Índice de expectativas do consumidor no Brasiluma análise do poder preditivo no período entre 2001 e 2014

Resumo

Based on popular consumer confidence theory, this article analyzes the predictive power of the National Consumer Expectations Index (Ncei) using consumer spending in Brazil for the period 2001 to 2014. The econometric methodology involves cointegration techniques such as described by Johansen (1988), vectors autoregressive models (VAR) and error correction (VEC) (Johansen and Juselius, 1990). The results confirmed the central hypothesis that there is a strong positive correlation over time between the evolutions of Ncei and consumer spending. At the same time, they revealed the existence of cointegration ensuring the presence of a stochastic linear link between the trend of stochastic variables moving toward a long-term equilibrium. Through the Granger causality test it was also found that the final consumption of households “causes” the national consumer expectations index. Thus refuting the first premise of the Fuhrer popular theory (1993). In addition, through the decomposition of the variance was proved the underlying hypothesis that consumer confidence, as measured by Ncei, is able to predict part of consumption that is not explained by traditional macroeconomic variables, since it acts on the consumption and thus on aggregate demand.

Ficha do documento

Tipo

Artigo científico

Ano

2016

Instituição

Instituto de Pesquisa Econômica Aplicada (Ipea)

Fonte

Repositório do Ipea

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.ipea.gov.br:11058/7371

Licença

Licença Comum

Abrangência

Brasil; 2001-2014

Palavras-chave

Gastos de ConsumoPolítica MacroeconômicaConsumoÍndice Nacional de Expectativas do Consumidor (Inec)Modelo de vetores de correção de erro