Previsão de recessões brasileiras com indicadores antecedentes: uma abordagem heurística

• Autor(a) principal: Maia Filho, Antonio Carlos Fernandes
• Data de Publicação: 2013
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: LOCUS Repositório Institucional da UFV
• Texto Completo: http://locus.ufv.br/handle/123456789/3281
• topic: Recessão econômica; Previsão econômica; Brasil; Economic recession; Economic forecast; Brazil; CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA::CRESCIMENTO, FLUTUACOES E PLANEJAMENTO ECONOMICO::FLUTUACOES CICLICAS E PROJECOES ECONOMICAS

In this work, it was employed an alternative method to determine the moments of recession of the Brazilian economy, using a polynomial filter on the series of industrial production. They were made previews to these moments of recession from a discriminant analysis, with a dependent variable indicated dichotomous representing the recessions and the explanatory variables in form of growth rate, lagged on, at least, six months, called leading indicators. These indicators were chosen from the previously existent literature. The theoretical outline on which this research is based treated recession as being an extreme event, which, in its turn, advocates the use of alternative methods of previewing, since traditional econometric techniques incurs the error of previewing series of time that are not independent and identically spread. The results of the research indicate it´s possible to preview, with certain reliability and with an average antecedence of six months, the recessive moments of Brazilian economy. The power of previewing was tested for out-ofsample data, which comprehend the last two Brazilian recessions, of 2008 and 2011, which were well anticipated by the heuristic model of previewing here constructed.