Cointegration
Mostrando 1-12 de 139 artigos, teses e dissertações.
-
1. Mexico and Uruguay inbound tourism demand
Resumo O principal objetivo deste documento é estimar a demanda do México e do Uruguai, dois países muito diferentes, mas o turismo para ambos é uma atividade relevante, e também os turistas vêm principalmente de um grande vizinho. Procuramos analisar se os determinantes da demanda turística diferem em função do tamanho do país, ou se ser um país
Rev. Bras. Pesq. Tur.. Publicado em: 25/11/2019
-
2. Impact of economic factors on formal milk collection by the dairy industry in the main producing states in Brazil: a cointegration analysis
ABSTRACT The objective of this study was to measure the short- and long-term elasticities of the Gross Domestic Product (GDP), productivity, prices paid to producers, milk powder imports, minimum wages, and exchange ratios in milk collection between 1999 and 2016. For the measurement, the cointegration technique for data in a balanced panel was used, contemp
R. Bras. Zootec.. Publicado em: 11/11/2019
-
3. A Time-Varying Fiscal Reaction Function for Brazil
Resumo Este artigo avalia a sustentabilidade da dívida pública brasileira usando dados mensais de janeiro de 2003 a junho de 2016 com base na estimação de funções de reação fiscal cujos coeficientes variam ao longo do tempo. Consideramos três métodos de estimação: filtro de Kalman, suavização por spline penalizado e cointegração variante no t
Estud. Econ.. Publicado em: 2019-03
-
4. ANALYSIS OF THE PHENOLOGY DYNAMICS OF BRAZILIAN CAATINGA SPECIES WITH NDVI TIME SERIES
ABSTRACT In Brazil there are six well-defined biomes and the Caatinga represents 9.92% of the total area. This biome is exclusively Brazilian and very rich in biodiversity. Because it has low resistance to human interference is necessary to know the important factors in monitoring the biome. Vegetation coverage and climate are two of these factors, as they i
CERNE. Publicado em: 2018-03
-
5. Corwin-Schultz Bid-ask Spread Estimator in the Brazilian Stock Market
This paper tests the validity of the Corwin-Schultz bid-ask spread estimator in the Brazilian stock market. The Corwin-Schultz estimator arises as an easy way to compute asymmetric information throughout daily high and low stock prices for estimating overnight and non-negative adjusted spreads. The sample consisted of Ibovespa firms from 1986 to 2014 and was
BAR, Braz. Adm. Rev.. Publicado em: 2016-03
-
6. Gastos do governo e consumo privado: uma abordagem de correção de erros em painel / Government Spending and Private Consumption: A Panel Error Correction Approach
Contribuições recentes em teoria econômica têm sugerido que os efeitos do gasto do governo sobre o consumo privado dependem da interação entre agentes otimizadores e não-otimizadores, dada a restrição de liquidez dos últimos. Este trabalho analisa empiricamente tal hipótese estimando modelos de correção de erros em painel uniequacionais (P-ECM)
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 06/12/2012
-
7. Evaluating the existence of structural change in the brazilian term structure of interest : evidence based on cointegration models with structural break
This 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 estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the deterministi
Publicado em: 17/09/2012
-
8. Evaluating the existence of structural change in the Brazilian term structure of interest: evidence based on cointegration models with structural break
This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegra- tion techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the determin-
Publicado em: 05/07/2012
-
9. THE DEMAND FOR RESIDENTIAL ELECTRICITY IN BRAZIL: 2011-2020 / A DEMANDA POR ENERGIA ELÉTRICA RESIDENCIAL NO BRASIL: 2011-2020
This work aims to quantify the relations between the electricity demand and some of its determinants in the Residential sector of Brazil. To begin with a short discussion is carried out on the Residential energy consumption in the country throughout the last four decades so as to get to know the residential consumption within a wider context. After, we adopt
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 10/05/2012
-
10. A Common-Feature Approach for Testing Present-Value Restrictions with Financial Data
It is well known that cointegration between the level of two variables (labeled Yt and yt in this paper) is a necessary condition to assess the empirical validity of a present-value model (PV and PVM, respectively, hereafter) linking them. The work on cointegration has been so prevalent that it is often overlooked that another necessary condition for the PVM
Escola de Pós-Graduação em Economia da FGV. Publicado em: 24/02/2012
-
11. ANÁLISE DA CAUSALIDADE E COINTEGRAÇÃO ENTRE VARIÁVEIS MACROECONÔMICAS E O IBOVESPA / ANALYSIS OF CAUSALITY AND COINTEGRATION BETWEEN MACROECONOMIC VARIABLES AND IBOVESPA
The aim of this work was to assess the causality relation among the set of macroeconomic variables, represented by interest and exchange rates, inflation and Industrial Production Index as proxy of the Gross Internal Product regarding São Paulo Stock Exchange Index (IBOVESPA). The period of analysis was between January 1995 and December 2010 with 192 observ
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 10/02/2012
-
12. Evolução do setor elétrico brasileiro no contexto econômico nacional: uma análise histórica e econométrica de longo prazo / Evolution of the electricity sector in the national economic context: an historical and econometric analysis of long-term
A energia elétrica tem papel fundamental em todos os lugares do mundo e, no Brasil, a importância não poderia ser menor. Com sua implantação no país no final do século XIX, o setor passou por diversos períodos de crescimento com características distintas. A economia nacional, de forma similar ao setor elétrico, ao longo do mesmo período passou por
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 19/12/2011