância na Pesquisa
46.75%
We use a 3-step analysis to assess the sustainability of public finances in the EU27. Firstly, we perform the SURADF specific panel unit root test to investigate the mean-reverting behaviour of general government expenditure and revenue ratios. Secondly, we apply the bootstrap panel cointegration techniques that account for the time series and cross-sectional dependencies of the regression error. Thirdly, we check for a structural long-run equation between general government expenditures and revenues via SUR analysis. While results imply that public finances were not unsustainable for the EU panel, fiscal sustainability is an issue in most countries, with a below unit estimated coefficient of expenditure in the cointegration relation with revenue as the dependent variable.

Budgetary and External Imbalances Relationship : a Panel Data Diagnostic

Afonso, António; Rault, Christophe
Fonte: ISEG – Departamento de Economia Publicador: ISEG – Departamento de Economia
Tipo: Outros
Publicado em //2008 Português
Relevância na Pesquisa
56.83%
We assess the cointegration relationship between current account and budget balances, and effective real exchange rates, using recent bootstrap panel cointegration techniques and SUR methods. We investigate the magnitude of the relationship between the two imbalances for each country for the period 1970-2007, and for different EU and OECD country groupings. The panel cointegration tests used allow for within and between correlation, while the SUR results show both positive and negative effects of budget balances on current account balances for several countries. The magnitude of the effects varies across countries, and there is no evidence pointing to a direct and close relationship between budgetary and current account balances.

What We Really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic

Afonso, António; Rault, Christophe
Fonte: ISEG – Departamento de Economia Publicador: ISEG – Departamento de Economia
Tipo: Outros
Publicado em //2007 Português
Relevância na Pesquisa
56.8%
We assess the sustainability of public finances in the EU15 over the period 1970-2006 using stationarity and cointegration analysis. Specifically, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks. We also apply modern panel cointegration techniques developed by Pedroni (1999, 2004), generalized by Banerjee and Carrion-i-Silvestre (2006) and Westerlund and Edgerton (2007), to a structural long-run equation between general government expenditures and revenues. While estimations point to fiscal sustainability being an issue in some countries, fiscal policy was sustainable both for the EU15 panel set, and within sub-periods (1970-1991 and 1992-2006).

Tourism and growth in european countries : an application of likelihood-based panel cointegration

Mello-Sampayo, Felipa de; Sousa-Vale, Sofia de
Fonte: ISEG - Departamento de Economia Publicador: ISEG - Departamento de Economia
Tipo: Outros
Publicado em //2012 Português
Relevância na Pesquisa
66.8%
This paper applies likelihood-based panel cointegration techniques to examine the exis- tence of a long run relationship between GDP, tourism earnings per tourist and total trade volume for a panel of European countries over the period 1988{2010. Removing the cross dependency, our panel tourism-led growth model indicates that tourism development has a higher impact on GDP in the North than in South European countries. The policy implication of this result is that for this group of countries, the best strategy is to raise tourism receipts. Furthermore, the volume of trade shows a significant and much more stronger effect on the long run economic growth in our sample economies than tourism does.

Revisiting fiscal sustainability: panel cointegration and structural breaks in OECD countries

Afonso, António; Jalles, João Tovar
Fonte: ISEG - Departamento de Economia Publicador: ISEG - Departamento de Economia
Tipo: Outros
Publicado em //2012 Português
Relevância na Pesquisa
56.83%
We assess the sustainability of public finances in OECD countries, over the period 1970-2010, using unit root and cointegration analysis, both country and panel based, controlling for endogenous breaks. Results notably show: lack of cointegration – absence of sustainability – between government revenues and expenditures for most countries (except for Austria, Canada, France, Germany, Japan, Netherlands, Sweden, and UK); improvements of the primary balance after past worsening in debt ratios for Australia, Belgium, Germany, Ireland, Netherlands and the UK; Granger causality from government debt to the primary balance for 12 countries (suggesting the existence of Ricardian regimes). Overall, fiscal policy has been less sustainable for several countries, and panel data results corroborate the time-series findings.

Financing health care expenditure in the OECD countries : evidence from a heterogeneous, cross-sectionally dependent panel

Mello-Sampayo, Felipa de; Vale, Sofia de Sousa
Fonte: ISEG - Departamento de Economia Publicador: ISEG - Departamento de Economia
Tipo: Outros
Publicado em //2012 Português
Relevância na Pesquisa
46.65%
This paper analyses the relationship between health expenditure and the way it is financed using a panel of 30 OECD countries observed since the 1990s. In particular, the nonstationarity and cointegration properties between health care spending and its sources of funding, income and non-income variables are studied. This is performed in a panel data context controlling for both cross-section dependence and unobserved heterogeneity. The findings suggest that when health care expenditure is mainly financed by government it becomes highly inelastic, with an income elasticity much smaller than expected, controlling for dependency rates for old and young age structure and technological progress.

Cointegration in Panel Data with Breaks and Cross-Section Dependence

BANERJEE, Anindya; CARRION-I-SILVESTRE, Josep Lluis
Fonte: European University Institute Publicador: European University Institute
Tipo: Trabalho em Andamento Formato: 333946 bytes; application/pdf; digital
Português
Relevância na Pesquisa
56.91%
The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is not taken of the presence of structural breaks in the data. We propose modifications to allow for one structural break when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power. Response surfaces to approximate the finite sample moments that are required to implement the statistics are provided. Since panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the common factor framework is carried out in order to allow for dependence among the units of the panel.

EMU and intra-European trade: long-run evidence using gravity equations

Camarero, Mariam; G??mez-Herrera, Estrella; Tamarit, Cecilio
Fonte: Universidad de Granada. Departamento de Teor??a e Historia Econ??mica Publicador: Universidad de Granada. Departamento de Teor??a e Historia Econ??mica
Tipo: Relatório
Português
Relevância na Pesquisa
46.69%
In this article we present evidence of the long-run effect of the euro on exports for the twelve initial EMU countries for the period 1967-2008 from a double perspective. First, we pool all the bilateral combinations of export flows among the EMU countries in a panel cointegration gravity specification. Second, we estimate a gravity equation for each of the EMU-members vis-??-vis the other eleven partners. Whereas the joint gravity equation provides evidence on the aggregate effect of the euro on intra-European exports, by isolating the individual countries we assess which of them have obtained a larger benefit from the euro. Moreover, this strategy permits to check the robustness of the aggregate results and to find possible asymmetries. Finally, we repeat both the aggregated and individual analysis for the bilateral exports of EMU members to third countries. From an econometric point of view, we apply panel cointegration techniques based on factor models that account for cross-dependence and structural breaks.

The euro impact on trade: long run evidence with structural breaks

Camarero, Mariam; G??mez-Herrera, Estrella; Tamarit, Cecilio
Fonte: Universidad de Granada. Departamento de Teor??a e Historia Econ??mica Publicador: Universidad de Granada. Departamento de Teor??a e Historia Econ??mica
Tipo: Relatório
Português
Relevância na Pesquisa
46.78%
In this paper we present new evidence on the euro effect on trade. We use a data set containing all bilateral combinations in a panel of 26 OECD countries during the period 1967-2008. From a methodological point of view, we implement a new generation of tests that allow solving some of the problems derived from the non-stationary nature of the data. To this aim we apply panel tests that account for the presence of cross-section dependence as well as discontinuities in the non-stationary panel data. We test for cointegration between the variables using panel cointegration tests, especially the ones proposed by Banerjee and Carri??ni- Silvestre (2010). We also efficiently estimate the long-run relationships using the CUP-BC and CUP-FM estimators proposed in Bai et al. (2009). We argue that, after controlling for cross-section dependence and deterministic trends and breaks in trade integration, the euro appears to generate lower trade effects than predicted in previous studies.

Financing Health Care Expenditure in the OECD Countries: Evidence from a Heterogeneous, Cross-Sectional Dependent Panel

de Mello-Sampayo, F.; de Sousa-Vale, S.
Fonte: Economists' Association of Vojvodina Publicador: Economists' Association of Vojvodina
Tipo: Artigo de Revista Científica
Publicado em //2014 Português
Relevância na Pesquisa
46.65%
WOS:000333780500004 (Nº de Acesso Web of Science); This paper analyses the relationship between health expenditure and the way it is financed in a panel of 30 OECD countries observed annually from 1990 to 2009. The nonstationarity and cointegration properties between health care spending and its sources of funding, income, and non-income variables are studied. This is performed in a panel data context controlling for both cross section dependence and unobserved heterogeneity. The findings suggest that when health care expenditure is mainly financed by government it becomes independent of an individual's income, controlling for dependency rates for old and young age structure and technological progress.

Sostenibilidad fiscal: una aproximación con datos panel para 8 países Latinoaméricanos

Campo Robledo, Jacobo Alberto
Fonte: Facultad de Economía Publicador: Facultad de Economía
Tipo: info:eu-repo/semantics/masterThesis; info:eu-repo/semantics/acceptedVersion Formato: application/pdf
Publicado em 23/08/2011 Português
Relevância na Pesquisa
46.85%
Este documento examina la hipótesis de sostenibilidad fiscal para 8 países de Latinoamérica. A partir de un modelo de datos panel, se determina si los ingresos y gasto primario de los Gobiernos entre 1960 - 2009 están cointegrados, es decir, si son sostenibles a largo plazo. Para esto, se utilizaron pruebas de raíz unitaria y cointegración de segunda generación con datos panel macroeconómicos, lo que permite tener en cuenta la dependencia cruzada entre los países, así como los posibles quiebres estructurales en la relación que estén determinados de manera endógena; en particular, se usan la prueba de estacionariedad de Hadri y Rao (2008) y la prueba de cointegración de Westerlund (2006). Como resultado del análisis se encontró evidencia empírica de que en el período bajo estudio el déficit primario en los 8 países latinoamericanos es sostenible pero en sentido débil.; This paper examines the hypothesis of fiscal sustainability for 8 Latin American countries. Using panel data models, we determined whether the revenue and primary expenditure of governments are sustainable in the long run. We used second generation panel data unit root and cointegration tests, which allows for cross-sectional dependence among countries...

Unit Roots and Cointegration in Panels

Breitung, Jorg; Pesaran, M. Hashem
Fonte: Universidade de Cambridge Publicador: Universidade de Cambridge
Formato: 366305 bytes; application/pdf; application/pdf
Português
Relevância na Pesquisa
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This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and the second generation tests that allow, in a variety of forms and degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could arise if the unit roots in the different cross section units are due to common random walk components.

Ohlson model by panel cointegration with Mexican data

Lorenzo Valdés,Arturo; Durán Vázquez,Rocío
Fonte: Facultad de Contaduría y Administración, UNAM Publicador: Facultad de Contaduría y Administración, UNAM
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/12/2010 Português
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56.92%
In this study we use cointegration methods to investigate the relationship between the variables of the Ohlson model (stock price, earnings per share and book value) with panel data. The cointegration tests were applied at individual and group level (by all firms, and by sectors). The firms studied are from the Food & Beverage, Commercial and Construction economical sectors of the public companies listed on the Mexican Exchange Market. The data used was on a quarterly basis from 1997 to 2008. The empirical results, based on Johansen test, indicate that there are some individual cointegration relationships. The panel cointegration test show that the variables in the Ohlson model are not cointegrated for the Construction sector, although they are for the Commercial and Food & Beverage sectors.