Browsing FGV EESP - Textos para Discussão / Working Paper Series by Subject "Cointegração"
Now showing items 1-7 of 7
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Addressing important econometric issues on how to construct theoretical based exchange rate misalignment estimates
2015-10-26Exchange rate misalignment assessment is becoming more relevant in recent period particularly after the nancial crisis of 2008. There are di erent methodologies to address real exchange rate misalignment. The real exchange ... -
Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR
2015-03-25Exchange rates are important macroeconomic prices and changes in these rates a ect economic activity, prices, interest rates, and trade ows. Methodologies have been developed in empirical exchange rate misalignment studies ... -
Does mixed frequency vector error correction model add relevant information to exchange misalignment calculus? Evidence for United States
2015-03-25Real exchange rate is an important macroeconomic price in the economy and a ects economic activity, interest rates, domestic prices, trade and investiments ows among other variables. Methodologies have been developed in ... -
Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break
2012-09-17This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are ... -
Modelando a mudança estrutural do consumo e da renda agregados no Brasil: fatos estilizados a partir de um modelo de cointegração com parâmetros variando no tempo
2011-06-21O trabalho tem como objetivo analisar a relação entre consumo e renda agregados das famílias no Brasil para os últimos 60 anos. Para realizar esta análise, foi utilizado a metodologia econométrica construída por Bierens e ... -
Modeling how macroeconomic shocks a ect regional employment: analyzing the Brazilian formal labor market using the global VAR approach
2018-02Assessing linkages across different regions and how macroeconomic shocks spread out across regions is not an easy task. In this study we address this problem using a global vector autoregressive methodology that deals with ... -
The perils of counterfactual analysis with integrated processes
2017Recently, there has been a growing interest in developing econometric tools to conduct counterfactual analysis with aggregate data when a "treated" unit suffers an intervention, such as a policy change, and there is no ...
