Measuring Macroeconomic Uncertainty to Brasil

Abstract

ResumoEste trabalho propõe uma nova medida de incerteza macroeconômica para o Brasil. O índice foi construído com base na metodologia de Jurado et al. (2015) utilizada na construção do índice para a economia americana. Mostramos que o aumento no nível de incerteza precede as duas últimas recessões no Brasil e que a mudança na política macroeconômica ocorrida em 2010-2011, elevou de forma substancial o nível de incerteza na economia brasileira. Nosso trabalho sugere que a medida proposta de incerteza possui potencial para analisar políticas macroeconômicas e prever recessões.Palavras-chave: Incerteza Macroeconômica; Volatilidade; Ciclos Reais de Negócios. AbstractThe paper proposes estimating a macroeconomic measure of uncertainty to Brazil. The index was constructed based on the methodology of Jurado et al. (2015) used to build the same index for the US economy. We show that an increase in the uncertainty level leads to economic recessions. Moreover, the recent macroeconomic policy adopted by the Brazilian government in 2010-2011 was followed up by substantial increase in the uncertainty level of the Brazilian economy. Our results suggest that the proposed uncertainty measure can be used to assess macroeconomic policies as well as predict economic recessions.

Asymmetric effects of policy uncertainty on real sector variables in emerging markets: evidence from Brazil, India, China and South Africa

“…(2020) for US, UK and Euro Area; Ghirelli et al. (2021) for Spain; Godeiro and Lima (2017) and Ferreira et al. (2019) for Brazil; Avellan et al.…”

“…Few other recent studies in emerging markets are: Liu and Dong (2020), which studied a panel of 16 economies that included Brazil, Russia and India; Dey (2017), which studied the real economy in India; Ferreira et al. (2019) and Huang and Luk (2020), which measured uncertainty in Brazil and China, respectively; and Godeiro and Lima (2017), which also measured uncertainty in Brazil. These are quite few compared to the numerous studies published for the US and the advanced European economies.…”

Measuring uncertainty: A streamlined application for the Ecuadorian economy

“…For larger developing economies, the only references are Huang et al. ( 2018 ) for China and Godeiro and Lima ( 2017 ) for Brazil. As can be seen, there is only a handful of applications of the JLN macroeconomic uncertainty index for other countries.…”

“…Godeiro and Lima ( 2017 ) estimate the JLN macroeconomic index for Brazil and show that the level of uncertainty rises during recessions, but there are also rises in uncertainty that do not precede a recession. Additionally, they find that an increase in uncertainty is detrimental to industrial production and employment only when the forecasting horizon is 12 months.…”

Understanding Uncertainty Shocks in Uruguay Through VAR Modeling

“…For developing economies, studies concentrate on a few countries. For example, Godeiro and Régis de Oliveira Lima ( 2017 ), Barboza and Zilberman ( 2018 ), and Costa Ferreira et al ( 2019 ) examine the impact of uncertainty on Brazil’s economic activity, and Cerda et al ( 2017 ) elaborate on an uncertainty index and analyze its impact on the Chilean economy. Following the same line, Sahinoz and Cosar ( 2020 ) develop an uncertainty index and identify its impact on the Turkish economy.…”