TEDE Coleção:http://www.bdtd.uerj.br/handle/1/35832024-03-28T22:26:37Z2024-03-28T22:26:37ZPrevisão da série temporal da inflação usando modelos orientados por score dinâmico e métodos de aprimoramento de acurácia preditiva: o caso do Brasil.Castro, Carlos Henrique Dias Cordeiro dehttp://www.bdtd.uerj.br/handle/1/209042024-02-26T16:14:11Z2023-02-13T00:00:00ZTítulo: Previsão da série temporal da inflação usando modelos orientados por score dinâmico e métodos de aprimoramento de acurácia preditiva: o caso do Brasil.
Autor: Castro, Carlos Henrique Dias Cordeiro de
Primeiro orientador: Aiube, Fernando Antonio Lucena
Abstract: This thesis analyzes monthly forecasts of Brazilian inflation measured by the IPCA. These forecasts are obtained using models based on the GAS (Generalized Autoregressive Score) approach, which was developed by Creal et al. (2008) and Harvey and Chakravarty (2008). We compare these GAS-based forecasts with those published in the Boletim Focus, along with other competing models commonly used in the literature. GAS models fall into the category of observation-driven models, where the parameters vary over time based on a mechanism involving past parameter values and past observations via the score function. Score-based models are an attractive method for forecasting and have been successfully applied in various empirical studies related to economic and financial variables. The initial comparative results regarding point predictions, stability, and predictive density indicate that GAS models, particularly those using Student's t-distribution, outperform competing models. However, it's worth noting that GAS models tend to have slightly higher mean prediction errors than the Focus Bulletin projections, a finding supported by statistical significance tests. To address this, we employ several empirical strategies to enhance forecast accuracy. Three strategies were adopted: (i) incorporating high frequency information to forecasts estimated by individual models via the MIDAS (Mixed Data Sampling) regression model by Ghysels et al. (2004); (ii) the incorporation of inflationary expectations via the Black and Litterman model (Black and Litterman, 1990); (iii) Finally, based on a confidence set, a wide range of combination methods were applied to the forecast components. The results showed that all these three steps were important to gain forecasting performance. Some results found by de Castro and Aiube (2022) ratify the results of the present work. First, the GAS models can be competitive in relation to the Boletim Focus projections and other traditional models in the literature for forecasting Brazilian inflation. Second, the GAS models with Student's t-distribution and heteroskedastic produced forecast estimates with better performance in terms of point forecast, stability and predictive density. Third, the combination of models was able to gene.
Instituição: Universidade do Estado do Rio de Janeiro
Tipo do documento: Tese2023-02-13T00:00:00ZDeterminantes do investimento privado no Brasil no período recente: uma abordagem pós-keynesianaMeyer, Tiago Rinaldihttp://www.bdtd.uerj.br/handle/1/209022024-02-26T16:14:10Z2019-09-11T00:00:00ZTítulo: Determinantes do investimento privado no Brasil no período recente: uma abordagem pós-keynesiana
Autor: Meyer, Tiago Rinaldi
Primeiro orientador: Paula, Luiz Fernando Rodrigues de
Abstract: This thesis presents an empirical assessment for the determinants of private investment in Brazil from 2007 to 2017. Using a post-Keynesian theoretical framework inspired by the specification of the Kaleckian investment function, the thesis aims to test whether private investment of the non-financial companies was affected by the financialization and Minskyan financial fragility processes. Using data from publicly traded non-financial corporations in the period analyzed, segmented into distinct sectoral groups, the investment function, specified on the basis of the theory presented, was tested by two estimation methods - the Generalized Method of Moments (GMM), in which a joint analysis is performed, and by the temporal analysis method through the Autoregressive Distributed Lag Model (ARDL), in which individual analyzes of each group are performed. The results estimated by both methods suggest that the financialization process in the firm-level, that is, which prevailing corporate management standard of companies that favors maximum short-term shareholder returns, has a negative influence on long-term fixed investment. Regarding the firm’s financial fragility the estimated coefficients point to distinct relationships with fixed investment. These results suggest that depending on the firm's level of financial fragility, increased financial commitments may relate positively or negatively to investment. That is, if there is a predominance of firms classified as Ponzi (or close to Ponzi) in a weaker financial situation, the increase in the flow of financial commitments compared to the flow of funds generated through operating activities negatively impacts investments. Similarly, in groups with a predominance of hedge or speculative firms, an increase in financial commitments to cash flow positively impacts investment.
Instituição: Universidade do Estado do Rio de Janeiro
Tipo do documento: Tese2019-09-11T00:00:00ZEssays in macroeconomics: public debt reform, progressive taxation and distributional effects of fiscal policy.Carneiro, Fernando Moraeshttp://www.bdtd.uerj.br/handle/1/198932024-02-26T16:14:11Z2023-02-24T00:00:00ZTítulo: Essays in macroeconomics: public debt reform, progressive taxation and distributional effects of fiscal policy.
Autor: Carneiro, Fernando Moraes
Primeiro orientador: Tourinho, Octavio Augusto Fontes
Abstract: Esta tese compreende três artigos dedicados à análise de políticas fiscais macroeconômicas sob o ponto de vista do crescimento econômico e a distribuição de renda. O primeiro capítulo aborda o desequilíbrio fiscal crônico da economia brasileira, que se agravou diante dos efeitos recessivos da crise do subprime em 2008, a recessão entre 2014 e 2016 e, mais recentemente, da pandemia da COVID-19. O estudo emprega um modelo de equilíbrio geral dinâmico que distingue os agentes econômicos quanto ao horizonte temporal de decisão e ao acesso ao mercado financeiro, e explora os efeitos dinâmicos de diferentes estratégias de mix fiscal e de consolidação da dívida pública. Os dois tipos de agentes – Ricardianos e não-Ricardianos – correspondem a diferentes classes de renda e a análise quantitativa apresenta os efeitos das reformas sobre as variáveis macroeconômicas e o bem-estar, levando à conclusão de que os conflitos distributivos contribuem para a falta de acordo quanto à implementação de ajustes fiscais, e que isto é uma consequência do comportamento racional dos agentes heterogêneos. O estudo tem como alvo a economia brasileira, mas pode ser estendido a outros países em desenvolvimento que enfrentem desafios fiscais similares. O segundo e o terceiro capítulos, por sua vez, desenvolvem versões de um modelo de crescimento endógeno com uma estrutura tributária progressiva para investigar o tradeoff entre crescimento econômico e desigualdade. Eles são estabelecidos como modelos dinâmicos de equilíbrio geral, e assumem que a heterogeneidade dos agentes surge de diferenças na elasticidade intertemporal de substituição, ao invés de na taxa de desconto, como é mais comumente encontrado na literatura. Os capítulos mostram que a economia converge no longo-prazo para uma distribuição não-degenerada de renda e riqueza em que os agentes mais dispostos a substituir o consumo ao longo do tempo detêm a maior fração do estoque de capital. No segundo capítulo, o modelo é calibrado para refletir um país típico da OCDE e considera uma desagregação das famílias com base em quintis de renda, enquanto as simulações numéricas retratam dois cenários complementares que avaliam os efeitos de reformas que eliminam a progressividade do imposto de renda do trabalho, mas mantém a progressividade do imposto de renda do capital. Os resultados mostram que tornar o imposto sobre a renda do capital mais progressivo reduz a desigualdade mais rápida e profundamente do que apenas eliminar a progressividade sobre a renda do trabalho sem alterar o imposto sobre a renda do capital, embora este efeito ocorra em detrimento do crescimento econômico. O terceiro capítulo desenvolve uma versão do modelo em que tributação não distingue as fontes de renda e o imposto progressivo incide sobre a renda total, e é aplicado para avaliar os efeitos de uma reforma que imita o Tax Cuts and Jobs Act de 2017. Os resultados revelam que esse corte de impostos financiado pela redução do consumo do governo impulsiona a atividade econômica no curto prazo e sustenta esse crescimento durante a transição, embora leve a um sutil aumento da desigualdade no longo-prazo.
Instituição: Universidade do Estado do Rio de Janeiro
Tipo do documento: Tese2023-02-24T00:00:00ZO Impacto do Subsídio de Crédito no Ciclo Econômico e na Eficiência das Políticas Macroeconômicas no Brasil.Abreu, Thiago Felipe Ramos dehttp://www.bdtd.uerj.br/handle/1/195322024-02-26T16:14:12Z2023-02-15T00:00:00ZTítulo: O Impacto do Subsídio de Crédito no Ciclo Econômico e na Eficiência das Políticas Macroeconômicas no Brasil.
Autor: Abreu, Thiago Felipe Ramos de
Primeiro orientador: Lima, Elcyon Caiado Rocha
Abstract: In this thesis, two studies are elaborated. The first examines how subsidized credit affects macroeconomic policies under different fiscal rules in the context of non-explosive Public Debt. For this purpose, a monetary DSGE model with nominal rigidity is calibrated (Christiano et al. (2005) and Smets and Wouters (2007)); with financial frictions (Gertler and Karadi (2011)), in which financial intermediaries choose how to distribute their investments in public debt securities and capital financing, resulting in a crowding-out mechanism that reduces private access to credit when banks accumulate sovereign debt in their liabilities (Kirchner and Van Wijnbergen (2016)); with an endogenously determined subsidized capital financing rate. The second study, through the estimation of a DSGE model, similar to the calibrated one, but modified to allow for positive inflation in the steady state (Ascari and Sbordone (2014)) and to make stochastic the inflation target, the risk premium, the preferences of intertemporal consumption of families and the subsidized interest rate; analyzes the importance of exogenous sources in determining Brazil's business cycle, the effectiveness of macroeconomic policies and fiscal multipliers are calculated. The main conclusions of the first study were: when financed by consumption taxes, monetary policy, in the presence of subsidies, becomes more restrictive, being less restrictive when financed by lump-sum taxes; there is a reduction in the power of monetary policy over inflation, in the presence of subsidies, in most of the fiscal rules analyzed; fiscal policy is more expansionary in the presence of subsidies when lump-sum taxes are used, but without divergences when the fiscal rule combines various sources of revenue; the effectiveness of subsidized credit in mitigating restrictive monetary policy, or in lifting expansionary fiscal policy, depends more on how the additional fiscal cost is financed. The main conclusions, from the second study, were: a positive exogenous shock in the subsidized interest rate has little impact on the business cycle, when compared to the other shocks, it reduces the GDP, the gross tax burden, the deficit and the Debt/GDP ratio; a negative capital quality shock presents a significantly greater recession in the presence of subsidized credit; the exogenous shocks of monetary and fiscal policy did not present, in the presence of subsidized credit, statistically significant divergences when the fiscal rule combines several sources of revenues; the median of the government spending impact multiplier, in the presence of subsidized credits, is equal to 0.17, with a confidence interval between 0.16 and 0.20.
Instituição: Universidade do Estado do Rio de Janeiro
Tipo do documento: Tese2023-02-15T00:00:00Z