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Modelando a mudança estrutural do consumo e da renda agregados no Brasil : fatos estilizados a partir de um modelo de cointegração com parâmetros variando no tempo

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  • Leite, Fernando Scarpa Rezende
  • Marçal, Emerson Fernandes

Abstract

O trabalho tem como objetivo analisar a relação entre consumo e renda agregados das famílias no Brasil para os últimos 60 anos. Para realizar esta análise, foi utilizado a metodologia econométrica construída por Bierens e Martins (2010), que consiste na estimação de Vetor Autoregressivo com Mecanismo de Correção de Erros (VECM) similar ao modelo proposto por Johansen (1988), porém permitindo que o vetor de cointegração varie ao longo do tempo. Este modelo estimado mostrou-se melhor comparado a análise tradicional de Johansen (1988). Os resultados obtidos neste trabalho sugerem que a dinâmica do consumo e da renda variou ao longo do período amostral e que o consumo brasileiro parece não ser bem descrito por um passeio aleatório.

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Bibliographic Info

Paper provided by Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) in its series Textos para discussão with number 293.

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Date of creation: 21 Jun 2011
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Handle: RePEc:fgv:eesptd:293

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