NONLINEAR DYNAMICS IN BRAZILIAN GROSS DOMESTIC PRODUCT BETWEEN 1947 AND 2012

Detalhes bibliográficos
Autor(a) principal: Lopes, Luckas Sabioni
Data de Publicação: 2016
Outros Autores: Toyoshima, Silvia Harumi
Tipo de documento: Artigo
Idioma: por
Título da fonte: Análise Econômica (Online)
Texto Completo: https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/54160
Resumo: In this paper, we look for nonlinear dynamics in Brazilian gross domestic product (GDP) cycles between 1947 and 2012, by using BDS statistics to analyze autoregressive and Markovian models. Our results showed that AR(p) regressions could not completely describe the properties of the cyclic series, as they did not yield independent and identically distributed (iid) residuals. However, after estimating heteroscedastic Markovian models to the data, the null of iid was not rejected. As indicated by two-state Markov chains, Brazilian economy switched between phases of high and low volatility, with the latter more likely to occur after 1995. Furthermore, we estimated a three-state Markov chain, which pointed out the following regimes (annual growth rates inside brackets): recessions (-5.8%), with short duration and high volatility; accelerated growth (7.9%), frequent from 1947 to 1980, with long duration and high volatility; and, balanced growth (4.3%), with moderate growth rate and lower variance, prevalent since 1995. Thus, we conclude that the Brazilian GDP cycles are strongly nonlinear, presenting phase asymmetries in duration and amplitude, besides heteroscedasticity.
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spelling NONLINEAR DYNAMICS IN BRAZILIAN GROSS DOMESTIC PRODUCT BETWEEN 1947 AND 2012NÃO LINEARIDADES NA DINÂMICA DO PRODUTO INTERNO BRUTO BRASILEIRO ENTRE 1947 E 2012Não linearidadeProduto Interno BrutoRegimes markovianosTeste BDSE32C24NonlinearitiesBrazilian gross domestic productMarkov switchingBDS testE32C24In this paper, we look for nonlinear dynamics in Brazilian gross domestic product (GDP) cycles between 1947 and 2012, by using BDS statistics to analyze autoregressive and Markovian models. Our results showed that AR(p) regressions could not completely describe the properties of the cyclic series, as they did not yield independent and identically distributed (iid) residuals. However, after estimating heteroscedastic Markovian models to the data, the null of iid was not rejected. As indicated by two-state Markov chains, Brazilian economy switched between phases of high and low volatility, with the latter more likely to occur after 1995. Furthermore, we estimated a three-state Markov chain, which pointed out the following regimes (annual growth rates inside brackets): recessions (-5.8%), with short duration and high volatility; accelerated growth (7.9%), frequent from 1947 to 1980, with long duration and high volatility; and, balanced growth (4.3%), with moderate growth rate and lower variance, prevalent since 1995. Thus, we conclude that the Brazilian GDP cycles are strongly nonlinear, presenting phase asymmetries in duration and amplitude, besides heteroscedasticity.O presente artigo verifica a ocorrência de não linearidades nos ciclos do Produto Interno Bruto (PIB) brasileiro no período de 1947 a 2012, através da estimação de modelos lineares e de regimes markovianos, avaliando-os com a estatística BDS, que testa a independência de uma série temporal. Constata-se que as especificações autorregressivas não capturam todo o padrão de dependência temporal das séries de tempo. Contudo, após ajustar os modelos markovianos com dois e três estados, é possível obter resíduos ruído branco, com a maioria das estatísticas BDS não significativas. Na cadeia de Markov com dois regimes, caracteriza-se a economia como tendo fases de alta e baixa volatilidade, o que destaca a queda da instabilidade no país ocorrida em meados da década de 1990. Além disso, ao se considerar três regimes, distinguem-se os seguintes períodos (taxas de crescimento entre parênteses): recessões (-5,8% a.a.), de curta duração e alta volatilidade; crescimento acelerado (7,9% a.a.), de longa duração e alta volatilidade, predominante entre os anos de 1947 a 1980, não sendo observado após 1997; e crescimento equilibrado (4,3% a.a.), com duração média de sete trimestres, taxa moderada de crescimento e baixa variância, ocorrendo com maior frequência após 1995. Conclui-se, portanto, que há a presença de fortes não linearidades nos ciclos econômicos brasileiros, compatíveis com regimes assimétricos em duração e amplitude, além de heterocedásticos.UFRGS2016-09-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/5416010.22456/2176-5456.54160Análise Econômica; Vol. 34 No. 66 (2016): setembro de 2016Análise Econômica; v. 34 n. 66 (2016): setembro de 20162176-54560102-9924reponame:Análise Econômica (Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/54160/38536Copyright (c) 2019 Análise Econômicainfo:eu-repo/semantics/openAccessLopes, Luckas SabioniToyoshima, Silvia Harumi2016-09-02T01:38:38Zoai:seer.ufrgs.br:article/54160Revistahttps://seer.ufrgs.br/index.php/AnaliseEconomicaPUBhttps://seer.ufrgs.br/index.php/AnaliseEconomica/oai||rae@ufrgs.br2176-54560102-9924opendoar:2016-09-02T01:38:38Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.none.fl_str_mv NONLINEAR DYNAMICS IN BRAZILIAN GROSS DOMESTIC PRODUCT BETWEEN 1947 AND 2012
NÃO LINEARIDADES NA DINÂMICA DO PRODUTO INTERNO BRUTO BRASILEIRO ENTRE 1947 E 2012
title NONLINEAR DYNAMICS IN BRAZILIAN GROSS DOMESTIC PRODUCT BETWEEN 1947 AND 2012
spellingShingle NONLINEAR DYNAMICS IN BRAZILIAN GROSS DOMESTIC PRODUCT BETWEEN 1947 AND 2012
Lopes, Luckas Sabioni
Não linearidade
Produto Interno Bruto
Regimes markovianos
Teste BDS
E32
C24
Nonlinearities
Brazilian gross domestic product
Markov switching
BDS test
E32
C24
title_short NONLINEAR DYNAMICS IN BRAZILIAN GROSS DOMESTIC PRODUCT BETWEEN 1947 AND 2012
title_full NONLINEAR DYNAMICS IN BRAZILIAN GROSS DOMESTIC PRODUCT BETWEEN 1947 AND 2012
title_fullStr NONLINEAR DYNAMICS IN BRAZILIAN GROSS DOMESTIC PRODUCT BETWEEN 1947 AND 2012
title_full_unstemmed NONLINEAR DYNAMICS IN BRAZILIAN GROSS DOMESTIC PRODUCT BETWEEN 1947 AND 2012
title_sort NONLINEAR DYNAMICS IN BRAZILIAN GROSS DOMESTIC PRODUCT BETWEEN 1947 AND 2012
author Lopes, Luckas Sabioni
author_facet Lopes, Luckas Sabioni
Toyoshima, Silvia Harumi
author_role author
author2 Toyoshima, Silvia Harumi
author2_role author
dc.contributor.author.fl_str_mv Lopes, Luckas Sabioni
Toyoshima, Silvia Harumi
dc.subject.por.fl_str_mv Não linearidade
Produto Interno Bruto
Regimes markovianos
Teste BDS
E32
C24
Nonlinearities
Brazilian gross domestic product
Markov switching
BDS test
E32
C24
topic Não linearidade
Produto Interno Bruto
Regimes markovianos
Teste BDS
E32
C24
Nonlinearities
Brazilian gross domestic product
Markov switching
BDS test
E32
C24
description In this paper, we look for nonlinear dynamics in Brazilian gross domestic product (GDP) cycles between 1947 and 2012, by using BDS statistics to analyze autoregressive and Markovian models. Our results showed that AR(p) regressions could not completely describe the properties of the cyclic series, as they did not yield independent and identically distributed (iid) residuals. However, after estimating heteroscedastic Markovian models to the data, the null of iid was not rejected. As indicated by two-state Markov chains, Brazilian economy switched between phases of high and low volatility, with the latter more likely to occur after 1995. Furthermore, we estimated a three-state Markov chain, which pointed out the following regimes (annual growth rates inside brackets): recessions (-5.8%), with short duration and high volatility; accelerated growth (7.9%), frequent from 1947 to 1980, with long duration and high volatility; and, balanced growth (4.3%), with moderate growth rate and lower variance, prevalent since 1995. Thus, we conclude that the Brazilian GDP cycles are strongly nonlinear, presenting phase asymmetries in duration and amplitude, besides heteroscedasticity.
publishDate 2016
dc.date.none.fl_str_mv 2016-09-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/54160
10.22456/2176-5456.54160
url https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/54160
identifier_str_mv 10.22456/2176-5456.54160
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/54160/38536
dc.rights.driver.fl_str_mv Copyright (c) 2019 Análise Econômica
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2019 Análise Econômica
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv UFRGS
publisher.none.fl_str_mv UFRGS
dc.source.none.fl_str_mv Análise Econômica; Vol. 34 No. 66 (2016): setembro de 2016
Análise Econômica; v. 34 n. 66 (2016): setembro de 2016
2176-5456
0102-9924
reponame:Análise Econômica (Online)
instname:Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS
instname_str Universidade Federal do Rio Grande do Sul (UFRGS)
instacron_str UFRGS
institution UFRGS
reponame_str Análise Econômica (Online)
collection Análise Econômica (Online)
repository.name.fl_str_mv Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)
repository.mail.fl_str_mv ||rae@ufrgs.br
_version_ 1799766267568062464

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