O Impacto dos Fluxos de Capitais no Desempenho Macroeconômico Brasileiro
Uma comparação entre os modelos VAR e MS-VAR
Keywords:
Capital Flows, Macroeconomic Performance, MS-VAR Models, Brazil
Abstract
The paper evaluates the impact of increasing the degree of financial integration, in terms of short-term capital flows, on the Brazilian macroeconomic performance, and it brings as potentially original contribution the use of Markov Switching Vector Autoregressive Model (MS-VAR) in combating the nonlinearity of the parameters recorded in a common VAR. In terms of results, an expansion in the degree of integration, in the longer regime, generates positive effects on the interest rate and exchange rate volatility, and negative effects on the level of activity. In the shorter regime, we find opposite developments, but transitory and less persistent.
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References
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BORIO, C. The financial cycle and macroeconomics: What have we learnt? BIS Working Papers, n. 395. Basiléia: BIS, 2012.
BORIO, C. The international monetary and financial system: its Achilles heel and what to do about it. BIS Working Papers No 456, September. Basiléia: BIS, 2014.
CARNEIRO, R. Desenvolvimento em crise: a economia brasileira no último quarto do século XX. São
CHEN, J.; MANCINI-GRIFFOLI, T.; SAHAY, R. Spillovers from United States Monetary Policy on Emerging Markets: Different This Time? IMF Working Paper 14/240. Washington: FMI, 2014
CUNHA, A.M.; LAAN, C. R. V. D. Uma nova ordem financeira internacional? Avaliando alternativas para o Brasil. Texto para Discussão. Brasília: BNDES, 2013
DE PAULA, L. F. R.; PIRES, M. C. C.; FARIA JUNIOR, J.A.; MEYER, T. R.. Liberalização financeira, performance econômica e estabilidade macroeconômica no Brasil: uma análise do período 1994-2007. Nova Economia (UFMG. Impresso), v. 22, p. 561-596, 2012.
EHRMANN, Michael; ELLISON, Martin; VALLA, Natacha. Regime-dependent impulse response functions in a Markov-switching vector autoregression model. Economics Letters, v. 78, n. 3, p. 295-299, 2003.
FARIA, J.A.; DE PAULA, L. F. R.; MEYER, T. R.; PIRES, M. C. C. Financial liberalization, economic performance and macroeconomic stability in Brazil: an assessment of the recent period. In: 37º Encontro Nacional de Economia da ANPEC, 2009, Foz do Iguaçu. Anais do 37o Encontro Nacional de Economia da ANPEC. Niterói: ANPEC, 2009.
GALLINDO, A.; SCHIANTARELLI, F.; WEISS, A. Does Financial Liberalization Improve the Allocation of Investment? Micro Evidence from Developing Countries. Journal of Development Economics, Volume 83, Issue 2, July 2007, Pages 562-587, 2007.
HAMILTON, J. D. Time Series Analysis, Princeton University Press, Princeton, 1994.
HAMILTON, James D. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica: Journal of the Econometric Society, p. 357-384, 1989.
KIM, Chang-Jin; NELSON, Charles R. State-space models with regime switching: classical and Gibbs-sampling approaches with applications. MIT Press Books, v. 1, 1999.
KOOP, Gary. ‘Objective’ bayesian unit root tests. Journal of Applied Econometrics, v. 7, n. 1, p. 65-82, 1992.
KRAAY, A. In Search of Macroeconomic Effects of Capital Account Liberalization. Washington D.C.: World Bank, 1998.
KROLZIG, Hans-Martin. Business cycle analysis and aggregation. Results for Markov-switching VAR processes. Discussion Paper, Department of Economics, University of Oxford: 2003a.
KROLZIG, Hans-Martin. Markov-switching vector autoregressions: Modelling, statistical inference, and application to business cycle analysis. Berlin: Springer, 1997. KROLZIG, Hans-Martin. Econometric modelling of Markov-switching vector autoregressions using MSVAR for Ox, 1998.
KROLZIG, Hans-Martin. Predicting Markov-switching vector autoregressive processes. Journal of Forecasting. Forthcoming, 2003b.
KROLZIG, Hans-Martin. Statistical analysis of cointegrated VAR processes with Markovian regime shifts. SFB 373 Discussion Paper 25/1996, Humboldt Universität zu Berlin, 1996.
MENDONÇA, Mario Jorge; MEDRANO, Luis Alberto; SACHSIDA, Adolfo. Avaliando o efeito de um choque de política monetária sobre o mercado imobiliário. Texto para Discussão, Instituto de Pesquisa Econômica Aplicada (IPEA), 2011.
OBSTFELD, M. Trilemmas and trade-offs: living with financial Globalization. BIS Working Papers No 480, September. Basiléia: BIS, 2015.
REY, H. Dilemma not Trilemma: The global financial cycle and monetary policy independence, Paper presented at the 25th Jackson Hole symposium, The Federal Reserve Bank of Kansas City Wyoming, August, 2013.
SIMS, Christopher A. Macroeconomics and reality. Modelling Economic Series. Clarendon Press, Oxford, 1990.
SIMS, Christopher A. Bayesian skepticism on unit root econometrics. Journal of Economic dynamics and Control, v. 12, n. 2, p. 463-474, 1988.
SIMS, Christopher A.; UHLIG, Harald. Understanding unit rooters: A helicopter tour. Econometrica: Journal of the Econometric Society, p. 1591-1599, 1991.
SIMS, Christopher A.; ZHA, Tao. MCMC method for Markov mixture simultaneous-equation models: a note. Federal Reserve Bank of Atlanta, 2004.
SIMS, Christopher A.; ZHA, Tao. Were there regime switches in US monetary policy? The American Economic Review, p. 54-81, 2006.
TODA, Hiro Y.; YAMAMOTO, Taku. Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, v. 66, n. 1, p. 225-250, 1995.
VAN DER LAAN, C.R. Liberalização da Conta de Capitais: Evolução e Evidências para o Caso Brasileiro Recente (1990-2005). Rio de Janeiro: BNDES, 2007.
Published
2020-11-11
How to Cite
Fonseca, M., & Perfeito da Silva, P. (2020). O Impacto dos Fluxos de Capitais no Desempenho Macroeconômico Brasileiro. A Economia Em Revista - AERE, 27(3), 97-111. Retrieved from https://periodicos.uem.br/ojs/index.php/EconRev/article/view/52544
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