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Title: Os efeitos da incerteza sobre a atividade econômica no Brasil
Keywords: Incerteza (Economia)
Ciclos econômicos - Brasil
Business cycles - Brazil
Risco (Economia)
Produto interno bruto - Brasil
Gross state product - Brazil
Produtividade industrial - Brasil
Industrial productivity - Brazil
Modelos econométricos
Econometric models
Indicadores econômicos
Economic indicators
Indicadores econômicos - Modelos econométricos - Brasil
Economic indicators - Econometric models - Brazil
Issue Date: Apr-2018
Publisher: Fundação Getúlio Vargas
Abstract: In this paper we investigate the uncertainty effects on Brazilian economic activity. To this purpose, we construct several proxies to capture the uncertainty levels of Brazilian economy (domestic uncertainty) and of its main trading partners (external uncertainty). Next, we estimate structural vector autoregressions (SVARs) models, as proposed by Baker, Bloom & Davis (2016). The impulse response functions suggest significant contractionary effects of the uncertainty on activity, mainly on investment. Our estimates also suggest that domestic uncertainty effects are more pronounced than the external ones. It can be said, therefore, that the uncertainty levels prevailing in Brazil since the presidential elections of 2014 represent an important factor behind the subsequent recession. We estimate that if there had been no expansion of the domestic uncertainty observed from the second half of 2014, industrial production in 2015 would have been, on average, between 0.9% and 3.9% higher, depending on the uncertainty proxy variable used. In the case of IBC-Br, this would have been between 0.4% and 1.3% higher. Our results are robust considering several changes in the model.
Other Identifiers: BARBOZA, Ricardo de Menezes; ZILBERMAN, Eduardo. Os efeitos da incerteza sobre a atividade econômica no Brasil. Revista Brasileira de Economia, Rio de Janeiro, v. 72, n. 2, p. 144–160, abr./jun. 2018.
Appears in Collections:Produção BNDES - Artigos

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