Output gap in Brazil: a real-time data analysis

Cusinato, Rafael Tiecher; Minella, André; Júnior, Sabino da Silva Pôrto

doi:10.1007/s00181-012-0583-3

Cited by 7 publications

(5 citation statements)

References 9 publications

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“…Moreover, in countries like Brazil, where the share of industry to GDP has shifted significantly during the period, using industrial production as a proxy for economic activity may carry additional noise to the estimation results. We checked our final output gap estimation for consistency by comparing with what other works have found (Considera et al, 2020;Cusinato et al, 2013). discrepancies between the two indices.…”

Section: The Datamentioning

confidence: 69%

Credit, output and financial stress: A non‐linear LVSTAR application to Brazil

Neves

Semmler

2022

Metroeconomica

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We estimate a bi‐variate LVSTAR model to investigate the non‐linear interplay between Brazil’s credit, output and financial cycles between 1999 and 2017. We use financial stress as the regime‐switching variable to assess how it impacts economic performance. We find evidence of a lengthy transition between regimes. Moreover, Granger Causality tests indicate statistical precedence of credit growth through financial intermediaries. After credit shocks, we find non‐mean‐reverting trajectories and that financial stress worsens the economic downturn. Counterintuitively, total credit growth increases after adverse output shocks. This appears to be caused by elevated public credit provision relative to private credit flows, triggered by anticyclical policy.

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Section: The Datamentioning

confidence: 69%

Credit, output and financial stress: A non‐linear LVSTAR application to Brazil

Neves

Semmler

2022

Metroeconomica

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“…Another important argument for responding to a credit growth gap is that this could be desirable not only for macroprudential reasons, but also because of the unreliability of real-time (preliminary) output gap measures in MICs. Differences in output gap measures based on real-time and final real GDP estimates can be quite substantial, as shown by Cusinato et al (2010) for Brazil, with errors going in both directions. Similar results have been obtained for other countries.…”

Section: What Should Monetary Policy React To?mentioning

confidence: 97%

Macroeconomic Stability, Financial Stability, and Monetary Policy Rules

Agénor

Silva

2012

International Finance

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This paper reviews arguments for and against attributing an explicit financial stability objective to monetary policy. The discussion is conducted from the perspective of middle‐income countries (MICs), where bank credit plays a critical role both on the supply and demand sides. It also discusses, on the assumption that a more proactive role is desirable, what monetary policy should react to and to what extent it should be combined with macroprudential regulation. There are robust arguments in favour of monetary policy reacting in a state‐contingent fashion to a measure at the private‐sector credit gap, not only because of financial stability considerations but also because of the high degree of uncertainty regarding real‐time estimates of the output gap in MICs. Nevertheless, monetary policy is not a substitute for macroprudential regulation; in particular, it cannot address the cross‐section dimension of systemic risk.

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“…Particularly, real time measures must have high information content. These characteristics are absent or poor for the euro area (Massimiliano Marcellino and Alberto Musso, 2010) and (Massimiliano Marcellino and Alberto Musso, 2011) and also for other developed economies (Athanasios Orphanides and Simon van Norden, 2002), (Edward Nelson and Kalin Nikolov, 2002), (Jean-Philippe Cayen and Simon van Norden, 2005), (Tom Bernhardsen et al, 2005) and (Rafael Cusinato et al, 2012).…”

Section: The Empirical Concept Of Output Gapmentioning

confidence: 99%

Output-Gaps in the PIIGS Economies: An Ingredient of a Greek Tragedy

Andrade¹,

Duarte²

2014

IJAREMS

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The Fiscal Compact has created new responsibilities in terms of quantitative measures of excess demand in the economy. The concept of structural budget balance is dependent on cycle values. As a consequence one of the primary responsibilities of economics is to build a good indicator of the magnitude of short term disequilibrium. Knowledge of the magnitude of the excess demand in the economy is essential for an appropriate application of the Fiscal Compact. The usual empirical concepts of output gap are not sufficiently well designed to give an accurate view of the negative excess demand when there are output breaks in the economy. The information produced by different (quasi-) official output gaps is quite often misleading, contributing to a rise in the unemployment rate. We propose a solution that might contribute to solve this problem that is clearly a crucial one for the PIIGS in times of crisis.

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Output gap in Brazil: a real-time data analysis

Cited by 7 publications

References 9 publications

Credit, output and financial stress: A non‐linear LVSTAR application to Brazil

Credit, output and financial stress: A non‐linear LVSTAR application to Brazil

Macroeconomic Stability, Financial Stability, and Monetary Policy Rules

Output-Gaps in the PIIGS Economies: An Ingredient of a Greek Tragedy

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