Flávio Vilela Vieira

Crescimento econômico em economias emergentes selecionadas: Brasil, Rússia, Índia, China (BRIC) e África do Sul

Economic growth in selected emerging economies: Brazil, Russia, India, China (BRIC) and South Africa The paper investigates on theoretical and empirical grounds the main determinants of economic growth for Brazil, Russia, India, China (BRIC) and South Africa. The empirical results from the variance decomposition analysis (VDA) for the real GDP growth reveal a primary role played by the investment rate and inflation to explain economic growth in these countries, but other factors, such as the real interest rate (Brazil, India and South Africa), the real effective exchange rate (China and India), FDI flows (China and South Africa) and population growth (India and Russia) are also important, regardless of their lower relative contribution.

Exchange rate volatility and exports: a panel data analysis

Purpose – The purpose of this paper is to empirically investigate the role of real effective exchange rate (REER) volatility on export volume and also to address the impact of the international financial crisis of 2008. Design/methodology/approach – The empirical methodology is based on System GMM estimation for a set of 106 countries for the period of 2000-2011. Findings – For the complete sample of countries and for a set of developing/emerging economies, there is evidence that an increase (decrease) in REER volatility reduces (increases) export volume. The results are not robust once the oil export countries are removed from the sample. The estimated coefficients for the financial crisis dummy are positive and statistically significant, indicating that export volume were 0.14 percent higher after the financial crisis of 2008 compared to the previous period (2000-2007). There is also evidence that the export volume is price (REER) and income (trade weighted) inelastic. Research limitations/implications ...

Persistência inflacionária regional brasileira: uma aplicação dos modelos arfima

This paper analyzes the degree of persistence of the Broad Consumer Price Index (IPCA) of the following Brazilian regions: Belem, Fortaleza, Recife, Salvador, Belo Horizonte, Rio de Janeiro, Sao Paulo, Curitiba, Porto Alegre, Brasilia and Goiânia. Comparisons among the regional indices and the Aggregate IPCA were made. Auto-Regressive Fractionally Integrated (ARFIMA) models and tests with structural breaks were used for the period ranging from August 1999 to December 2011. We found that inflation rates in the Brazilian regions have some degree of persistence, but they are stationary and mean-reverting. This result was only achieved when structural breaks were accounted for, once they influenced particularly the results of Rio and Recife.

Export Performance of Brazilian States to Mercosul and Non-Mercosul Partners

ABSTRACT We investigate the role of the trade-weighted real exchange rate and foreign income on the export performance of Brazilian states, differentiating between Mercosur and non-Mercosur partners. The results indicate that state exports are price and income inelastic. There are differences in the influence of the different trade factors between the two groups of partners. One crucial difference is the relevance of the real exchange rate effect for non-Mercosur partners. This might be associated with the existence of specific rules for Mercosur that can overcome the usual effect of relative competitiveness associated with movements in the real exchange rate.

INDÚSTRIA E CRESCIMENTO: UMA ANÁLISE DE PAINEL PARA OS ESTADOS BRASILEIROS

The main goal of this work is to develop an empirical investigation for the Brazilian States real per capita GDP growth from 1992 to 2009 using panel data and fixed/random effect and GMM estimation. The econometric results indicate the existence of a positive and significant relation for industry and manufactory industry GDP, the relative participation of the industry in the valued added, but not for the relative participation of the manufactory industry for State GDP growth. The average schooling years have a positive impact on State GDP growth and there is evidence that States with higher (lower) current and capital expenditures in average have lower (higher) GDP growth rates. Finally, State export performance and inflation are not statistically significant to explain differences in growth rates.

Taxa de câmbio e Preço de ações: Evidências para o Brasil

OBJETIVO nO objetivo deste estudo e investigar a relacao existente entre o mercado de acoes e a taxa de câmbio, investiga-se tambem a relacao entre as volatilidades destes mercados no Brasil. n nMETODOLOGIA nPara medir a volatilidade (no periodo de 1999 a 2012) foram utilizados modelos auto-regressivos com heteroscedasticidade condicional (ARCH) e GARCH (Generalized ARCH). Para investigar a relacao entre as variaveis utilizou-se modelos de Vetor Auto Regressivo (VAR) e Vetor de Correcoes de Erros (VEC). n nRESULTADOS E CONCLUSOES nAs evidencias sugerem que um aumento na taxa de câmbio leva a uma elevacao nos precos das acoes. Observa-se ainda, que a relacao entre as variaveis e mais fraca quando e investigado apenas o periodo pos-crise (Setembro de 2008). Alem disso, pode-se afirmar que o movimento do Ibovespa frente a um choque na taxa de câmbio e de queda gradual ate aproximadamente o quarto mes, se estabilizando a partir dai. Quando as relacoes sao investigadas por meio das volatilidades das variaveis, e encontrada uma relacao significativa da taxa de câmbio para o preco das acoes no periodo completo da amostra. Porem, no periodo de crise e encontrada uma relacao bidirecional. Na relacao inversa, um aumento da volatilidade da Taxa de Câmbio leva a uma reducao na volatilidade do Ibovespa (ou uma reducao da volatilidade da Taxa de Câmbio leva a um aumento na volatilidade do Ibovespa), enquanto na relacao positiva, uma elevacao na volatilidade do Ibovespa causa um aumento na volatilidade da taxa de câmbio e vice versa. Pode-se concluir que no periodo investigado prevaleceu a abordagem tradicional em que a taxa de câmbio tem impacto sobre os precos das acoes. Para o periodo de crise ha evidencias de uma relacao bidirecional entre taxa de câmbio e precos de acoes corroborando as duas abordagens teoricas, a tradicional e a de Portfolio. n nIMPLICACOES PRATICAS nOs resultados da relacao tem implicacoes praticas para os reguladores que estao interessados no funcionamento adequado dos merca-dos financeiros, a volatilidade da taxa de câmbio tem impacto sobre condicoes macroeconomicas tais como choque de oferta agregada, volatilidade da inflacao e custos de distribuicao de bens de consumo. Significante interdependencia tambem e documentada entre volatilidade da taxa de câmbio e desempenho economico, incluindo a rentabilidade das empresas. Para investidores individuais e institucionais que estejam interessados na diversificacao de carteiras, a volatilidade tem incrementado o risco associado com o portfolio inter-nacional e por isso os resultados apresentados neste estudo sao importantes para a gestao de risco cambial. n nPALAVRAS-CHAVE nPrecos de Acoes; Taxa de Câmbio; Volatilidade. n n nEXCHANGE RATE AND STOCK PRICE: EVIDENCE FOR BRAZIL n n nOBJECTIVE nThe aim of this study is to investigate the relationship between the stock market and the exchange rate. It also investigates the relationship between the volatilities of these markets in Brazil. n nMETHODOLOGY nTo measure the volatility (in the period of 1999-2012) the paper uses autoregression models with conditional heteroskedasticity (ARCH) and GARCH (Generalized ARCH). To investigate the relationship between the variables we used Vector Auto Regressive (VAR) and Vector Error Correction (VEC) models. n nRESULTS AND CONCLUSIONS nThe evidence suggests that an increase in the exchange rate leads to an increase in stock prices. It is also observed that the relationship between the variables is weaker when analyzing the post-crisis period (September 2008). Moreover, it can be said that the movement of the BOVESPA when facing a shock in the exchange rate is of a gradual decline until about the fourth month and stabilizing thereafter. When relationships are investigated considering the volatilities of the variables, a significant relationship was found from the exchange rate to stock prices for the full sample period. However, during the crisis period was found a bidirectional relationship. In the inverse relationship, an increase in the exchange rate volatility is associated to a reduction in the Ibovespa volatility (or a reduction in the exchange rate volatility is associated to an increase in the Ibovespa volatility), while the positive relationship, an increase in Ibovespa volatility causes an increase in the exchange rate volatility and vice versa. One can conclude that in the investigated period prevailed the traditional approach in which the exchange rate has an impact on stock prices. For the crisis period there is evidence of a bidirectional relationship between exchange rate and stock prices corroborating both the traditional and the Portfolio theoretical approaches. n nPRACTICAL IMPLICATIONS nThe results of the relationship have practical implications for regulators who are interested in the proper functioning of financial markets. The volatility of the exchange rate has an impact on macroeconomic conditions such as: aggregate supply shock, inflation volatility and distribution costs of consumer goods. Is also documented significant interdependence between exchange rate volatility and economic performance, including the profitability of companies. For individual and institutional investors who are interested in diversify-ing portfolios, volatility has increased the risk associated with international portfolio and so the results presented in this study are important for the managing foreign exchange risk n nKEYWORDS nStock Prices; Exchange Rate; Volatility.

Indústria e crescimento econômico: evidências para países desenvolvidos e em desenvolvimento

The work develops an empirical investigation on the relevance of industry / GDP, manufacture / GDP and industrial employment / total employment on long run growth using panel data. The results indicate the existence of a direct and significant relation for industry (manufacture) share to GDP and industrial employment for long run growth. The annual impact on growth of a 10% increase, over a five year period, in the industry share to GDP (manufacture share to GDP) ranges from 0.19% to 0.32% (0.2% to 0.4%) and for the industrial employment / total employment it varies from 0.3% to 0.5%.

EXPORTAÇÕES EM ECONOMIAS EMERGENTES SELECIONADAS (BRASIL, RÚSSIA, ÍNDIA, CHINA E ÁFRICA DO SUL): MODELOS VAR E VEC

This work aims to develop an empirical investigation on the main export determinants for the BRICS countries. The relevance of this empirical study is to compare among the selected emerging economies if the export determinants are distinct and to provide different lessons and subsidies to understand export dynamics for each one of these economies.xa0 The VAR analysis reveals that external income is relevant for all economies with the exception of China; the Exchange rate is not significant for China and India; the investment rate has an important role except for South Africa; and technological effort is not relevant for Brazil and Russia. The results from the estimated VEC models indicate that the exchange rate is relevant for all economies except for India; external income was not significant for India and Russia; technological effort is not relevant only for the Brazilian economy; capital flows are not significant for South Africa and Russia; the investment rate is not statistically significant for Brazil and China; and the terms of trade is significant for Brazil and China.

The new international financial crisis: causes, consequences and perspectives

The paper investigates the recent financial crisis within a historical and comparative perspective having in mind that it is ultimately a confidence crisis, initially associated to a chain of high risk loans and financial innovations that spread thorough the international system culminating with impressive wealth losses. The financial market will eventually recover from the crisis but the outcome should be followed by a different and more disciplined set of international institutions. There will be a change on how we perceive the widespread liberal argument that the market is always efficient, or at least, more efficient than any State intervention, overcoming the false perception that the State is in opposition to the market. A deep financial crisis brings out a period of wealth losses and an adjustment process characterized by price corrections (commodities and equity price deflation) and real effects (recession and lower employment), and a period of turbulences and end of illusions is in place.

An investigation on the role of institutions for income and growth models

This work evaluates the role of institutions on per capita income levels (cross-section) and growth models (panel data). The cross-section results suggest that there is some evidence regarding the role of institutions since all the estimated coefficients are positive and statistically significant but there is evidence of weak instruments. The results from the panel growth models suggest that there is scarce evidence for the role of institutions in fostering long-run growth. In one word, there is no indication of an empirical consensus to claim that institutions have a primary role, meaning that institutions cause growth and difference in income levels.