Dynamic Structural Models and the High Ination Period in Brazil: Modelling the Monetary System

In this paper we develop a linear, structural, dynamic, econometric model for the high ination period in Brazil. The main goal is to obtain a parsimonious model that accounts for a complex dynamic present in the monetary system during the period describing therelationships among output, ination rate, interest rates and real money. We start the analysis after the Cruzado plan cast in 1986 following a progressive strategy in deriving the econometric model. The results show that we can identify a long run money demand equation and the model describes parsimoniously and in detail the relationship among the variables despite all the instability present in the second half of the 1980's in Brazil with special attention to the role played by nominal wage ination in determining the dynamics observed in price ination.VAR, Cointegration, Money Demand, Simultaneous Equation Models

Flutuações cíclicas na produção industrial e no desemprego no Rio Grande do Sul: algumas evidências empíricas

The presence of high inflation rates during 80's and first half of 90's deviates the attention of policy makers to the monthly fluctuations in the price indexes focusing the economic policy to the stabilization plans. Therefore since 1994 the brazilian price stabilization have been bringing on economic literature and economic policy as a central problem the existence of long run fluctuations in variables like unemployment and industrial production. The main purpose of this paper is to investigate the presence of long run fluctuations in two representative series of Rio Grande do Sul economy: the industrial production Index and the unemployment rate. The classical methodology consists on detrending the series and then filter the cyclical component. This procedure has a disadvantage if the series presents unit roots in the specification of the true stochastic process that governs the series. An alternative way is to use the Structural Time Series Models and the Kalman Filter to isolates the cyclical component. In particular this methodology was adopted in this paper. Our results suggests the existence of four distinct cycles foa a period of sixteen years (1982-1998).The presence of high inflation rates during 80's and first half of 90's deviates the attention of policy makers to the monthly fluctuations in the price indexes focusing the economic policy to the stabilization plans. Therefore since 1994 the brazilian price stabilization have been bringing on economic literature and economic policy as a central problem the existence of long run fluctuations in variables like unemployment and industrial production. The main purpose of this paper is to investigate the presence of long run fluctuations in two representative series of Rio Grande do Sul economy: the industrial production Index and the unemployment rate. The classical methodology consists on detrending the series and then filter the cyclical component. This procedure has a disadvantage if the series presents unit roots in the specification of the true stochastic process that governs the series. An alternative way is to use the Structural Time Series Models and the Kalman Filter to isolates the cyclical component. In particular this methodology was adopted in this paper. Our results suggests the existence of four distinct cycles foa a period of sixteen years (1982-1998)

CONSUMO DE ENERGIA E CRESCIMENTO ECONÔMICO: UMA ANÁLISE DO BRASIL NO PERÍODO 1970-2009

This article aims to contribute to the literature that deals with growth and energy consumption investigating the direction of causality by means of an empirical model for energy consumption and economic growth. To achieve this goal the article makes use of time series methodology and uses data from Brazil in the period of 1970 to 2009. The results show that the direction of causality seems to be from total energy consumption to GDP, although a bidirectional causality cannot be discarded. Also, when considering household income and electricity consumption, the evidence points to a well-defined direction of causality from gross disposable income to household electricity consumption.O presente artigo se propõe a contribuir para a literatura que versa sobre crescimento e consumo de energia ao investigar a direção de causalidade, por meio de um modelo empírico, para consumo de energia e crescimento econômico. Para atingir tal objetivo, o artigo faz uso da metodologia de séries temporais e usa dados de crescimento e do PIB do período brasileiro de 1970 a 2009. Os resultados mostram que a direção de causalidade parece ser do consumo de energia total para o PIB, embora a causalidade bidirecional não possa ser descartada, e que, ao se considerar a renda das famílias e o consumo de eletricidade, por sua vez, a direção de causalidade é bem definida da renda bruta disponível para o consumo residencial

Dynamic structural econometric models and high inflation in Brazil

The properties of the monetary system in Brazil, during the high inflation period (1980-1995) are investigated. A literature review emphasizing empirical attempts is carried out.  The evidence in the literature shows that the Cagan model is a good specification for the money demand prior to 1986.  Nevertheless the results of the present doctoral thesis show that from 1986 onwards after the first stabilization plan started the empirical evidence does not support the Cagan model. Alternatively a dynamic structural econometric model (SEM) is proposed.  The sample size is divided into three distinct periods: 1. 1980 until 1986(2), 2. 1986(3) until 1994(6) 3. 1994 until 2002(2).  A long run money demand equation is identified in the second and third periods.  The results for the first period support the view that the accommodating monetary policy (M1) followed after the 1984 economic upturn in a highly indexed economy allowed the increase in the inflation rates.  In period 2 the short run price dynamics depicted the presence of memory in the process reflecting indexation.  The long run response to shocks in inflation is positive representing a long run increasing trend. The influence of the administered exchange rate devaluations and nominal wage inflation on price dynamic is investigated.  For the first period in the short run the impact of inflation on industrial activity originated in the nominal wage inflation not in price inflation.  In the second period the short run model dynamics shows the growth in the industrial production and inflation rate being driven by past inflation (wage and prices) in line with the theoretical model proposed.</p

Dynamic structural econometric models and high inflation in Brazil

EThOS - Electronic Theses Online ServiceGBUnited Kingdo

Eficiência em mercados futuros, prêmio de risco e bandas de câmbio no Brasil

The expectations are substantially affected by economic policy. The futures market prices are efficient when they capture all current important information, allowing them to be the best price estimate for the contract’s maturity. The bias between future and spot exchange rate can be due to a risk premium, which varies on time and can be explained by the past values of these variables. The dollar futures market efficiency in particular is mainly influenced by the exchange rate policy. This paper investigates this relationship testing the efficiency hypothesis for the Brazilian dollar futures market traded in BM&amp;F from July 1994 to April 2000. The results had indicated that the dollar futures market was inefficient during the whole period. Analyzing only the Brazilian exchange rate bands system, dollar futures market was inefficient too. The results suggest yet that there is a risk premium in Brazilian exchange rate market. As expectativas são substancialmente afetadas pela política econômica. Os preços futuros são eficientes quando captam todas as informações disponíveis e são estimativas não-viesadas dos preços a vista no futuro. O viés entre o preço futuro e a vista pode ser atribuído à presença de um prêmio de risco que varia no tempo e pode ser parcialmente explicado pelos valores passados dessas variáveis. A eficiência do mercado de câmbio é especialmente influenciada pela política cambial. Este trabalho investiga esta relação testando a hipótese de eficiência para o mercado de dólar futuro negociado na BM&amp;F, no período Julho de1994 aAbril de 2000. Os resultados indicam que o mercado de câmbio brasileiro é ineficiente para todo o período. Analisando apenas o sistema de bandas cambiais, o mercado futuro de dólar também é ineficiente. Os resultados sugerem ainda que existe um prêmio de risco no mercado brasileiro de câmbio

Monetary policy and transmission mechanism in Brazil: an empirical model

We propose an econometric model for the transmission mechanism in Brazil after the inflation target regime (IT) implementation. We follow the statistical approach based on the LSE methodology by means of the Spanos (J Econom 44:87–105, 1990) categorization. Our proposed model includes the ratios of the debt and primary surplus to the GDP representing the government fiscal effort. We identify two long run relationships that produce new information on how to evaluate the real interest rate and the nominal interest rate links, respectively, with the output gap and the nominal inflation derived from the IS and the interest rule theoretical models. Such specification explores the role played by fiscal variables in monetary transmission; considering the government fiscal effort, a relevant issue for Brazil. We were also able to identify a third long run relationship that might help to uncover how output gap is related not only with nominal variables but also with the debt to the GDP ratio