Inflação e ativos financeiros no Brasiluma analise de auto-regressão vetorial

Resumo

In this article we have estimated a Vector Autoregression (VAR), using Brazilian macroeconomic variables, so as to arrive at some “stylized facts” regarding statistical and dynamic interdependence in Brazil, between the rate of inflation and the rate of growth of certain financial assets. As has been pointed out by Sims (1986), models such as the one estimated here can be utilized for identifying the impact of alternative economic policies. We show for instance, that the shocks (inovations) in the “money supply ” are quite similar, from the point of view of the effects on other variables in the model, those that would be conventionally expected. We also have obtained evidence that the General price index (IGP) is littled affected by nominal changes in the stock of certain financial assets. This result is consistent with the view that inflation in Brazil has an important inertial component. The method adopted for estimating VAR resembles that proposed by Doan, Litterman e Sims (1984). In our article however we utilize a model with a different structure, permitting convergence of the VAR model, in certain regions of the prior parameters, to univariate models having better predictive performance than random walks. The parametrization of the priors has been slightly altered for the purpose of rendering the parameters of the priors potencially identifiable. And in estimating the parameters of the priors, we have used a numerical optimization routine.

Ficha do documento

Tipo

Artigo científico

Ano

1990

Instituição

Instituto de Pesquisa Econômica Aplicada (Ipea)

Fonte

Repositório do Ipea

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.ipea.gov.br:11058/5844

Licença

Licença Comum

Abrangência

Brasil

Temas

Economia

Palavras-chave

Taxa de CrescimentoInflação