Autoregressive Vector
Mostrando 1-12 de 37 artigos, teses e dissertações.
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1. Global shocks in emerging economies: An empirical investigation
Resumo Shocks in commodity prices are viewed as a major driver of emerging economies’ business cycle. We show this is not the case for Brazil, Chile, Colombia, and Peru when a structural vector autoregressive model accounts for macro-finance linkages at world and domestic levels. The presence of a global financial variable modifies established results as i
Revista Brasileira de Economia. Publicado em: 2022
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2. Não linearidade entre câmbio e preços no Brasil e implicações para uma estratégia de desenvolvimento econômico
RESUMO O objetivo deste artigo é realizar uma análise da política monetária no Brasil a partir de um modelo de Vetores Autorregressivos com Cadeias de Markov (MS-VAR), na busca de evidências da não linearidade da relação entre câmbio e preços no Brasil. A análise demonstrou que, em períodos de apreciação cambial, tanto pelo lado da demanda quan
Brazil. J. Polit. Econ.. Publicado em: 02/05/2019
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3. High-Resolution Imaging Utilizing Space-Frequency DORT Combining the Extrapolated Virtual Array
Abstract Space-frequency DORT (SF-DORT) is an effective time-reversal (TR) imaging method due to its immunity to the noise and adaptability of complex environment. However, some potential drawbacks, such as low range and co-range resolutions, make SF-DORT inferior to the Space-frequency MUSIC (SF-MUSIC). In this paper, we propose a novel high-resolution imag
J. Microw. Optoelectron. Electromagn. Appl.. Publicado em: 2017-09
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4. Brazil and renewable energy: a study on the negotiation of environmental goods / O Brasil e as energias renováveis: um estudo sobre as negociações de bens ambientais
A necessidade de mitigação dos danos ambientais e preservação do meio ambiente fez com que os países repensassem suas formas de produção e consumo, despontando, dentre outras, a preocupação de estimular a produção e o uso de bens ambientais em detrimento aos convencionais. Diante disso, questões sobre a definição e classificação de bens ambie
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 28/09/2012
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5. Evaluating the existence of structural change in the brazilian term structure of interest : evidence based on cointegration models with structural break
This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the deterministi
Publicado em: 17/09/2012
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6. Evaluating the existence of structural change in the Brazilian term structure of interest: evidence based on cointegration models with structural break
This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegra- tion techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the determin-
Publicado em: 05/07/2012
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7. PRODUÃÃO INDUSTRIAL, ARRECADAÃÃO E GUERRA FISCAL ENTRE OS ESTADOS DO NORDESTE: UMA PROPOSTA DE INVESTIGAÃÃO / INDUSTRIAL PRODUCTION, AND WAR TAX REVENUE BETWEEN THE NORTHEAST: A PROPOSAL FOR RESEARCH
The study involves the application of time series techniques to investigate the phenomenon of the War Tax generated by the financial and tax benefits granted in a general way by the Federal District and municipalities seeking new investments for the development of their region in order to leverage through the collection of the Tax on Circulation of Goods and
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 03/06/2012
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8. Determinantes da disponibilidade de crédito de longo prazo no Brasil: uma análise da linha Finem do BNDES / Determinants of long-term credit availability in Brazil: an analysis of the Finem line of credit from BNDES
The search for greater availability of long-term credit for productive investments in Brazil has been gaining importance since it enables companies to engage in medium and large-scale businesses, feeding the economic growth and development processes. The line of credit provided by BNDES, called Financing to Enterprises (Finem), is one of the few lines existi
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 30/05/2012
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9. MODELANDO EXPECTATIVAS PARA TÃTULOS PÃBLICOS NACIONAIS: UMA APLICAÃÃO COM MODELOS VAR / MODELING EXPECTATIONS FOR NATIONAL PUBLIC SECURITIES: AN APPLICATION TO MODELS VAR
Considering the timing with which the market and the economic and financial analysts require information about the evolution of the assets, this work provides subsidies to apply time series models to anticipate the return of Brazilian government bonds. Vector auto-regressive models are developed and estimated for the main assets in government securities mark
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 27/02/2012
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10. Metas de inflação, regra de Taylor e neutralidade da moeda: uma crítica pós-keynesiana
Inflation targeting, Taylor rule and money neutrality: a post-Keynesian critic. This paper critically discusses the inflation targeting regime proposed by orthodox economists, in particular the Taylor Rule. The article describes how the Taylor Rule assumes the argument of money neutrality inherited from the Quantitative Theory of Money. It discusses critical
Brazilian Journal of Political Economy. Publicado em: 2012-06
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11. Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we p
Escola de Pós-Graduação em Economia da FGV. Publicado em: 27/01/2011
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12. Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well as the traditional ones. We suggest a new two-step model selecti
Escola de Pós-Graduação em Economia da FGV. Publicado em: 13/09/2010