Constructing Coincident Indices of Economic Activity for the Latin American Economy (with Hilton H. Notini, Claudia F. Rodrigues, and Ana Flávia Soares).
Revista Brasileira de Economia, v. 67, p. 67-96, 2013.
Abstract
This paper has three main contributions. The first is to propose an individual coincident indicator for the following Latin American countries: Argentina, Brazil, Chile, Colombia and Mexico. In order to obtain similar series to those traditionally used in business-cycle research in constructing coincident indices (output, sales, income and employment) we were forced to back-cast several individual country series which were not available in a long time-series span. The second contribution is to establish a chronology of recessions for these countries, covering the period from 1980 to 2012 on a monthly basis. Based on this chronology, the countries are compared in several respects. The final contribution is to propose an aggregate coincident indicator for the Latin American economy, which weights individual-country composite indices. Finally, this indicator is compared with the coincident indicator (The Conference Board - TCB) of the U.S. economy. We find that the U.S. indicator Granger-causes the Latin American indicator in statistical tests.
Novo Indicador Coincidente para a Atividade Industrial Brasileira (with Gilberto Hollauer and Hilton Hostalácio Notini).
Revista de Economia Aplicada, v.13, p.5 - 28, 2009.
Abstract
In this paper we perform and evaluate, in sample, some methodologies for building of coincident indicators focusing on the detection of business cycle of the Industrial activity. Specifically, we try a version of coincident indicator based on the coincident indicator for economy of the TCB (The Conference Board), a modified version in which the volatility is modeled, a Stock-Watson approach and a Mariano-Murasawa approach. We conclude that, in general, the TCB index out-performs the others methods tested, being competitive just with the modified method. Furthermore, The TCB Traditional has the tendency to comprehend the recessives periods of the others, in correspondence with the known recessive periods for industrial activity.
Principais Características do Consumo de Duráveis no Brasil e Testes de Separabilidade entre Duráveis e Não-Duráveis (with Fábio Augusto Reis Gomes and Marcio Antonio Salvato).
Revista Brasileira de Economia, v.59, p.33 - 60, 2005.
Abstract
This paper studies the evolution of the consumption of durables in Brazil and tests the hypothesis of liquidity-constraints for the optimal decision of the representative agent. We also test whether consumption decisions on durable and non-durables are separable, which is critical in understanding consumption behavior and is assumed rather than tested in all previous papers investigating consumption in Brazil. Our empirical results suggest that a large proportion of consumers in Brazil face short-run liquidity constraints in the consumption of durables. We also find short-term restrictions involving the behavior of the consumption of non-durable goods, durable goods, and real income.
Avaliando Pesquisadores e Departamentos de Economia no Brasil a partir de Citações Internacionais (with Rachel Couto Ferreira).
Pesquisa e Planejamento Econômico, v.34, p.491 - 538, 2004.
Abstract
This paper computes citation indices for Brazilians researchers and departments based on their citation records in international journals. Citing journals are weighted by their impact factor to control for quality. Moreover we also investigate what fields of economics receive a larger proportion of weighted citations. The results show that researchers and departments that devote a major portion of their time to do research in quantitative areas are better ranked. Finally we compare the results of this research with those of similar studies in Brazil.
Indicadores Coincidentes de Atividade Econômica e uma Cronologia de Recessões para o Brasil (with Angelo J. Mont'alverne Duarte and Andrei Spacov).
Pesquisa e Planejamento Econômico, v.34, p.1 - 37, 2004.
Abstract
This paper studies the statistical and macroeconomic properties of three different coincident indicators for the Brazilian economy and their respective dating for Brazilian recessions. All three incorporate almost one century of business-cycle research done in the U.S.—NBER and TCB’s framework, as well as recent econometric techniques. Some of the proposed indicators are based on heuristic methods others are based on sophisticated statistical and econometric techniques. As a result of the comparison of their properties, we were able to propose both a coincident indicator of economic activity and a recession chronology for Brazil. Our final choice of indicator uses the TCB’s method, where standardized coincident series are equally weighted in the coincident indicator. Our choice dates recessions closer to recession dates of Brazilian GDP.
Estimating Relative Risk Aversion, the Discount Rate, and the Intertemporal Elasticity of Substitution in Consumption for Brazil using Three Types of Utility Function. (with Natalia Scotto Piqueira).
Brazilian Review of Econometrics, v. 20 nº 2, pp. 201-239, 2000.
Abstract
Using the generalized method of moments, we estimate structural parameters related to relative-risk aversion, the discount rate of future utility, and the intertemporal elasticity of substitution in consumption for the Brazilian economy. Estimates are provided for three types of utility function based on the consumption capital asset pricing model constant relative risk aversion utility, utility with external habit, and Kreps-Porteus utility. These results are analyzed and then compared to previous results using Brazilian and U.S. data. Moreover, we perform over-identifying restrictions tests of all estimated models to investigate the possible existence of the equity premium puzzle in Brazil.
The overall results show that Brazilian consumers have a relatively high discount rate, a low intertemporal elasticity of substitutions, and a high relative risk aversion coefficient. Also, there is no evidence of the existence of the equity premium puzzle in Brazil.
Common Trends and Common Cycles in Latin America. (with Robert F. Engle).
Revista Brasileira de Economia, vol. 47(2), pp. 149-176, 1993.
Abstract
This paper analyzes the degree of short and long run comovement in GDP per capita of three Latin American countries (Argentina, Brazil and Mexico) using a technique discussed in the newly established common features literature. We find the data to display both short and long run comovement, although the degree of the first is higher than that of the last. We also find permanent shocks to explain most of the variance of GDP per capita for the region, which suggests that external factors such as foreign investment and external debt may be important in determining the long run prospects for Latin American countries. Finally, we show that imposing short and long run comovement restrictions can dramatically improve forecasting.