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Master's Dissertation
Full name
Gabriel Tamancoldi Couto
Knowledge Area
Date of Defense
Ribeirão Preto, 2016
Gomes, Fabio Augusto Reis (President)
Bertolai, Jefferson Donizeti Pereira
Saiani, Carlos Cesar Santejo
Silva, Cleomar Gomes da
Title in Portuguese
Medindo os custos de bem-estar dos ciclos econômicos na América Latina
Keywords in Portuguese
aversão ao risco
Custo do ciclo econômico
variabilidade do consumo
Abstract in Portuguese
Desde o trabalho de Lucas (1987), diversos autores se dedicaram a medir o custo de bem-estar dos ciclos econômicos. Embora a literatura desse tema para os Estados Unidos seja extensa, há poucos estudos para países em desenvolvimento. O objetivo do presente trabalho é estimar este custo para uma amostra de países latino-americanos e compará-lo ao custo obtido dos dados da economia dos Estados Unidos. É utilizada a metodologia proposta por Reis (2009), que assume que o consumo segue um processo ARIMA(p,1,q), que tem as ordens selecionadas com base no critério de informação bayesiano. Os resultados obtidos indicam que, sob todos os processos assumidos para as série de consumo, os países latino-americanos possuem custo consideravelmente maior do que o dos Estados Unidos. Entretanto, quando se assume a estrutura ARIMA, a diferença entre os custos dos países latino-americanos e dos Estados Unidos é a menor.
Title in English
Measuring the welfare costs of business cycles in Latin America 2016
Keywords in English
risk aversion
variability of consumption
Welfare cost of business cycles
Abstract in English
Since the work of Lucas (1987), several authors have dedicated to measure the welfare costs of business cycle. Although the literature on this subject is extensive for the United States, few studies were made considering developing countries data. The objective of this study is to estimate this cost for a sample of Latin American countries and compare it to the cost obtained from the US economy data. The methodology proposed by Reis (2009) is used. It assumes that consumption follows an ARIMA (p,1,q) model, and the p and q orders are selected based on the Bayesian information criterion. The results indicate that, in all processes assumed for the consumption series, Latin American countries have considerably higher welfare costs than the US. However, when the ARIMA structure is assumed, the difference between the costs of Latin American countries and the United States is the smallest.
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