Prevendo a taxa de juros no Brasiluma abordagem combinada entre o modelo de correção de erros e o modelo de fatores

Resumo

The objective of the present work is to examine if the model that combines error correction and factors extracted from large macoeconomic data sets offers a higher forecasting accuracy of the interest rate in Brazil when compared to VAR, VECM and FAVAR. In order to conduct this analysis it was used the econometric methodology introduced by Banerjee and Marcellino (2009), the FAVECM, which allows for the inclusion of error correction terms in the model introduced by Bernanke, Boivin and Eliasz (2005), the FAVAR. The hypothesis is that the FAVECM has several conceptual advantages given it is a nesting (or has a more general) specification. The results show that, for the Brazilian market, the FAVECM presented significant gains in forecasts for longer maturity rates and for longer prevision horizons.

Ficha do documento

Tipo

Dissertação

Ano

2012

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Não informado

Identificador

oai:repositorio.fgv.br:10438/9994

Temas

Economia

Palavras-chave

ForecastingFactor modelsError correction modelsFactor-augmented error correction modelsInterest ratesPrevisãoModelo de fatoresCorreção de errosTaxa de jurosModelo de correção de erros aumentado por fatoresFAVAREconomiaTaxas de juros - Brasil - Modelos econométricosTaxas de juros - Previsão