Ajax R.B. Moreira

Instituto de Pesquisa Econômica Aplicada - IPEA · diretoria de macroeconomia(DIMAC)

We offer a decomposition for the variance of the current unemployment rate that not only measures the contributions of labour market flows but also of the approximation error embedded in other decompositions that use surrogates for the current rate. Using data for the United States and Brazil, the results for the latter show significant differences...

We offer a decomposition for the variance of the current unemployment rate that not only measures the contributions of labor market flows but also of the approximation error embedded in other decompositions that use surrogates for the current rate. Using data for the United States and Brazil, the results for the latter show significant differences...

We devise a decomposition for the level of the unemployment rate that allows the assessment of the contributions of the various flow rates in the labor market over different time horizons. In particular, the decomposition allows one to recover the contributions of the flow rates in the long-run projection of the unemployment rate as in the steady-s...

O SPR recebe contribuições das gerações ativas para financiar o benefício dos inativos, fazendo com que o seu equilíbrio financeiro dependa da proporção de inativos na população, proporção que irá dobrar no Brasil nos próximos 30 anos, tornando inevitável a modificação das regras para mitigar o desequilíbrio financeiro. Num sistema por repartição,...

The objective of this is study is to assert the role of domestic financial system as mitigating of sudden stops episodes and driver of capital flows in a group of 14 emerging economies in the period of 1999-2013, especially in face of unfavorable external environment such as high international interest rate or global risk aversion. The countries an...

The paper proposes a panel model to the determinants of capital flow volatility to a group of 18 emerging market economies (EME) in the period of 2000 to 2011. It studies the robustness of the model regarding different volatility measures; analyses several types of gross capital inflow; focusing the role of government institutional quality and the...

This paper investigates the determinants of the difference between reserve prices and winning bids in the transmission electricity auctions in Brazil from 1999 to 2010, by using an econometric approach based on Heckman (1979) that considers the heterogeneity among winner's and loser's bids, and the endogeneity of that selection. Given the full samp...

In April 2007 aiming at increasing participation of self-employed workers in the public pension system the Brazilian government launched the Plano Simplificado de Previdência Social (PSPS) – Simplified Pension Plan. The plan allows a reduction of the contributory percentage from 20% to 11% for any self-employed worker who decided to contribute exac...

Country risk or sovereign spreads affect directly the investment of companies and sovereigns, being an important figure to domestic interest rates and to economic growth. This paper analyzes the impact of fiscal policy on the determinants of the sovereign risk of 23 emerging market countries between 1995-2008. The results associate lower spreads to...

This paper analyzes the role of fiscal policy sustainability on the de- terminants of domestic interest rate of 18 emerging market countries, in the period 1996-2008. This issue deserves attention since countries in the sample present a great level of heterogeneity relating to inflation tar- get and exchange rate regime, political system, foreign r...

Country risk or sovereign spreads affect directly the investment of companies and sovereigns, being an important figure to domestic interest rates and to economic growth. This paper analyzes the impact of fiscal policy on the determinants of the sovereign risk of 23 emerging market countries between 1995-2008. The results associate lower spreads to...

Using affine term structure models with latent and observable factors, we study the interaction between macro variables and the Brazilian yield curve contained in a daily dataset. Two versions of the model are tested, one in continuous time and estimated using maximum likelihood with Chen-Scott inversion (1993), and the other in discrete time and e...

The 1995-96 agricultural census is used to explore factors that account for differences in poverty among agricultural establishments in Brazil. Differences across regions and the following dichotomies are analyzed: owners/non-owners, family/non-family, input intensive/non-intensive, with machines/without machines. The paper uses a semi-parametric m...

We define invariant operators for term structure models with observable factors, and show that they preserve the likelihood. Thus, the models need to be identified, and alternative restrictions are proposed. The choice of identification keeps the responses of the yield curve and of the observable factors to state variable shocks unchanged. However,...

This paper empirically evaluates policies that can potentially reduce the economic vulnerability of emerging market economies. Through panel data estimation on a group of 23 countries, we relate sovereign spreads to global risk shocks, and explore the argument suggested by Calvo (2003) which focuses on macroeconomic fundamentals as multipliers of e...

The Brazilian government is now planning to implement natural forest concessions for timber extraction. In addition to the legal requirements imposed on the management of concessions (minimum reserves, maximum extraction rates, etc.), the value of concessions is closely linked with uncertainties in estimates of the volume of commercial logs within...

One of the main questions in electricity market deregulation is the aptitude of private capital for investments in power generation. This is especially important in Brazil, whose load has a strong growth trend (≈5% per year). Thermopower is an attractive alternative for exp anding generation, as it is complementary in many aspects to hydropower, wh...

In this work we compare the interest rate forecasting performance using a broad class of linear models. The models are estimated through a MCMC procedure with data from the US and Brazilian markets. We show that a simple parametric specification has the best predic-tive power, but it does not outperform the random walk. We also find that macroecono...

This study analyses how political and institutional factors affected the performance of municipalities in improving social welfare in Brazil in the period from1990 to 2000. Themodel adopts a stochastic production frontier, conditioned by variables related to the provision costs of services and those that can affect municipal efficiency. The results...

In this paper, we analyze the productivity of farms across n = 370 municipalities located in the Center-West region of Brazil. We propose a stochastic frontier model with a latent spatial structure to account for possible unknown geographical variation of the outputs. This spatial component is included in the one-sided disturbance term. We explore...

O presente trabalho analisa os efeitos da Medida Provis�ria (MP) no 281, publicada em 16 de fevereiro de 2006 e convertida na Lei no 11.312, de 27 de junho de 2006, que reduziu a zero a al�quota de Imposto de Renda (IR) sobre os rendimentos dos t�tulos p�blicos federais adquiridos por n�o residentes, sobre a estrutura a termo da taxa de juros de t�...

O objetivo deste estudo consiste em respaldar políticas com potencial de reduzir a vulnerabilidade econômica de um grupo de 23 países emergentes no período de 1998 a 2007, amostra que corresponde a mais de 96% da capitalização de mercado do índice Emerging Markets Bond Index Global (EMBIG), do banco de investimentos JPMorgan, em dezembro de 2007. A...

This paper uses the agricultural census micro data of 1995-1996 to calculate, for each of the five Brazilian macro regions, the difference in total factor productivity (TFP), with two cleavages: family farmers and input-intensive farmers. This difference in TFP is explained regarding to variables of size, supply of public goods and access to instit...

We propose different exactly identified specifications of affine models with observed macri factors. The models are compared estimating Brazilian domestic and sovereign yield curves.

This study analyses how technological, political and institutional factors affect the performance of municipalities in improving welfare in Brazil in the period 1989- 2000. The model adopts a stochastic production frontier conditioned to variables related to the provision costs and those that may explain efficiency. The most stable result indicated...

This paper is concerned with the study of Bayesian inference procedures to commonly used time series models. In particular, the dynamic or state-space models, the time-varying vector autoregressive model and the structural vector autoregressive model are considered in detail. Inference procedures are based on a hybrid integration scheme where state...

We use no arbitrage models with macro variables to study the interaction between the macroeconomy and the yield curve. This interaction is a key element for monetary policy and for forecasting. The model was used to analyze the Brazilian domestic financial market using a daily dataset and 2 versions of the model, one in continuous-time and estimate...

The Brazilian government currently implements a concession policy to exploit timber harvesting on national forestry reserves in the Amazon region. This paper applies Real Options to appraise the market value of these forest concessions and quantifies the economic benefits of forest management and regulatory policies. Timber prices are assumed to fo...

We use no arbitrage models with macro variables to study the interaction between the macroeconomy and the yield curve. This interaction is a key element for monetary policy and for forecasting. The model was used to analyze the Brazilian domestic financial market using a daily dataset and two versions of the model, one in continuous-time and estima...

The evolution of the yields of different maturities is related and can be described by a reduced number of commom latent factors. Multifactor interest rate models of the finance literature, common factor models of the time series literature and others use this property. Each model has advantages and disadvantages, and it is an empirical matter to e...

The objective of our work is to study the term structure of interest rates and thesovereign credit spreads of emerging markets. We develop a model from termstructure, credit risk and vector autoregressive models, based on the articles by Angand Piazzesi (2003) and Ang, Dong and Piazzesi (2005). Those article?s principalinnovation is to include and...

In this paper we evaluate the effect of the real exchange rate volatility on the hysteresis band relative to investment plans in output and export capacity enlargement in the thirty six industrial sectors in the Brazilian input-output matrix. For this, the approach by Dixit (1989a e b) was extended to consider: a) the effect of the exchange rate vo...

Os modelos an�lise envolt�ria de dados (DEA) e fronteira de produ��o estoc�stica (SF) obt�mestimativas da produtividade utilizando abordagens complementares, o que dificulta acomparabilidade entre eles, particularmente quando se admite uma componente estoc�stica nosdados. Propomos: a) um crit�rio de avalia��o para a estimativa da produtividade obti...

In this paper we evaluate the effect of the real exchange rate volatility on thehysteresis band relative to investment plans in output and export capacityenlargement in the thirty six industrial sectors in the Brazilian input-output matrix.For this, the approach by Dixit (1989a e b) was extended to consider: a) the effect ofthe exchange rate volati...

Regulation in the sanitation sector in Brazil is facing a great deal of debate regarding the government level at which conceding authority should reside and how private operators can fulfill social objectives. The main objective of this study is to show that these issues are not the crucial barriers to the sector's development when one looks at the...

The self-financed expansion of the power generation capacity is, perhaps, the most controversial and critical aspect of the open energy markets. On one hand, the power generation utilities' revenue shall he enough to make the investments in power generation feasible and attractive and, hut, on the other hand, electricity, shall have the least cost...

Monetary authorities need a measure of the future inflation trend to keep inflation on target. Many alternative core inflation measures appear in the recent literature intending to avoid the deficiencies of the usual headline inflation index as a predictor. This price index is defined as some weighted average of the individual price change for a li...

A two-factor credit risk structural model is based on the contingent claims approach for pricing Brazilian sovereign risk implicit in the Brazilian government bond. Default probability is captured by two variables: the observed macroeconomic fundamental that triggers default, and the unobserved agents' expectation, identified as the risk premium ev...

This paper describes the inference procedures required to perform Bayesian inference to some multivariate econometric models. These models have a spatial component built into commonly used multivariate models. In particular, the common component models are addressed and extended to accommodate for spatial dependence. Inference procedures are based...

Collateral impacts of LULUCF projects, especially those concerning social and environmental aspects, have been recognised as important by the Marrakech Accords. The same applies to the necessity of assessing and, if possible, of quantifying the magnitude of these impacts. This article aims to define, clarify and structure the relevant social, econo...

Regulation in the sanitation sector in Brazil is facing a great deal of debate regarding the government level in which conceding authority should reside and how private operators can fulfill social objectives. The main objective of this study is to show that these issues are not the crucial barriers to the development of the sector when one looks a...

This paper develops a two-factor credit risk model based on the contingent claim structural models for pricing the Brazilian sovereign risk implicit in the Brazilian C-Bond. The underlying variable that captures the default probability is a measure of the macroeconomic fundamentals associated with the assumption that agent's expectation changes smo...

Space-varying regression models are generalizations of standard linear models where the regression coefficients are allowed to change in space. The spatial structure is specified by a multivariate extension of pairwise difference priors, thus enabling incorporation of neighboring structures and easy sampling schemes. Bayesian inference is performed...

The Brazilian government is now planning to implement natural forest concessions for timber extraction. In addition to the legal requirements imposed on the management of concessions (minimum reserves, maximum extraction rates, etc.), the value of concessions is closely linked with uncertainties in estimates of the volume of commercial logs within...

The neighborhood effect was used to analyze two problems of farm activity in Brazil. The first estimate a measure of total factor productivity for 550 homogeneous microregion, that is defined as a latent variable with the spatial trend propriety. The second analyze the occupation process in the Legal Amazon countries, with a model that uses the tem...

ISSN 1415-4765

Space-varying regression models are generalizations of standard linear models where the regression coe4cients are allowed to change in space. The spatial structure is speci%ed by a multivariate extension of pairwise di6erence priors, thus enabling incorporation of neighboring structures and easy sampling schemes. Bayesian inference is performed by...

The power system regulation order that the energy dispatch is centralized by a agent - ONS - that should use a stochastic dynamic optimization model that maximize the energy is accumulated in the hydro plants. This model consider only the uncertainty of water affluence. Our first issue is develop another model that do the same for a simplified syst...

The privatization policy for power generation system in Brazil needs that investments on new plants should be profitable. This depends on regulation rules: a) the cost of energy supplied on deficit situation; b) the normative value of energy that is the maximum value of energy for long-run contracts; and c) the uncertainty of price of natural gas (...

Based on three versions of a small macroeconomic model for Brazil, this paper presents empirical evidence on the effects of parameter uncertainty on monetary policy rules and on the robustness of optimal and simple rules over different model specifications. By comparing the optimal policy rule under parameter uncertainty with the rule calculated un...

The Brazilian government is now planning to implement natural forest concessions for timber extraction. In addition to the legal requirements imposed on the management of concessions (minimum reserves, maximum extraction rates, etc.), the value of concessions is closely linked with uncertainties in estimates of the volume of commercial logs within...

In recent years, many central banks have adopted inflation targeting policies starting an intense debate about which measure of inflation to adopt. The literature on core inflation has tried to develop indicators of inflation which would respond only to "significant" changes in inflation. This paper defines a measure of core inflation as the common...

The current exchange rate policy is being argued about its vulnerability, especially at presence of an adverse external situation. In this context, it is important to check how market faces the credibility of such policy. This paper provides a way of measuring this credibility, using market's informations about exchange rate options and mathematica...

This paper employs the VAR methodology to define and estimate a measure of the stability of the main macroeconomic prices (general price level, nominal exchange rate and nominal interest rate) when subjected to random shocks. A VAR model is a system of stochastic difference equations, so its dynamic properties can be described by its eigenvalues. O...

This paper uses VAR models to discuss two main questions: a) are the indexing mechanisms that characterised the Brazilian economy for decades a thing of the past, or could they be easily reactivated in the event of some important price shock? b) given the fiscal stance, what would be the likely consequences of a nominal devaluation on inflation, th...

Bayesian dynamic linear models (DLMs) are useful in time series modelling, because of the flexibility that they off er for obtaining a good forecast. They are based on a decomposition of the relevant factors which explain the behaviour of the series through a series of state parameters. Nevertheless, the DLM as developed by West and Harrison depend...

A large number of nonlinear time series models can be more easily analyzed using traditional linear methods by considering explicitly the difference between parameters of interest, or just parameters, and hyperparameters. One example is the class of conditionally Gaussian dynamic linear models (DLM). Bayesian vector autoregressive (BVAR) models and...

Resumo Este artigo discute uma relação empírica entre o PIB, a inflação e a liquidez da economia brasileira através de modelos VEC estruturais. Os principais pontos são os seguintes. Em primeiro lugar) partimos de um conjunto relativamente amplo de possíveis indicadores de liquidez e procuramos a representação mais parcimoniosa dentro deste conjunt...

This article reports the results of an exercise in which dynamic models are "fitted" for some Brazilian macroeconomics time series, useful for the current economic analysis. Its forecasting performance is compared with classical structural and transfer function models using trading days as regressor. The Bayesian forecasting methodology is briefly...