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Measuring Brazilian Economic Uncertainty

Author

Listed:
  • Pedro Costa Ferreira

    (Getulio Vargas Foundation – FGV)

  • Raíra Marotta B. Vieira

    (Getulio Vargas Foundation – FGV)

  • Felipi Bruno Silva

    (Graduate School of Economics – EPGE - FGV/RJ)

  • Ingrid C. L. Oliveira

    (Brazilian Institute of Geography and Statistics – IBGE)

Abstract

We propose a measure of economic uncertainty, the Brazilian Economic Uncertainty Indicator, based on the news as well as business forecasts. The index expands the variety of newspapers handled by Baker et al. (Q J Econ 131(4):1593–1636, 2016) for Brazil. Our indicator captures Brazilian recent events such as the corruption scandals, the fiscal and economic crisis, the 2016 impeachment, the 2008 financial crisis and the 2002 presidential elections as moments of high uncertainty. An econometric study using a Bayesian Vector Autoregressive approach was carried out and revealed that uncertainty shocks cause an economic downturn in subsequent periods, as emphasized in the relevant literature.

Suggested Citation

  • Pedro Costa Ferreira & Raíra Marotta B. Vieira & Felipi Bruno Silva & Ingrid C. L. Oliveira, 2019. "Measuring Brazilian Economic Uncertainty," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 15(1), pages 25-40, April.
    • Handle: RePEc:spr:jbuscr:v:15:y:2019:i:1:d:10.1007_s41549-018-00034-3
    DOI: 10.1007/s41549-018-00034-3
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    References listed on IDEAS

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    Cited by:

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    3. Gabriel Caldas Montes & Igor Mendes Marcelino, 2023. "Uncertainties and disagreements in expectations of professional forecasters: Evidence from an inflation targeting developing country," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 937-956, July.
    4. Caixe, Daniel Ferreira, 2022. "Corporate governance and investment sensitivity to policy uncertainty in Brazil," Emerging Markets Review, Elsevier, vol. 51(PB).
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    6. Schwarz, Lucas Allan Diniz & Dalmácio, Flávia Zóboli, 2021. "The relationship between economic policy uncertainty and corporate leverage: Evidence from Brazil," Finance Research Letters, Elsevier, vol. 40(C).

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    More about this item

    Keywords

    Uncertainty; Economy; Web-scraping;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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