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  • Portuguese  (9)
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  • 1
    Publication Date: 2019-01-24
    Description: This paper attempts to extend empirical investigations about the asymmetric effects of monetary shocks in the Brazilian economy. We specify and estimate a nonlinear smooth transition vector autoregressive model including output, price level, exchange rate and a monetary policy indicator (Selic rate). Impulse response functions showed that positive and negative monetary shocks have asymmetric effects on output growth and inflation. Regarding to the business cycle, contractionary monetary shocks showed stronger effects in low-growth states while expansionary shocks were stronger in highergrowth periods. In addition, we found that inflation and output growth are rigid to countercyclical monetary shocks.
    Keywords: E32 ; E52 ; C32 ; C52 ; ddc:330 ; Geldpolitik ; Wirkungsanalyse ; Brasilien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Portuguese
    Type: doc-type:workingPaper
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  • 2
    Publication Date: 2019-01-24
    Description: The objective of this paper is to present the contributions of different sectors to deviations of the inflation target center from 2000 to 2013, and discuss implications for monetary policy. The contributions are measured by the Inflation Targeting deviation Contribution Index (ITCI), which is an enhanced version of the index presented in Martinez and Cerqueira (2013). ITCI is applied to a disaggregation by type of product of the National Consumer Price Index (IPCA), in three levels. The observed trends, particularly the recent rise in services inflation, are discussed in the light of the new-Keynesian literature on optimal monetary policy under sectorial heterogeneity in price rigidity.
    Keywords: E31 ; E52 ; E64 ; ddc:330 ; relative prices ; optimal monetary policy ; inflation targeting ; inflation decomposition ; IPCA ; ITCI
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Portuguese
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  • 3
    Publication Date: 2019-01-24
    Description: This paper develops the RAWS algorithm to estimate auxiliary tables of indirect taxes and margins related to the Brazilian input-output tables (IOTs) for 2000 and 2005. We derive RAWS by an information loss minimization problem, which explores the data structure from both the IOTs and supply and use tables (SUT) released by IBGE. We make use of recent advances in the international literature of matrix balancing methods, as the generalization of RAS for tables with negative cells. Finally, we also adjust the official IOTs for 2000 and 2005 to make them compatible to the 2005/2009 revision of the SUTs.
    Keywords: D57 ; C67 ; E01 ; ddc:330 ; input-output ; National Accounts ; RAS ; matrix balancing
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Portuguese
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  • 4
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    Brasília: Instituto de Pesquisa Econômica Aplicada (IPEA)
    Publication Date: 2019-01-24
    Description: This paper aims to discuss the determinants of Brazilian inflation measured by the Extended National Consumer Price Index (IPCA) from 2000 to 2009. We built 22 disaggregated series, the segments classification, crossing the classification in tradeables/non-tradeables/monitored prices with the main groups of the IPCA (food and beverages, housing, household goods, clothing, transportation, health and personal care, personal expenses, education and communication). Segments with more influence on inflation are ordered by the so-called Inflation Targeting Pressure Index (ITPI), designed to measure the impact of each prices group on the IPCA. The paper also presents the results of an econometric model using the transfer function method, with monthly data from 1999 to 2009 to estimate the macroeconomic determinants of inflation in the 22 disaggregated series. The determinants of most influential segments are explored following the results of the econometric model. Finally, it discusses the implications for inflation policies.
    Keywords: E31 ; ddc:330 ; Inflation ; Verbraucherpreisindex ; Brasilien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Portuguese
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  • 5
    Publication Date: 2019-01-24
    Description: This paper presents new econometric specifications for the quarterly behavior of the aggregate consumption of Brazilian households in the 1995-2009 period. It is argued, in particular, that the use of quarterly measures of both private disposable income (in chained 1995 prices) and the credit extended to households (as a % of GDP) as explanatory variables leads to well adjusted models within the sample with good out of sample performance - for the level of precision of our quarterly estimates four quarters out of sample is close to 99%. Moreover, the models presented in this paper point to values of the (approximated) private income elasticity close to 0.4 and credit and interest (semi) elasticities of household consumption close to 2% and -2%, respectively.
    Keywords: E21 ; E27 ; C22 ; C52 ; C82 ; ddc:330 ; Verfügbares Einkommen ; Konsum ; Brasilien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Portuguese
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  • 6
    Publication Date: 2019-01-24
    Description: This paper investigates the effect of monetary and exchange rate shocks on disaggregated prices of the Brazilian Consumer Price Index (IPCA), from 1999 to 2011. We analyze the results of a factor-augmented vector autoregressive model (Favar), which are presented by different levels of aggregation. We estimate the model using Bayesian techniques, and construct impulse-response functions using sign restrictions over the responses of macroeconomic variables. The main results were: i) 65.9% of the surveyed prices at the sub-items level fell after a monetary shock and 50.7% rose after exchange rate's shock; ii) only 2.6% of the sub-items (weight of 1.6% of the index) showed the price puzzle for monetary shocks and 2.3% (weight of 0.5% of the index) for exchange rate shocks; iii) macroeconomic shocks are more persistent than series-specific shocks; iv) the answers are different according to the sector considered.
    Keywords: E31 ; E52 ; E37 ; ddc:330 ; disaggregated prices ; monetary and exchange rate shocks ; Favar model
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Portuguese
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  • 7
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    Brasília: Instituto de Pesquisa Econômica Aplicada (IPEA)
    Publication Date: 2019-01-24
    Description: This text proposes three adaptations related to disaggregations in the Brazilian National Consumer Price Index (IPCA) in order to provide relevant data for studies on inflation in disaggregated cuts, in monthly periodicity from August 1999 to September 2014. In the first, the compatibilization of sub-items series, the most disaggregated level of the IPCA, is made between the three existing weighting structures since the beginning of the inflation targeting regime: from August 1999 to June 2006; from July 2006 to December 2011; and from January 2012 onwards. Resulted from the procedure 313 sub-items series, covering at least 95% of the IPCA weighting in each month of the period. In the second, the current labels on the classifications of the Central Bank of Brazil (BCB) into tradables, non-tradables and regulated, as well as into durables, non-durables, semi-durables, services and regulated, are retroceded until 1999. The series thus obtained are compared with the original from BCB, in which reclassifications are not retroceded. The series corresponding to classifications used by the BCB in disaggregated Phillips curves, food and beverages, industrial products, services and regulated are also calculated. In the third, the sub-items series compatibilized since 1999 are sorted following the IPCA disaggregation by type of product proposed by Martinez (2014), which is also based on the classifications of the BCB.
    Keywords: E30 ; E31 ; E52 ; ddc:330 ; inflation disaggregation ; price indexes ; IPCA
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Portuguese
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  • 8
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    Brasília: Instituto de Pesquisa Econômica Aplicada (IPEA)
    Publication Date: 2019-01-24
    Keywords: E31 ; E32 ; ddc:330 ; Inflation ; Wirtschaftswachstum ; Verbraucherpreisindex ; Brasilien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Portuguese
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  • 9
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    Brasília: Instituto de Pesquisa Econômica Aplicada (IPEA)
    Publication Date: 2019-01-24
    Description: The aim of this paper is to build the so-called RAWS/RAW method to estimate an annual series of Input-Output Tables (IOTs) in 2000 reference of Brazilian national accounts. The RAWS/RAW differs from other procedures applied to Brazil in that it is based on algorithms that optimize the use of relevant information available. We develop the RAW algorithm from the RAWS algorithm presented in AUTORX (2013), by incorporating both its methodological advances and auxiliary tables of the 2000/2005 IOTs estimated there. Using the 2000 and 2005 IOTs obtained from the RAWS algorithm, we both interpolate 2001-2004 IOTs and project 2006-2009 IOTs with the RAW algorithm. To test the RAWS/RAW method, we project a version of the 2005 IOT using information from the 2000 IOT, which, according to various measures of accuracy, outperforms Guilhoto and Sesso-Filho (2005, 2010) in comparison with the 2005 IOT released by IBGE.
    Keywords: D57 ; C67 ; E01 ; ddc:330 ; input-output ; National Accounts ; RAS ; matrix balancing ; State
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Portuguese
    Type: doc-type:workingPaper
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