Smooth Transition Cointegration
Mostrando 1-3 de 3 artigos, teses e dissertações.
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1. 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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2. 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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3. Hysteresis nas exportações manufaturadas brasileiras: um modelo de cointegração com transição suavizada / Hysteresis in the brazilian manufactured exports: a smooth transition cointegration model
A literatura é extensa no que se refere a estimações de modelos de oferta e demanda para exportações, mas poucos consideram que a resposta em exportações a variações na taxa de câmbio possa ser lenta e assimétrica. Dixit (1989) afirma que a firma que deseja passar a atuar no mercado externo ou deixar tal mercado deve incorrer em custos irrecuperá
Publicado em: 2009