Até este momento, poucos artigos buscaram tratar diretamente dos problemas da não fundamentalidad... more Até este momento, poucos artigos buscaram tratar diretamente dos problemas da não fundamentalidade e da não causalidade em estudos fiscais, menos ainda no Brasil. Esses problemas são de especial interesse no contexto fiscal em decorrência do fenômeno da antecipação fiscal, inerente à natureza das políticas fiscais. Este trabalho busca suprir essa lacuna na literatura nacional expandindo sua fronteira por meio da introdução expositiva destes conceitos, de suas causas e de suas soluções, bem como de uma primeira tentativa de tratamento metodológico destes problemas para os dados fiscais brasileiros. Estima-se um modelo de autorregressão vetorial (vector auto regression – VAR) fiscal não causal para o Brasil e os resultados obtidos indicam que o desempenho preditivo teve desempenho consistentemente superior a previsões equivalentes construídas utilizando modelos tradicionais. Isso sugere que as expectativas possam ter papel relevante na determinação das dinâmicas fiscais.
Brasília: Instituto de Pesquisa Econômica Aplicada (IPEA), Apr 1, 2020
The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerst... more The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerstone of the contemporaneous empirical macroeconomic research, in particular for measuring the impact of fiscal policy shocks. They may be employed as atheoretical models, as well as a mean to support the estimation and to test DSGE (Dynamic Stochastic General Equilibrium) models – the main theoretical tool for modern macroeconomics. Nevertheless, VAR models may be subject to pathologies, such as the non-causality and the non-fundamentalness. They are capable of biasing the estimates in any direction or intensity. The former is related to the existence of explosive roots in the autoregressive polynomials from stationary processes and the both refer to the insufficiency of the econometrician’s data to estimate the model’s correct parameters. This study is the first to employ the most efficient tests for non-fundamentalness: the Forni and Gambetti’s (2014) and Canova and Sahneh (2018), in order to test for these pathologies in Brazilian typical fiscal VAR model using contemporary data. The data and model were found to be non-fundamental. Keywords: Fiscal Policy. VAR. Macroeconometrics. Fundamentalness.
Este Texto para discussao (TD) apresenta uma analise acerca da presenca de impacto dos gastos pub... more Este Texto para discussao (TD) apresenta uma analise acerca da presenca de impacto dos gastos publicos do Programa Bolsa Familia (PBF) sobre a criminalidade. Abarca dez dos doze anos de atuacao do programa e sugere ser uma abordagem unica na literatura nacional. A estrategia empirica baseia-se na elaboracao de uma regressao em painel balanceado com efeitos fixos, utilizando-se de dados das 27 Unidades Federativas brasileiras entre os anos de 2005 e 2014, somando 270 observacoes e 27 cortes transversais, tendo como variavel dependente o numero de homicidios intencionais por 100 mil habitantes. O diferencial deste estudo para outras analises empiricas da literatura nacional do crime esta na base de dados e sua organizacao em painel balanceado, bem como na inclusao dos gastos publicos no Bolsa Familia entre as variaveis explicativas do modelo. Os resultados indicam uma relacao negativa significativa entre a taxa de homicidios intencionais e os gastos publicos com o Bolsa Familia e sina...
1 INTRODUCAO 7 2 O SISTEMA DE RECOLHIMENTO COMPULSORIO: VISAO GERAL 11 3 O SISTEMA DE RECOLHIMENT... more 1 INTRODUCAO 7 2 O SISTEMA DE RECOLHIMENTO COMPULSORIO: VISAO GERAL 11 3 O SISTEMA DE RECOLHIMENTOS COMPULSORIOS NO BRASIL 24 4 CONCLUSAO E TEMAS PROPOSTOS PARA A PESQUISA 66 REFERENCIAS 68 APENDICE A 75 APENDICE B 88
In this paper, we call attention to a popular mistake in the literature on optimal international ... more In this paper, we call attention to a popular mistake in the literature on optimal international reserves, derived from the incorrect application of the model suggested by Ben-Bassat and Gottlieb (1992) to the case where the opportunity cost of holding reserves is given by the spread between the interest rates on foreign debt and on reserves. We argue that, in this case, the calculation of the optimal level of reserves should take into account the fact that the opportunity cost becomes endogenous with respect to reserves, which is usually ignored in the literature. We discuss the main consequences of such mistake and derive the correct expression for optimal reserves under an endogenous opportunity cost. We illustrate the analysis by presenting estimates of the optimal level of reserves for Brazil during the 19992006 period.
The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerst... more The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerstone of the contemporaneous empirical macroeconomic research, in particular for being able to measure the impact of fiscal policy shocks. They may be employed as atheoretical models, as well as a mean to support the estimation and testing of DSGE (Dynamic Stochastic General Equilibrium) models – the main theoretical tool for modern macroeconomics. Nevertheless, VAR models may be subject to pathologies, such as the non-fundamentalness. It is capable of biasing the estimates in any direction or intensity, and it consists of the non-invertibility of the MA (Moving Average) representation on the positive powers of the lag operator. This is associated with the insufficiency of the econometrician’s data to estimate the model’s correct parameters or with model misspecification. This study is the first to employ the latest and most efficient tests for non-fundamentalness on fiscal data for the US...
This paper presents a brief literature review concerning the costs and benefits of electric vehic... more This paper presents a brief literature review concerning the costs and benefits of electric vehicles and hybrid electric vehicles, highlighting their advantages in terms of greenhouse gas emissions reductions. Even though electric and electro-hybrid vehicles must still overcome many cultural and technological barriers, they present a great potential in improving the energy efficiency of the transportation system, as well as reducing the costs of electric energy production and transmission. The hybrid vehicles may close the technological and operational gap between the old internal combustion powered vehicles and the new electric cars, until new improvements on batteries allow the widespread introduction of electric cars as the standard individual transportation vehicles. Nevertheless, it is imperative to stress that the full potential benefits of these vehicles is conditioned to the implementation of Smart Grids that enable the electric system to use them as a reservoire of energy t...
Até este momento, poucos artigos buscaram tratar diretamente dos problemas da não fundamentalidad... more Até este momento, poucos artigos buscaram tratar diretamente dos problemas da não fundamentalidade e da não causalidade em estudos fiscais, menos ainda no Brasil. Esses problemas são de especial interesse no contexto fiscal em decorrência do fenômeno da antecipação fiscal, inerente à natureza das políticas fiscais. Este trabalho busca suprir essa lacuna na literatura nacional expandindo sua fronteira por meio da introdução expositiva destes conceitos, de suas causas e de suas soluções, bem como de uma primeira tentativa de tratamento metodológico destes problemas para os dados fiscais brasileiros. Estima-se um modelo de autorregressão vetorial (vector auto regression – VAR) fiscal não causal para o Brasil e os resultados obtidos indicam que o desempenho preditivo teve desempenho consistentemente superior a previsões equivalentes construídas utilizando modelos tradicionais. Isso sugere que as expectativas possam ter papel relevante na determinação das dinâmicas fiscais.
Brasília: Instituto de Pesquisa Econômica Aplicada (IPEA), Apr 1, 2020
The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerst... more The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerstone of the contemporaneous empirical macroeconomic research, in particular for measuring the impact of fiscal policy shocks. They may be employed as atheoretical models, as well as a mean to support the estimation and to test DSGE (Dynamic Stochastic General Equilibrium) models – the main theoretical tool for modern macroeconomics. Nevertheless, VAR models may be subject to pathologies, such as the non-causality and the non-fundamentalness. They are capable of biasing the estimates in any direction or intensity. The former is related to the existence of explosive roots in the autoregressive polynomials from stationary processes and the both refer to the insufficiency of the econometrician’s data to estimate the model’s correct parameters. This study is the first to employ the most efficient tests for non-fundamentalness: the Forni and Gambetti’s (2014) and Canova and Sahneh (2018), in order to test for these pathologies in Brazilian typical fiscal VAR model using contemporary data. The data and model were found to be non-fundamental. Keywords: Fiscal Policy. VAR. Macroeconometrics. Fundamentalness.
Este Texto para discussao (TD) apresenta uma analise acerca da presenca de impacto dos gastos pub... more Este Texto para discussao (TD) apresenta uma analise acerca da presenca de impacto dos gastos publicos do Programa Bolsa Familia (PBF) sobre a criminalidade. Abarca dez dos doze anos de atuacao do programa e sugere ser uma abordagem unica na literatura nacional. A estrategia empirica baseia-se na elaboracao de uma regressao em painel balanceado com efeitos fixos, utilizando-se de dados das 27 Unidades Federativas brasileiras entre os anos de 2005 e 2014, somando 270 observacoes e 27 cortes transversais, tendo como variavel dependente o numero de homicidios intencionais por 100 mil habitantes. O diferencial deste estudo para outras analises empiricas da literatura nacional do crime esta na base de dados e sua organizacao em painel balanceado, bem como na inclusao dos gastos publicos no Bolsa Familia entre as variaveis explicativas do modelo. Os resultados indicam uma relacao negativa significativa entre a taxa de homicidios intencionais e os gastos publicos com o Bolsa Familia e sina...
1 INTRODUCAO 7 2 O SISTEMA DE RECOLHIMENTO COMPULSORIO: VISAO GERAL 11 3 O SISTEMA DE RECOLHIMENT... more 1 INTRODUCAO 7 2 O SISTEMA DE RECOLHIMENTO COMPULSORIO: VISAO GERAL 11 3 O SISTEMA DE RECOLHIMENTOS COMPULSORIOS NO BRASIL 24 4 CONCLUSAO E TEMAS PROPOSTOS PARA A PESQUISA 66 REFERENCIAS 68 APENDICE A 75 APENDICE B 88
In this paper, we call attention to a popular mistake in the literature on optimal international ... more In this paper, we call attention to a popular mistake in the literature on optimal international reserves, derived from the incorrect application of the model suggested by Ben-Bassat and Gottlieb (1992) to the case where the opportunity cost of holding reserves is given by the spread between the interest rates on foreign debt and on reserves. We argue that, in this case, the calculation of the optimal level of reserves should take into account the fact that the opportunity cost becomes endogenous with respect to reserves, which is usually ignored in the literature. We discuss the main consequences of such mistake and derive the correct expression for optimal reserves under an endogenous opportunity cost. We illustrate the analysis by presenting estimates of the optimal level of reserves for Brazil during the 19992006 period.
The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerst... more The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerstone of the contemporaneous empirical macroeconomic research, in particular for being able to measure the impact of fiscal policy shocks. They may be employed as atheoretical models, as well as a mean to support the estimation and testing of DSGE (Dynamic Stochastic General Equilibrium) models – the main theoretical tool for modern macroeconomics. Nevertheless, VAR models may be subject to pathologies, such as the non-fundamentalness. It is capable of biasing the estimates in any direction or intensity, and it consists of the non-invertibility of the MA (Moving Average) representation on the positive powers of the lag operator. This is associated with the insufficiency of the econometrician’s data to estimate the model’s correct parameters or with model misspecification. This study is the first to employ the latest and most efficient tests for non-fundamentalness on fiscal data for the US...
This paper presents a brief literature review concerning the costs and benefits of electric vehic... more This paper presents a brief literature review concerning the costs and benefits of electric vehicles and hybrid electric vehicles, highlighting their advantages in terms of greenhouse gas emissions reductions. Even though electric and electro-hybrid vehicles must still overcome many cultural and technological barriers, they present a great potential in improving the energy efficiency of the transportation system, as well as reducing the costs of electric energy production and transmission. The hybrid vehicles may close the technological and operational gap between the old internal combustion powered vehicles and the new electric cars, until new improvements on batteries allow the widespread introduction of electric cars as the standard individual transportation vehicles. Nevertheless, it is imperative to stress that the full potential benefits of these vehicles is conditioned to the implementation of Smart Grids that enable the electric system to use them as a reservoire of energy t...
ARE FISCAL VAR’S NON-FUNDAMENTALNESS EASILY REVERSIBLE THROUGH THE ADDITION OF INFORMATIVE VARIABLES?, 2021
The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerst... more The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerstone of the contemporaneous empirical macroeconomic research, in particular for being able to measure the impact of fiscal policy shocks. They may be employed as atheoretical models, as well as a mean to support the estimation and testing of DSGE (Dynamic Stochastic General Equilibrium) models – the main theoretical tool for modern macroeconomics. Nevertheless, VAR models may be subject to pathologies, such as the non-fundamentalness. It is capable of biasing the estimates in any direction or intensity, and it consists of the non-invertibility of the MA (Moving Average) representation on the positive powers of the lag operator. This is associated with the insufficiency of the econometrician’s data to estimate the model’s correct parameters or with model misspecification. This study is the first to employ the latest and most efficient tests for non-fundamentalness on fiscal data for the USA: the Forni and Gambetti’s (2014) and Canova and Sahneh (2018) tests. The data and model were found to be non-fundamental.
The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerst... more The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerstone of the contemporaneous empirical macroeconomic research, in particular for measuring the impact of fiscal policy shocks. They may be employed as atheoretical models, as well as a mean to support the estimation and to test DSGE (Dynamic Stochastic General Equilibrium) models – the main theoretical tool for modern macroeconomics. Nevertheless, VAR models may be subject to pathologies, such as the non-causality and the non-fundamentalness. They are capable of biasing the estimates in any direction or intensity. The former is related to the existence of explosive roots in the autoregressive polynomials from stationary processes and the both refer to the insufficiency of the econometrician’s data to estimate the model’s correct parameters. This study is the first to employ the most efficient tests for non-fundamentalness: the Forni and Gambetti’s (2014) and Canova and Sahneh (2018), in order to test for these pathologies in Brazilian typical fiscal VAR model using contemporary data. The data and model were found to be non-fundamental. Keywords: Fiscal Policy. VAR. Macroeconometrics. Fundamentalness.
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in particular for being able to measure the impact of fiscal policy shocks. They may
be employed as atheoretical models, as well as a mean to support the estimation and
testing of DSGE (Dynamic Stochastic General Equilibrium) models – the main theoretical tool for modern macroeconomics. Nevertheless, VAR models may be subject to
pathologies, such as the non-fundamentalness. It is capable of biasing the estimates in
any direction or intensity, and it consists of the non-invertibility of the MA (Moving
Average) representation on the positive powers of the lag operator. This is associated
with the insufficiency of the econometrician’s data to estimate the model’s correct parameters or with model misspecification. This study is the first to employ the latest
and most efficient tests for non-fundamentalness on fiscal data for the USA: the Forni
and Gambetti’s (2014) and Canova and Sahneh (2018) tests. The data and model were
found to be non-fundamental.
Nevertheless, VAR models may be subject to pathologies, such as the non-causality and the non-fundamentalness. They are capable of biasing the estimates in any direction or intensity. The former is related to the existence of explosive roots in the autoregressive polynomials from stationary processes and the both refer to the insufficiency of the econometrician’s data to estimate the model’s correct parameters.
This study is the first to employ the most efficient tests for non-fundamentalness: the Forni and Gambetti’s (2014) and Canova and Sahneh (2018), in order to test for these pathologies in Brazilian typical fiscal VAR model using contemporary data. The data and model were found to be non-fundamental.
Keywords: Fiscal Policy. VAR. Macroeconometrics. Fundamentalness.