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RESUMO PALAVRAS-CHAVE previsão, ciclo de negócios, não-lineares, quebra estrutural, mudança markoviana ABSTRACT This paper compares the forecasting performance of linear and nonlinear models under the presence of structural breaks for the Brazilian real GDP growth. The Markov switching models proposed by Hamilton (1989) and its generalized version by Lam (1990)

Summary: 1. Introduction; 2. The NAIRU and the natural rate of unemployment; 3. The data and the estimated models; 4. The estimation procedures; 5. The model's estimation results; 6. The estimated NAIRU and the response of ∆π to cyclical unemployment; 7. Conclusions.Keywords: time-varying NAIRU, Markov switching, Phillips curve, Kim filter, unobserved-components model. JEL codes: C22; E32. This paper estimates the Brazilian NAIRU (Nonaccelerating Inflation Rate of Unemployment) and investigates several empirical questions: the stability of coefficients of the Brazilian price Phillips curve, the behavior of the NAIRU along time, and error bands for the NAIRU. This article innovates, with respect to previous research work done for Brazil, because it estimates error bands for the NAIRU and adopts econometric models that, in our judgment, deal more adequately with the still recent instability of the Brazilian economy. We estimate two different state-space models: one with a time-varying NAIRU and another in which the NAIRU is changing over time according to a hidden Markov chain specification.The study presents some new evidence on several questions. It shows that while the slope of the Brazilian price Phillips curve is stable the NAIRU has not been stable. It concludes that there is a statistically significant relationship, with correct sign, between deviations of unemployment from the NAIRU and inflation. It also shows that, after the second semester of 1995, there is no significant evidence that the NAIRU has been different from the observed unemployment rate.Neste artigo estima-se a NAIRU (a taxa de desemprego que mantém 900Elcyon Caiado Rocha Lima estável a taxa de inflação) do Brasil e investiga-se diversas questões empíricas: a estabilidade dos coeficientes da Curva de Phillips (para preços) brasileira , o comportamento da NAIRU ao longo do tempo, e os intervalos de confiança para a NAIRU.O presente trabalho inova, em relação aos anteriores, ao adotar modelos econométricos que, acredita-se, são mais adequados para lidar com as instabilidades defrontadas pela economia brasileira em período recente. Estimam-se dois modelos diferentes em espaço-de-estados: um com uma NAIRU que muda ao longo do tempo e outro no qual a NAIRU muda, ao longo do tempo, de acordo com a especificação de uma cadeia de Markov oculta.Obtém-se novas evidências sobre diversas questões empíricas. Mostra-se que a inclinação da Curva de Phillips do Brasilé estável mas que a NAIRU brasileira vem se alterando ao longo do tempo. Conclui-se que existe uma relação estatisticamente significante, e com o sinal correto, entre os desvios da taxa de desemprego em relaçãoà NAIRU e a taxa de inflação. No entanto, devidoà imprecisão das suas estimativas, não há evidência significativa de que a NAIRU, depois do segundo trimestre de 1995, tenha sido diferente da taxa de desemprego observada.

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The ability of each model in forecasting out-of-sample the growth rates of GDP is examined. The forecasting ability of the two models is also compared with linear specifications. The authors find that nonlinear models display the best forecasting performance and that specifications including the presence of structural breaks are important in obtaining a representation of the Brazilian business cycle. Terms of use: Documents inJEL classification: C32, E32

This paper analyzes the impacts of monetary policy, exchange rate, demand, and supply exogenous disturbances on the Brazilian economy using a structural vector autoregression model identified by two alternative methodologies. The first uses sign restrictions on impulse responses based on an open-economy macroeconomic model. The second (hybrid) is a new methodology that combines the first one with restrictions on the contemporaneous causal interrelationships among variables, derived by directed acyclic graphs.A comparison of the results shows that while the effects of exchange rate shocks are nearly the same, the effects of monetary policy shocks depend on the methodology adopted. There is a strong response of the exchange rate to demand shocks and to shocks originating in the foreign exchange market. Exchange rate shocks have an important role in explaining short-run fluctuations of prices and output. We conclude that the exchange rate is an independent source of shocks and a shock absorber.

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This paper specifies and estimates an econometric model of the soybean market (grain, oil and meal) to assess the effects of U.S. domestic support to soybeans on world soybean prices, production and exports. The model divides the world into five regions (modules): Argentina, Brazil, the European Union, the United States (US) and the Rest of the

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