Data/hora: 20/06/2024 01:45:43

Biblioteca(s): | Embrapa Agricultura Digital.
Data corrente: | 30/10/1996
Data da última atualização: | 18/10/2007
Autoria: | MOREIRA, A. R. B.; FIORENCIO, A.; LOPES, H. F.
Título: | A VAR model of GDP, inflation and liquidity.
Ano de publicação: | 1996
Fonte/Imprenta: | In: SIMPÓSIO NACIONAL DE PROBABILIDADE E ESTATÍSTICA, 12., 1996, Caxambu. Resumos... São Paulo: ABE, 1996.
Páginas: | p.278-279.
Idioma: | Inglês
Notas: | Resumo.
Conteúdo: | This paper is part of an ongoing project for the joint forecasting and simulation of selected macroeconomic variables of the Brazilian economy, in this paper we are interested in finding an empirical relation between GDP, inflation and liquidity for the period 1980-1994. Most empirical work uses ad hoc liquidity measures since economic theory is not sufficiently precise. In practice one choses the financial aggregate or interest rate that gives the best forecasting results. We have chosen a sightly different strategy. We started from a list of possible liquidity indicators and then scarched for the most parsimonious representation of liquidity within this set that  implied no loss of forecasting capability. A parsimonous representation was specially necessarysince we estimate our system with VAR or VEC models. Our initial list of liquidity indicators for the Brazilian economy comprises those variables for which we have long and homogeneous enough series. End of period balances of M1, M2-M1, M3-M2 and M4-M3 and two interest rates: the (public sector) SELIC interest rate, and the (private sector) CDB-pre (30 days) interest rate. In our search we have found a parsimonious representation: a marginal model with GDP, inflation, the CDB-pre interest rate, M2-M1 AND M4-M3 and a conditional model with the SELIC interest rate, M1 and M3-M2. The statistical framework to share the model is presented in the paper of Toda and Phillips (1994) which consider causality tests in VAR models with integrated variables. Second, (...)
Categoria do assunto: | --
Registro original: | Embrapa Agricultura Digital (CNPTIA)
Exemplares: | CNPTIA - (4572-1) - ADD - PL - -- - 519 - SIM - 1996.00008 - DIS