The Brazilian business and growth cycles

Chauvet, Marcelle

doi:10.1590/s0034-71402002000100003

Cited by 38 publications

(33 citation statements)

References 16 publications

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“…Banerji & Dua, 2011;Chauvet, 2002;Burns & Mitchell, 1946, Mitchell, 1927), we considered that 1997, 1998 were years of crisis in the Brazilian economy. Consistently with this criterion, years in which the Brazilian economy moved away from its historical trend of growth were treated as 'crisis year'.…”

Section: Literature Review and Hypothesis Developmentmentioning

confidence: 99%

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Earnings management and economic crises in the brazilian capital market

et al. 2014

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The 2008 economic crisis challenged accounting, either demanding recognition and measurement criteria well adjusted to this scenario or even questioning its ability to inform appropriately entities' financial situation before the crisis occurred. So, our purpose was to verify if during economic crises listed companies in the Brazilian capital market tended to adopt earnings management (EM) practices. Our sample consisted in 3,772 firm-years observations, in 13 years -1997 to 2009. We developed regression models considering discretionary accruals as EM proxy (dependent variable), crisis as a macroeconomic factor (dummy variable of interest), ROA, market-to-book, size, leverage, foreign direct investment (FDI) and sector as control variables. Different for previous EM studies two approaches were used in data panel regression models and multiple crises were observed simultaneously. Statistics tests revealed a significant relation between economic crisis and EM practices concerning listed companies in Brazil in both approaches used. KEY WORDS | RAE-Revista de Administração de Empresas | FGV-EAESP

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Section: Literature Review and Hypothesis Developmentmentioning

confidence: 99%

“…According to Burns and Mitchell (1946): According to Chauvet (2002Chauvet ( ), between 1997Chauvet ( and 1999 there were moments of descent in the Brazilian business cycle.…”

Section: Economic Crisis Proxies -Explanatory Variables Of Interestmentioning

confidence: 99%

Earnings management and economic crises in the brazilian capital market

et al. 2014

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“…Chauvet (2001) and Picchetti and Toledo (2002) use common-factor models to generate a monthly coincident indicator of economic activity. Chauvet (2002) uses a two-state Markov Chain characterizing a recession or an expansion to propose a chronology for Brazilian business cycles.…”

Section: Latin America Experiencementioning

confidence: 99%

Constructing coincident indices of economic activity for the Latin American economy

Issler¹,

Notini

Rodrigues

et al. 2013

Rev. Bras. Econ.

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This paper has three main contributions. The first is to propose an individual coincident indicator for the following Latin American countries: Argentina, Brazil, Chile, Colombia and Mexico. In order to obtain similar series to those traditionally used in business-cycle research in constructing coincident indices (output, sales, income and employment) we were forced to back-cast several individual country series which were not available in a long time-series span. The second contribution is to establish a chronology of recessions for these countries, covering the period from 1980 to 2012 on a monthly basis. Based on this chronology, the countries are compared in several respects. The final contribution is to propose an aggregate coincident indicator for the Latin American economy, which weights individual-country composite indices. Finally, this indicator is compared with the coincident indicator (The Conference Board -TCB) of the U.S. economy. We find that the U.S.

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“…Seus resultados mostram que a especificação não linear foi superior dentro e fora da amostra. Chauvet (2002), por sua vez, estima modelos markovianos com dois estados para a média do crescimento do PIB, utilizando dados anuais (de 1901 a 1999) e trimestrais (de 1980 a 2012). No primeiro caso, é possível discriminar fases de crescimento acelerado (7,4% a.a.) de outras de crescimento moderado (1% a.a.).…”

Section: Introductionunclassified

Não Linearidades Na Dinâmica Do Produto Interno Bruto Brasileiro Entre 1947 E 2012

Lopes

Toyoshima

2016

RAE

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Resumo: 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. Palavras-chave: Não linearidade. Produto Interno Bruto. Regimes markovianos. Teste BDS.Abstract: 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 Análise Econômica, Porto Alegre, ano 34, n. 66, p. 57-82, set. 2016. 58(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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The Brazilian business and growth cycles

Cited by 38 publications

References 16 publications

Earnings management and economic crises in the brazilian capital market

Earnings management and economic crises in the brazilian capital market

Constructing coincident indices of economic activity for the Latin American economy

Não Linearidades Na Dinâmica Do Produto Interno Bruto Brasileiro Entre 1947 E 2012

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