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Doctoral Thesis
DOI
https://doi.org/10.11606/T.96.2020.tde-04012021-162429
Document
Author
Full name
Lívia Carolina Machado Melo
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
Ribeirão Preto, 2020
Supervisor
Committee
Gomes, Fabio Augusto Reis (President)
Aragón, Edilean Kleber da Silva Bejarano
Nakabashi, Luciano
Silva, Cleomar Gomes da
Silva, Roseli da
Soave, Gian Paulo
Title in Portuguese
Ensaios em macroeconometria: ciclos econômicos, políticas econômicas e expectativas dos consumidores
Keywords in Portuguese
Ciclos econômicos
Índice de confiança do consumidor
Modelo de mudança de regime markoviano
Modelos de vetores autorregressivos
Políticas econômicas
Recessões
Abstract in Portuguese
Esta tese é composta por três ensaios que estudam os ciclos econômicos. O primeiro ensaio estima, por meio de modelos autorregressivos com mudança de regime de Markov, os ciclos econômicos da indústria do Rio Grande do Sul e analisa como a taxa de juros, dívida do governo e a evolução da taxa de câmbio afetam tais ciclos. O segundo ensaio aplica modelos autorregressivos com mudança de regime de Markov com probabilidades de transição variantes no tempo para estimar os ciclos econômicos do produto interno bruto brasileiro. O terceiro ensaio investiga se o índice de confiança do consumidor afeta o nível de atividade econômica do Brasil. Para tanto, estimam-se modelos de vetores autorregressivos e a resposta do produto e consumo ao impulso da inovação do índice de confiança do consumidor. Além disto, aplica-se a metodologia de mudança de regime markoviano para investigar se a volatilidade de tal inovação é informativa quanto ao estado da economia brasileira.
Title in English
Essays in macroeconometry: economic cycles, economic policies and consumer expectations
Keywords in English
Autoregressive vector model
Consumer confidence index
Economic cycles
Economic policies
Markov-switching model
Recessions
Abstract in English
This thesis is composed of three essays that study business cycles. The first essay estimates, using Markov- Switching Models, the economic cycles of industry in Rio Grande do Sul and analyzes how interest rates, government debt and exchange rate developments affect such cycles. The second essay applies Markov- Switching Model with time-varying transition probabilities to estimate the economic cycles of the Brazilian gross domestic product. The third essay investigates whether the consumer confidence index affects the level of economic activity in Brazil. For this purpose, autoregressive vector models and the response of the product and consumption to the impulse of innovation in the consumer confidence index are estimated. In addition, the Markov- Switching methodology is applied to investigate whether the volatility of such an innovation is informative as to the state of the Brazilian economy.
 
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Publishing Date
2021-02-01
 
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