Pub Date : 2015-03-03DOI: 10.12660/BRE.V35N22015.57574
Fabio Kanczuk
CHORINHO, a medium scale DSGE model used in the financial sector to inform investment decisions, consists of a small open economy version of Smets and Wouters (2007) with a financial accelerator mechanism, adapted for estimation with Brazilian data. Marginal likelihood comparisons indicate that the model compares favorably to Bayesian Vector Autoregressions that use Sims and Zha (1998) priors. The model is used to (i) identify the reasons behind recent deceleration episodes, (ii) study the effects of currency depreciation, and (iii) investigate whether monetary policy has recently become more powerful.
{"title":"Brazil Through the Eyes of CHORINHO","authors":"Fabio Kanczuk","doi":"10.12660/BRE.V35N22015.57574","DOIUrl":"https://doi.org/10.12660/BRE.V35N22015.57574","url":null,"abstract":"CHORINHO, a medium scale DSGE model used in the financial sector to inform investment decisions, consists of a small open economy version of Smets and Wouters (2007) with a financial accelerator mechanism, adapted for estimation with Brazilian data. Marginal likelihood comparisons indicate that the model compares favorably to Bayesian Vector Autoregressions that use Sims and Zha (1998) priors. The model is used to (i) identify the reasons behind recent deceleration episodes, (ii) study the effects of currency depreciation, and (iii) investigate whether monetary policy has recently become more powerful.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"84 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130846534","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2015-03-03DOI: 10.12660/BRE.V35N22015.57573
Marcos R. Castro, Solange Gouvea, A. Minella, R. Santos, Nelson F. Souza-Sobrinho
We develop and estimate a DSGE model for the Brazilian economy, to be used as part of the macroeconomic modeling framework at the Central Bank of Brazil. The model combines the building blocks of standard DSGE models (e.g., price and wage rigidities and adjustment costs) with the following features that better describe the Brazilian economy: (i) a fiscal authority pursuing an explicit target for the primary surplus; (ii) administered or regulated prices as part of consumer prices; (iii) external finance for imports, amplifying the effects of changes in external financial conditions on the economy; and (iv) imported goods used in the production function of differentiated goods. It also includes the presence of financially constrained households. We estimate the model with Bayesian techniques, using data starting in 1999, when inflation targeting was implemented. Model evaluation, based on impulse response functions, moment conditions, variance error decomposition and initial forecasting exercises, suggests that the model can be a useful tool for policy analysis and forecasting.
{"title":"SAMBA: Stochastic Analytical Model with a Bayesian Approach","authors":"Marcos R. Castro, Solange Gouvea, A. Minella, R. Santos, Nelson F. Souza-Sobrinho","doi":"10.12660/BRE.V35N22015.57573","DOIUrl":"https://doi.org/10.12660/BRE.V35N22015.57573","url":null,"abstract":"We develop and estimate a DSGE model for the Brazilian economy, to be used as part of the macroeconomic modeling framework at the Central Bank of Brazil. The model combines the building blocks of standard DSGE models (e.g., price and wage rigidities and adjustment costs) with the following features that better describe the Brazilian economy: (i) a fiscal authority pursuing an explicit target for the primary surplus; (ii) administered or regulated prices as part of consumer prices; (iii) external finance for imports, amplifying the effects of changes in external financial conditions on the economy; and (iv) imported goods used in the production function of differentiated goods. It also includes the presence of financially constrained households. We estimate the model with Bayesian techniques, using data starting in 1999, when inflation targeting was implemented. Model evaluation, based on impulse response functions, moment conditions, variance error decomposition and initial forecasting exercises, suggests that the model can be a useful tool for policy analysis and forecasting.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132763611","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2015-03-03DOI: 10.12660/BRE.V35N22015.57675
V. Teles, Celso Júnior, Rafael Mouallem Rosa
This study discusses the importance of investment-specific technological change for the brazilian macroeconomy. We document evidence that a model that takes this specific type of technical progress into account is better suited to explain the Brazilian economy over the long term. We then present a DSGE [Dynamic Stochastic General Equilibrium] model with two sectors that incorporates technical progress in the investment goods sector and estimate the model for Brazil. The results demonstrate that productivity shocks in the investment goods sector are more volatile and persistent than in the final goods sector and that the output gap has a greater variance in the two-sector model. In addition, these results recommend a more rigorous monetary policy prescription to improve the economy’s well-being.
{"title":"Investment-Specific Technological Change and the Brazilian Macroeconomy","authors":"V. Teles, Celso Júnior, Rafael Mouallem Rosa","doi":"10.12660/BRE.V35N22015.57675","DOIUrl":"https://doi.org/10.12660/BRE.V35N22015.57675","url":null,"abstract":"This study discusses the importance of investment-specific technological change for the brazilian macroeconomy. We document evidence that a model that takes this specific type of technical progress into account is better suited to explain the Brazilian economy over the long term. We then present a DSGE [Dynamic Stochastic General Equilibrium] model with two sectors that incorporates technical progress in the investment goods sector and estimate the model for Brazil. The results demonstrate that productivity shocks in the investment goods sector are more volatile and persistent than in the final goods sector and that the output gap has a greater variance in the two-sector model. In addition, these results recommend a more rigorous monetary policy prescription to improve the economy’s well-being.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130059969","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2015-02-11DOI: 10.12660/BRE.V34N12014.20485
Gustavo M. Gonzaga, Cristina Terra, B. Hernández
We build a theoretical model that incorporates unionization in the labor market into a Heckscher-Ohlin-Samuelson (HOS) framework to investigate the impact of unionization on the Stolper-Samuelson Theorem. To capture the American economy case, we assume that unskilled labor in the manufactured goods sector is unionized, and that sector is intensive in skilled labor, and that trade liberalization increases the relative price of manufactured goods. In the HOS model, trade liberalization induces a reallocation of production towards the sector that uses intensively the country's most abundant factor. The resulting change in relative labor demand impacts wage bargaining in the unionized sector, which, in turn, has a dampening e ect on the Stolper- Samuelson e ect. Moreover, wages of unionized workers are even less responsive to trade liberalization. Through traditional mandated-wages regressions, we show that skilled-wage diferentials changes were less pronounced among more unionized sectors in the U.S. economy for the 1979-1990 period.
{"title":"Wage differentials: Trade Openness and Wage Bargaining","authors":"Gustavo M. Gonzaga, Cristina Terra, B. Hernández","doi":"10.12660/BRE.V34N12014.20485","DOIUrl":"https://doi.org/10.12660/BRE.V34N12014.20485","url":null,"abstract":"We build a theoretical model that incorporates unionization in the labor market into a Heckscher-Ohlin-Samuelson (HOS) framework to investigate the impact of unionization on the Stolper-Samuelson Theorem. To capture the American economy case, we assume that unskilled labor in the manufactured goods sector is unionized, and that sector is intensive in skilled labor, and that trade liberalization increases the relative price of manufactured goods. In the HOS model, trade liberalization induces a reallocation of production towards the sector that uses intensively the country's most abundant factor. The resulting change in relative labor demand impacts wage bargaining in the unionized sector, which, in turn, has a dampening e ect on the Stolper- Samuelson e ect. Moreover, wages of unionized workers are even less responsive to trade liberalization. Through traditional mandated-wages regressions, we show that skilled-wage diferentials changes were less pronounced among more unionized sectors in the U.S. economy for the 1979-1990 period.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115407264","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-11-14DOI: 10.12660/BRE.V34N22014.17511
Marcel Fernandes, Ricardo Nunes
The goal of this study is to analyze the yield difference between corporate debt issuance of Brazilian companies in local and foreign markets. From the perspective of the investor, we attempt to answer whether it is better, on average, to acquire a local debenture or an international bond from the same issuer after controlling for risk. To this end, we examine 177 local and 119 international bond issuances of 31 Brazilian non-financial companies from January 2004 to April 2013. Panel regressions with fixed effects to control for the issuer’s characteristics show that, on average, international bonds yield 164 to 197 bps more than local debentures, and that this difference is statistically significant.
{"title":"Brazilian Corporate Debt Issuance: Should You Invest in Local or International Bonds?","authors":"Marcel Fernandes, Ricardo Nunes","doi":"10.12660/BRE.V34N22014.17511","DOIUrl":"https://doi.org/10.12660/BRE.V34N22014.17511","url":null,"abstract":"The goal of this study is to analyze the yield difference between corporate debt issuance of Brazilian companies in local and foreign markets. From the perspective of the investor, we attempt to answer whether it is better, on average, to acquire a local debenture or an international bond from the same issuer after controlling for risk. To this end, we examine 177 local and 119 international bond issuances of 31 Brazilian non-financial companies from January 2004 to April 2013. Panel regressions with fixed effects to control for the issuer’s characteristics show that, on average, international bonds yield 164 to 197 bps more than local debentures, and that this difference is statistically significant.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"56 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120879984","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-11-14DOI: 10.12660/BRE.V34N22014.11131
C. Lucinda, Francisco Anuatti Neto
In this paper we proposed an econometric model for industrial electricity demand in Brazil. Differently from residential customers, industries in Brazil, in addition to purchasing energy and capacity, also face a tariffmenu with Time of Use pricing. Each item in this menu also has different components and price discrimination structure. All these characteristics pose an empirical problem that, so far, has not been faced together in the literature. This methodology was applied in a non-experimental micro data sample of 646 large Brazilian industrial customers (with demands over 300 KW) between January 2002 and December 2006. The results indicate demands for the various services (capacity and energy, separated between peak and non-peak hours) are price elastic, and at least in the AZUL tariff, there is complementarity between energy and capacity in the different periods. Thus, policies on tariff structures based on assumptions of an inelastic aggregate electricity demand could have effects that are quite different from what was intended.
{"title":"Non-linear Demand and Price: An Empirical Analysis of the Brazilian Industrial Electricity Consumption *","authors":"C. Lucinda, Francisco Anuatti Neto","doi":"10.12660/BRE.V34N22014.11131","DOIUrl":"https://doi.org/10.12660/BRE.V34N22014.11131","url":null,"abstract":"In this paper we proposed an econometric model for industrial electricity demand in Brazil. Differently from residential customers, industries in Brazil, in addition to purchasing energy and capacity, also face a tariffmenu with Time of Use pricing. Each item in this menu also has different components and price discrimination structure. All these characteristics pose an empirical problem that, so far, has not been faced together in the literature. This methodology was applied in a non-experimental micro data sample of 646 large Brazilian industrial customers (with demands over 300 KW) between January 2002 and December 2006. The results indicate demands for the various services (capacity and energy, separated between peak and non-peak hours) are price elastic, and at least in the AZUL tariff, there is complementarity between energy and capacity in the different periods. Thus, policies on tariff structures based on assumptions of an inelastic aggregate electricity demand could have effects that are quite different from what was intended.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"190 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129008858","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-10-06DOI: 10.12660/BRE.V33N22013.24116
M. C. Medeiros, Rafael Magri
Existing tests for nonlinearity in vector error correction models are highly intensive computationally and have nuisance parameters in the asymptotic distribution, what calls for cumbersome bootstrap calculations in order to assess the distribution. Our work proposes a consistent test which is implementable in any statistical package and has Chi-Squared asymptotics. Moreover,Monte Carlo experiments show that in small samples our test has nice size and power properties, often better than the preexisting tests. We also provide a condition under which a two step estimator for the model parameters is consistent and asymptotically normal. Application to international agricultural commodities prices show evidence of nonlinear adjustment to the long run equilibrium on the wheat prices.
{"title":"Nonlinear Error Correction Models With an Application to Commodity Prices","authors":"M. C. Medeiros, Rafael Magri","doi":"10.12660/BRE.V33N22013.24116","DOIUrl":"https://doi.org/10.12660/BRE.V33N22013.24116","url":null,"abstract":"Existing tests for nonlinearity in vector error correction models are highly intensive computationally and have nuisance parameters in the asymptotic distribution, what calls for cumbersome bootstrap calculations in order to assess the distribution. Our work proposes a consistent test which is implementable in any statistical package and has Chi-Squared asymptotics. Moreover,Monte Carlo experiments show that in small samples our test has nice size and power properties, often better than the preexisting tests. We also provide a condition under which a two step estimator for the model parameters is consistent and asymptotically normal. Application to international agricultural commodities prices show evidence of nonlinear adjustment to the long run equilibrium on the wheat prices.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"104 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132261391","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-07-22DOI: 10.12660/BRE.V33N22013.26508
Carlos Martins-Filho, F. Ziegelmann, H. Torrent
In this paper we propose a local exponential estimator for a multiplicative nonparametric frontiermodel rst introduced by Martins-Filho & Yao (2007). We improve their estimation procedure by adoptinga variant of the local exponential smoothing introduced in Ziegelmann (2002). Our estimator is shown to beconsistent and asymptotically normal under mild regularity conditions. In addition, due to local exponentialsmoothing, potential negativity of conditional variance functions that may hinder the use of Martins-Filhoand Yao's estimator is avoided. A Monte Carlo study is performed to shed light on the nite sample proper-ties of the estimator and to contrast its performance with that of the estimator proposed in Martins-Filho &Yao (2007). We also conduct an empirical exercise in which a production function and associated ecienciesfor branches of nancial institutions in the United States are estimated.
{"title":"Local Exponential Frontier Estimation","authors":"Carlos Martins-Filho, F. Ziegelmann, H. Torrent","doi":"10.12660/BRE.V33N22013.26508","DOIUrl":"https://doi.org/10.12660/BRE.V33N22013.26508","url":null,"abstract":"In this paper we propose a local exponential estimator for a multiplicative nonparametric frontiermodel rst introduced by Martins-Filho & Yao (2007). We improve their estimation procedure by adoptinga variant of the local exponential smoothing introduced in Ziegelmann (2002). Our estimator is shown to beconsistent and asymptotically normal under mild regularity conditions. In addition, due to local exponentialsmoothing, potential negativity of conditional variance functions that may hinder the use of Martins-Filhoand Yao's estimator is avoided. A Monte Carlo study is performed to shed light on the nite sample proper-ties of the estimator and to contrast its performance with that of the estimator proposed in Martins-Filho &Yao (2007). We also conduct an empirical exercise in which a production function and associated ecienciesfor branches of nancial institutions in the United States are estimated.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114568236","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-06-26DOI: 10.12660/BRE.V33N12013.26290
V. Teles, Carlos Pereira
This manuscript empirically assesses the effects of political institutions on economic growth. It analyzes how political institutions affect economic growth in different stages of democratization and economic development by means of dynamic panel estimation with interaction terms. The new empirical results obtained show that political institutions work as a substitute for democracy promoting economic growth. In other words, political institutions are important for increasing economic growth, mainly when democracy is not consolidated. Moreover, political institutions are extremely relevant to economic outcomes especially in periods of transition to democracy and in poor countries with high ethnical fractionalization.
{"title":"Are Political Institutions Substitutes for Democracy? A Political Economy Analysis of Economic Growth","authors":"V. Teles, Carlos Pereira","doi":"10.12660/BRE.V33N12013.26290","DOIUrl":"https://doi.org/10.12660/BRE.V33N12013.26290","url":null,"abstract":"This manuscript empirically assesses the effects of political institutions on economic growth. It analyzes how political institutions affect economic growth in different stages of democratization and economic development by means of dynamic panel estimation with interaction terms. The new empirical results obtained show that political institutions work as a substitute for democracy promoting economic growth. In other words, political institutions are important for increasing economic growth, mainly when democracy is not consolidated. Moreover, political institutions are extremely relevant to economic outcomes especially in periods of transition to democracy and in poor countries with high ethnical fractionalization.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"109 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128978096","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-06-21DOI: 10.12660/BRE.V35N12015.21453
F. Ziegelmann, B. Borges, J. Caldeira
This paper explores different covariance matrix estimators, either the conditional or the unconditional versions, obtained via intradaily data and named realized measures, to the minimum variance portfolio selection problem. Intradaily data are sampled in a synchronized manner as well as in a unsynchronized version. For sake of comparison, we alsouse daily data estimators. The major contribution of this work has an empirical nature focused on the Brazilian scenario. We evaluate some out-of-sample performance indexes of the obtained portfolios for a set of 30 stocks traded on the Sao Paulo stock exchange (BM&FBovespa). The results show that the estimator of the conditional covariance matrix of returns coming from a scalar vt-VECH model based on higher frequency data leads to substantial earnings, reducing the portfolio risk, increasing the average adjustedby risk return and decreasing the turnover
{"title":"Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM&FBovespa Data","authors":"F. Ziegelmann, B. Borges, J. Caldeira","doi":"10.12660/BRE.V35N12015.21453","DOIUrl":"https://doi.org/10.12660/BRE.V35N12015.21453","url":null,"abstract":"This paper explores different covariance matrix estimators, either the conditional or the unconditional versions, obtained via intradaily data and named realized measures, to the minimum variance portfolio selection problem. Intradaily data are sampled in a synchronized manner as well as in a unsynchronized version. For sake of comparison, we alsouse daily data estimators. The major contribution of this work has an empirical nature focused on the Brazilian scenario. We evaluate some out-of-sample performance indexes of the obtained portfolios for a set of 30 stocks traded on the Sao Paulo stock exchange (BM&FBovespa). The results show that the estimator of the conditional covariance matrix of returns coming from a scalar vt-VECH model based on higher frequency data leads to substantial earnings, reducing the portfolio risk, increasing the average adjustedby risk return and decreasing the turnover","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114107221","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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