Diferenças e Semelhanças entre Países da América Latina: Uma Análise de Markov Switching para os Ciclos Econômicos de Brasil e Argentina

The aim of this paper is to promote a business cycles analysis for Brazil and Argentina, emphasizing the differences in their economic processes. The differences in economic fluctuations of each country are seen as a result of their differences in economic foundations and structural characteristics. For this purpose, the MS-VAR – Markov switching vector autoregression – approach is used. Univariate models are estimated to real GDP data for the period from 1990 to 2000. The results suggest that business cycles of Brazil and Argentina are, individually, very different. Firstly, Brazilian economy experienced, in average, high growth rate in expansion regime, especially, in high-growth regime. This was not the case of Argentina. Secondly, recessive periods were, in average, more severe in Argentina than in Brazil. While the average growth rate estimated in the recessive regime was –5,8% for Argentina, for Brazil this value was zero. Therefore, results show that these countries cannot be viewed as similar. Furthermore, there is evidence that the assumption of a data generating process shifting only two regimes is too restrictive to capture recessions as well as high growth periods.

MECANISMOS NÃO-LINEARES DE REPASSE CAMBIAL: UM MODELO DE CURVA DE PHILLIPS COM THRESHOLD PARA O BRASIL

This paper investigates the presence of non-linear mechanisms of the pass- through from exchange rate to inflation in Brazil. In particular, it estimates a Phillips curve with a threshold for the passthrough. The paper examines whether the short-run magnitude of the pass-through is affected by the business cycle, direction and magnitude of the exchange rate change and volatility of the exchange rate. For that purpose, three variables are tested as thresholds: i) output gap, ii) exchange rate change, and iii) exchange rate volatility. The results indicate that the short-run pass-through is higher when the economy is booming, when the exchange rate depreciates above some threshold and when the exchange rate volatility is lower. These results have important implications for monetary policy and are possibly related to pricing-to-market behavior, menu costs of price adjustment and uncertainty about the degree of persistence in exchange rate movements.

Ciclos Internacionais de Negócios: Uma Análise de Mudança de Regime Markoviano para Brasil, Argentina e Estados Unidos

The aim of this paper is to develop a business cycle analysis for Brazil, Argentina and the United States, emphasizing the regime switches that occurred throughout the economic fluctuations experienced by these countries. Recent studies on business cycles have favored the international business cycles approach. This work intends to test the hypothesis of a common cycle that could contemporaneously affect these countries. The methodology used is the MS-VAR - Markov switching vector autoregressions . Firstly, individual univariate specifications are estimated for the period from 1900 to 2000 and the results compared to stylized facts characteristic of each country. A multivariate model is formulated afterwards to verify the hypothesis of a common cycle, which, in turn, is perceived as simultaneous changes in the stochastic process of growth of these countries. Finally, the results suggest that the evidences favoring the common cycle are little robust. The estimated contemporaneous correlations show rather modest values. Particularly, there are significant differences in the cycles of Brazil, Argentina and the United States, having each one of theses countries its own characteristics and behavior.

Credit Default and Business Cycles: an empirical investigation of Brazilian retail loans

We use microdata from the Credit Information System (SCR) of the Central Bank of Brazil to study the relationship between credit default and business cycles. In particular, we study the first part of the argument underlying the discussion about procyclicality related to the Basel II Accord: that recessions might increase credit defaults and have adverse impacts on the losses in portfolios of lender institutions. We explore both time series and cross-sectional variation in the data. Our data on the individual level are composed of retail loan transactions in two modalities—Consumer Credit and Vehicle Financing—from 2003 to 2008. Our results support the idea of a negative relationship between business cycles and credit default, but less strong than suggested in previous studies that use corporate data. We also find low and dispersed default correlations, and smaller losses in Value at Risk (VaR) experiments than those found in the literature. These results may be possibly explained by the fact that, in the retail sector, loans are given to a large number of individuals, which may help to diversify risks.

Ciclos internacionais de negócios : uma análise de mudança de regime markoviano para Brasil, Argentina e Estados Unidos

Este trabalho tem por objetivo promover uma análise dos ciclos econômicos de Brasil, Argentina e Estados Unidos, dando ênfase às mudanças de regimes ocorridas ao longo das flutuações experimentadas por esses países. Estudos recentes sobre ciclos têm argumentado em favor de ciclos internacionais de negócios. Nesse sentido, em especial, o trabalho visa testar a hipótese de um ciclo comum que afetaria ambos os países. A metodologia utilizada é a dos modelos MS-VAR – Markov switching vector autoregressions. Especificações univariadas são estimadas para o período de 1900 a 2000 e os resultados comparados aos fatos estilizados de cada país. Posteriormente um modelo multivariado é formulado para abrigar a hipótese de um ciclo conjunto, visto como mudanças comuns no processo estocástico do crescimento desses países. Os resultados sugerem que as evidências em favor desse ciclo comum são pouco robustas. As correlações contemporâneas estimadas apresentam valores bastante modestos. Em particular, existem significativas diferenças nos ciclos de Brasil, Argentina e Estados Unidos, cada um deles com características próprias e comportamentos singulares

Nonlinear mechanisms of the exchange rate pass-through: a Phillips curve model with threshold for Brazil

This paper investigates the presence of nonlinear mechanisms of pass-through from the exchange rate to inflation in Brazil. In particular, it estimates a Phillips curve with a threshold for the pass-through. The paper examines whether the short-run magnitude of the pass-through is affected by the business cycle, direction and magnitude of exchange rate changes, and exchange rate volatility. The results indicate that the short-run pass-through is higher when the economy is growing faster, when the exchange rate depreciates above some threshold and when exchange rate volatility is lower