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Causalidade das variáveis macroeconômicas sobre o Ibovespa.; Causality of macroeconomic variables influencing ibovespa.

Groppo, Gustavo de Souza
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 22/11/2004 PT
Relevância na Pesquisa
56.4%
Este estudo tem como principal objetivo analisar a relação causal entre um conjunto de variáveis macroeconômicas e o mercado acionário brasileiro, aqui representado pelo Ibovespa, e para tal utilizará o enfoque multivariado VAR. Buscou-se analisar o efeito dos choques inesperados nas variáveis macroeconômicas sobre o índice da Bolsa de Valores de São Paulo. O período analisado compreendeu os meses de janeiro de 1995 a dezembro de 2003. O modelo proposto, visando à análise, foi implementado utilizando-se os testes de raiz unitária de Dickey e Fuller Aumentado (ADF) e Perron, de co-integração de Johansen e o método de Auto Regressão Vetorial com Correção de Erro (VEC). Primeiramente empregou-se o VEC convencional seguindo a proposição de Gjerde & Sættem (1999) e Burgstaller (2002). Os resultados obtidos deixaram claro a sua instabilidade. Buscando eliminar esta instabilidade empregou-se o procedimento de Bernanke (1986). Os resultados dos três modelos analisados mostram-se semelhantes. Nas matrizes de relações contemporâneas observam-se relações significativas entre a taxa de câmbio real e a taxa de juros de curto prazo com o Ibovespa. Por sua vez, o preço do petróleo no mercado internacional não explica contemporaneamente o Ibovespa. Nas decomposições das variâncias dos erros de previsão os resultados deixam claro o poder explanatório da taxa de juros de curto prazo sobre o índice da Bolsa de São Paulo. O próprio índice também tem um grande poder explicativo...

A importância da monitoração de variáveis macroeconômicas nos sistemas de informação : evidenciação através de um caso na indústria transformadora de papéis

Oliveira, Priscila de
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Dissertação Formato: application/pdf
POR
Relevância na Pesquisa
46.44%
O estudo realizado numa indústria transformadora de papéis teve por objetivo contribuir para a evidenciação da importância do monitoramento das variáveis macroeconômicas nos sistemas de informação. Existem ferramentas tecnológicas para processar esse tipo de informação e a literatura oferece suporte para a necessidade desse monitoramento, no entanto, esta prática tem sido objeto de um número limitado de trabalhos empíricos e tem recebido relativamente pouca atenção no ambiente empresarial. Uma possível justificativa, talvez seja a complexidade e o dinamismo dos dados que, além de estarem em constante oscilação per si, interagem entre si e podem ter impactos distintos em cada um dos produtos de uma mesma empresa. A pesquisa que deu origem a esta dissertação, foi realizada como um estudo exploratório descritivo, utilizando-se métodos estatísticos para processar variáveis internas e externas para analisar a importância das variáveis macroeconômicas no gerenciamento de informações de uma empresa selecionada. Escolheu-se uma só empresa com um leque diversificado de produtos e sua relação com seu ambiente externo. Na complexidade interna do negócio foram escolhidos os produtos mais representativos da empresa e cada um deles foram explorados através de duas ferramentas de análise multivariada de dados. Primeiro...

Financial market and the macroeconomic variables

Gomes, Carla Cindy Mendes
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em //2013 ENG
Relevância na Pesquisa
66.44%
Mestrado em Finanças; This study aims to examine the effect of the macroeconomic variables on the stock market price index from Germany and Portugal, using the OLS regression model and quarterly data from 2000(Q1) to 2011(Q4). The group of the macroeconomic variables used in this study is composed by GDP, consumer price index, long term domestic interest rate, exchange rate, and by the ratio of government deficit, tax revenue, net lending or borrowing of an economy and gross fixed capital formation, to GDP. In addition to the macroeconomic variables presented, we also consider the Dow Jones Industrial Average price index and the US long term interest rate. Considering all the explanatory variables on the regression model, we found that both stock markets analyzed are positively influenced by Dow Jones return and US long term interest rate change, and negatively affected by the depreciation of the exchange rate. Germany stock return is positively affected by the domestic long run interest rate change. In regards to the Portugal stock return, it is positively influenced by the GDP growth rate and negatively affected by the growth rate of the consumer price index. Concerning the policy implication, to promote a robust stock market, the authorities are expected to manage the domestic interest rate...

The macroeconomy and agricultural production in Mozambique

Abbas, Máriam Abdul Gani
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em //2014 ENG
Relevância na Pesquisa
46.36%
Mestrado em Economia; The agricultural sector plays a vital role in the development of Mozambique’s economy, so it is important to understand the relation between the macroeconomic environment and this sector. This master thesis examines the relationship between macroeconomic variables and agricultural production in Mozambique, adopting the classical regression model and using bootstrap, with the endogenous variable being total production, regressed in several covariates. The time horizon is from 1980 to 2012. A robust test is undertaken, estimated by a Bayesian model. The empirical results revealed that macroeconomic variables have a significant impact on agricultural production. The variables that had the most impact on agricultural production were area harvested, labor force, interest rate, GDP and exchange rate. Policy implications are derived.; O setor agrícola desempenha um papel muito importante no desenvolvimento da economia moçambicana, sendo assim é importante perceber a relação entre o ambiente macroeconómico e o setor em causa. Esta tese de mestrado examina a relação entre variáveis macroeconómicas e a produção agrícola em Moçambique, adotando um modelo de regressão clássica e usando bootstrap, tendo como variável endógena a produção total...

The role of macroeconomics in the portuguese stock market

Gonçalves, Paulo José Ribeiro
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Dissertação de Mestrado
Publicado em //2012 ENG
Relevância na Pesquisa
46.45%
Mestrado em Finanças; Este estudo investiga a relação entre variáveis macroeconómicas e o retorno das ações (PSI 20 e suas empresas), usando dados mensais que variam de Janeiro de 1999 a Novembro de 2011. As variáveis macroeconómicas utilizadas neste estudo são o índice de preços no consumidor (como uma proxy para a inflação), índice de produção industrial, taxa de câmbio (EUR/USD), taxas de juro (taxa de juro a 10 anos e EURIBOR de três meses) e agregado monetário (M2). O modelo de estimação dos mínimos quadrados ordinários (OLS) foi utilizado para estabelecer a relação entre variáveis macroeconómicas e retornos do mercado de ações. Os resultados empíricos revelam que existem alguns casos em que se verifica uma relação estatisticamente significativa entre retornos das acções e nossas variáveis macroeconómicas. Conclui-se ainda que as variáveis macroeconómicas afectam os retornos do PSI 20 e as suas empresas da mesma forma. Os resultados por nós obtidos podem ainda fornecer algumas indicações a gerentes de empresas, investidores e corretores.; This study investigates the relation between macroeconomic variables and stock market returns (PSI 20 index and its companies) using monthly data that ranging from January 1999 to November 2011. Macroeconomic variables used in this study are consumer price index (as a proxy for inflation)...

The impact of macroeconomic variables on the used cars sale price

Tomé, Ana Catarina Laureano Pereira
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Dissertação de Mestrado
Publicado em //2013 POR
Relevância na Pesquisa
66.36%
Mestrado em Gestão/ Classificação JEL: C21; E31.; The 2008 economic downturn triggered significant fluctuations in several scopes, namely in the automotive industry. The purpose of this dissertation is to analyse the influence of the current crisis on the sale price of second hand vehicles. A linear regression model was estimated using the Ordinary Least Squares procedure, based on a sample of used cars sold in Portugal, since 2005 to 2012. Macroeconomic variables such as Unemployment Rate, Oil Prices, Loans granted to Private Individuals, Private Consumption Indicator, Harmonized Index of Consumer Prices, among others, were tested in the estimated regression. In addition, some variables representing the own vehicle characteristics were also included. Finally, an out-of-sample analysis was performed to evaluate the predictive ability of the linear regression model. Results suggested that some of the selected macroeconomic indicators actually influence the sale price of an automobile sold in the secondary market and due to its predicting capacity can be useful to pricing procedures or just for asset valuation.; A recessão económica de 2008 desencadeou flutuações relevantes em diversos âmbitos, nomeadamente na indústria automóvel. O objetivo desta dissertação é analisar a influência da atual crise no preço de venda dos carros em segunda mão. Para tal...

Using pooled information and bootstrap methods to assess debt sustainability in low income countries

Hevia, Constantino
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
46.41%
Conventional assessments of debt sustainability in low income countries are hampered by poor data and weaknesses in methodology. In particular, the standard International Monetary Fund-World bank debt sustainability framework relies on questionable empirical assumptions: its baseline projections ignore statistical uncertainty, and its stress tests, which are performed as robustness checks, lack a clear economic interpretation and ignore the interdependence between the relevant macroeconomic variables. This paper proposes to alleviate these problems by pooling data from many countries and estimating the shocks and macroeconomic interdependence faced by a generic, low income country. The paper estimates a panel vector autoregression to trace the evolution of the determinants of debt, and performs simulations to calculate statistics on external debt for individual countries. The methodology allows for the value of the determinants of debt to differ across countries in the long run, and for additional heterogeneity through country-specific exogenous variables. Results in this paper suggest that ignoring the uncertainty and interdependence of macroeconomic variables leads to biases in projected debt trajectories...

Do Middle-Income Countries Continue to Have the Ability to Deal with the Global Financial Crisis?

van Doorn, Ralph; Suri, Vivek; Gooptu, Sudarshan
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
46.38%
This paper introduces an "index of macroeconomic space" -- demonstrating the ability of a country to run a countercyclical fiscal policy or a fiscal stimulus at any point in time -- to show how a sample of 20 mostly middle-income countries had entered the 2008 global financial crisis with different initial conditions that, in turn, determined their ability to respond to this crisis. Since 2008, many have implemented expansionary fiscal policies and have used up available macroeconomic space. Most have had to resort to increased borrowing by the public sector, both externally and domestically. Can the middle-income countries restore their pre-2008 macroeconomic space (to the level given by historical averages of key macroeconomic variables) or contain it from further deterioration in the medium term? In an endeavor to address this question, this paper shows, through illustrative scenarios, that the room to maneuver for some countries is somewhat limited unless they embark on severe, unprecedented fiscal adjustments or they may need more time to do so than current projections seem to suggest.

Exchange Rate and Output Fluctuations in the Small Open Economy of Mauritius

Bastos, Fabiano; Angelo Divino, Jose
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
46.36%
The authors estimate a VAR and compute generalized impulse response to analyze the joint dynamics of four key macroeconomic variables in the small open economy of Mauritius. Results suggest that nominal exchange rate and interest rate have limited ability to impact output growth over the medium-run. Large error bands hinder analysis of the inflation output trade-off, but evidence points to a weak relationship in the short run as well. These findings are used to shed some light into the policy response to the current worldwide economic slowdown affecting Mauritius.

Emerging Economies, Trade Policy, and Macroeconomic Shocks

Bown, Chad P.; Crowley, Meredith A.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
46.47%
This paper estimates the impact of aggregate fluctuations on the time-varying trade policies of 13 major emerging economies over 1989-2010. By 2010, these World Trade Organization member countries collectively accounted for 21 percent of world merchandise imports and 22 percent of world gross domestic product. The paper examines determinants of carefully constructed, bilateral measures of new import restrictions on products arising through the temporary trade barrier (TTB) policies of antidumping, safeguards, and countervailing duties. The approach explicitly addresses changes to the institutional environment facing these emerging economies as they joined the WTO and adopted disciplines to restrain their application of other trade policies, such as applied import tariffs. The paper presents evidence of a counter-cyclical relationship between macroeconomic shocks and new TTB import restrictions in addition to an important role for fluctuations in bilateral real exchange rates. Furthermore, for the subset of major Group of 20 emerging economies...

Macroeconomic Adjustment and the Poor : Analytical Issues and Cross-Country Evidence

Agénor, Pierre-Richard
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
EN_US
Relevância na Pesquisa
46.43%
The author studies the links between macroeconomic adjustment and poverty. First, he summarizes some of the recent evidence on poverty in the developing world. Second, he reviews the various channels through which macroeconomic policies affect the poor. Third, the author emphasizes the role of the labor market. He develops an analytical framework that captures some of the main features of the urban labor market in developing countries and studies the effects of fiscal adjustment on wages, employment, and poverty. Fourth, he presents cross-country regressions linking various macroeconomic and structural variables to poverty. The author finds that output growth and real exchange rate depreciations tend to lower poverty, while illiteracy, income inequality, and macroeconomic volatility tend to increase poverty. In addition, the impact of growth on poverty appears to be asymmetric, and to result from a significant relationship between episodes of increasing poverty and negative growth rates.

Macroeconomic Context and Fiscal Policy Design : Europe and Central Asia during 2000–2012

Islam, Roumeen
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
EN_US
Relevância na Pesquisa
46.38%
This paper examines the interaction between fiscal policy and the broader macroeconomic context in open economies. It asks two questions. First, what was the relationship between fiscal policy and current account balances in countries in Europe and Central Asia during the past dozen years? Second, how might changes in (a) output composition and (b) financial sector profitability affect revenues and thus, the assessment of the underlying structural fiscal balance? The study finds that, for flexible exchange rate countries, expansionary fiscal policy has been associated with wider current account deficits. Moreover, changes in net exports and in financial sector profitability may have significant impacts on fiscal balances because of changes in revenues from the value-added tax and the corporate profits tax as a share of gross domestic product. These findings suggest that the countries of Europe and Central Asia have reason to be prudent in terms of fiscal policy choices, even as gross domestic product rises.

Currency Substitution in Latin America : Lessons from the 1990s

Gomis-Porqueras, Pere; Serrano, Carlos; Somuano, Alejandro
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
46.46%
The authors study how agents in Latin America allocate their balances between dollar-denominated and domestic currency-denominated accounts. They empirically determine the causes of currency substitution, its significance in recent banking crises, and the link between currency substitution, and volatility in macroeconomic aggregates. Their findings: The ratio of dollar deposits to broad money is strongly influenced by expectations of depreciation. They show that depositors in Latin America face some uncertainty and frictions when making their portfolio decisions. They explore the macroeconomic consequences of a dollarized economy. In particular, they find that, in the presence of currency substitution, past banking crises are good predictors of future crises. In other words, having a highly dollarized economy, increases the response of the banking system when there is a bad shock, which halts the outflow of capital. Once an economy is in crisis, however, having more dollar-denominated deposits in the banking system...

Assessing Public Debt Sustainability in Mauritania with a Stochastic Framework

Baghdassarian, William; Mele, Gianluca; Pradelli, Juan
Fonte: World Bank Group, Washington, DC Publicador: World Bank Group, Washington, DC
EN_US
Relevância na Pesquisa
46.39%
This work presents a stochastic framework for assessing public debt sustainability and applies it to the case of Mauritania. The sustainability assessment projects solvency and liquidity indicators -- public debt stock and gross financing needs relative to GDP -- for 2014-23. The analysis uses deterministic scenarios and stochastic simulations to analyze policy options and fiscal risks. The study relies on simple econometric models to generate forecasts of key macroeconomic variables driving the public debt dynamics and to compute debt-distress probabilities and debt thresholds. The study builds on basic techniques to determine optimal portfolios suitable as benchmarks for public debt management. A main result is that, if Mauritania maintains a strong growth performance and pursues sound policies to balance the budget and take advantage of concessional financing opportunities, it could reduce the public debt from 74 percent of GDP in 2013 to 30 percent by 2023, and the gross financing needs from 12 percent of GDP to 4 percent. Further scaling up capital spending is likely to deteriorate public debt sustainability because the estimated (marginal) growth-dividend is small. A more promising avenue would be to improve the quality of public investment and institutions...

Seycehelles

Kojo, Naoko C.; Ivaschenko, Oleksiy
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Trabalho em Andamento
EN_US
Relevância na Pesquisa
46.43%
This paper studies likely macroeconomic impacts and social consequences of devaluation of the Seychelles rupee. Analyzing potential welfare impacts of devaluation ex ante is crucial for policy making, since information obtained from such analyses would allow policy makers to design cost-effective, well-targeted policy measures, with the aim of mitigating negative social consequences of devaluation. Based on the estimated welfare impact of devaluation, the paper considers mitigation policy options, and discusses their effectiveness and associated budgetary costs. The focus of this study is the likely impacts of devaluation on the prices, economy and social welfare. The reminder of the paper is structured as follows. Section two first analyzes Seychelles’ household expenditure survey data and presents the incidence of poverty and inequality in Seychelles. Section three then discusses how the Seychelles economy would adjust to an initial devaluation of the US dollar value of the rupee by 45 percent, followed by a gradual move to an equilibrium level. Projected macroeconomic variables and prices are applied to the household survey data to estimate possible impacts on the incidence of poverty. Section four discusses a variety of policy measures designed to alleviate the adverse impacts on the poor. Fiscal viability of these measures is also discussed in this section. Section five concludes the paper.

Selecting Macroeconomic Variables as Explanatory Factors of Emerging Stock Market Returns

Bilson, Chris M; Brailsford, Tim; Hooper, V.J
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Working/Technical Paper Formato: 138239 bytes; application/pdf
EN_AU
Relevância na Pesquisa
56.2%
Emerging stock markets have been identified as being at least partially segmented from global capital markets. As a consequence, it has been argued that local risk factors rather than world risk factors are the primary source of equity return variation in these markets. This paper seeks to address the question of whether macroeconomic variables may proxy for local risk sources. We find moderate evidence to support this hypothesis. Further, we investigate the degree of commonality in exposures across emerging stock market returns using a principal components approach. We find little evidence of commonality when emerging markets are considered collectively, however at the regional level considerable commonality is found to exist.; no

Modeling the Impact of Large Infrastructure Projects; A Case Study from Niger--Macroeconomic Assessment of Public Investment Options

Beguy, Olivier; Dessus, Sébastien; Garba, Abdoulahi; Hayman, Jason; Herderschee, Johannes
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Working Paper; Publications & Research :: Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
46.39%
Evidence illustrates that investment in infrastructure is essential to accelerate inclusive growth. Indeed, a number of Sub-Saharan African (SSA) countries have begun to devote greater resources to large-scale public investment projects. Nevertheless, while massive projects can potentially generate large benefits there are considerable risks. Cost overruns, poor implementation quality, inadequate operational and maintenance capacity, and negative social or environmental impacts can severely undercut a project’s anticipated social and economic returns. Moreover, projects, which are expensive to develop and maintain can impact on debt dynamics and in some cases macroeconomic stability. Yet, given the complex nature of such projects it is often difficult to ascertain whether it is worthwhile to proceed with a project and if so, how should it be financed and implemented. Historically, computable general equilibrium (CGE) models have been used to assess the prospective impacts of large public investment projects. However...

Macroeconomic Shocks and Banking Sector Developments in Egypt

Herrera, Santiago; Youssef, Hoda
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
56.34%
From 2008 to 2011, Egypt was hit by significant shocks, both global and country-specific. This paper assesses the impact of the resulting macroeconomic instability on the banking sector, and examines its role as a shock absorber. The Central Bank of Egypt accommodated the shocks by supplying liquidity to the market. The paper verifies a change in the fiscal regime from one in which the primary fiscal balance was used an instrument to stabilize the public debt ratio to one in which the policy instrument stopped playing that role and affected investors' assessment of the risk of holding public debt. This pattern suggests that fiscal conditions influenced exchange rate and price expectations originating a fiscal dominance situation in which the Central Bank could not control inflation. Hence, the Central Bank lacked functional independence in spite of its de jure independence, which underscores the importance of strengthening institutions that facilitate policy coordination and allow policy to be more predictable. The government also funds itself through non-market mechanisms...

Does the Exchange Rate Regime Affect Macroeconomic Performance : Evidence from Transition Economics

Domac, Ilker; Peters, Kyle; Yuzefovich, Yevgeny
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
46.47%
To examine whether a country's exchange rate regime has any impact on inflation and growth performance in transition economies, the authors develop an empirical framework that addresses some of the main problems plaguing empirical work in this strand of the literature: the Lucas critique, the endogeneity of the exchange rate regime, and the sample selection problem. Empirical results demonstrate that the exchange rate regime does affect inflation performance. the results suggest that: 1) Transition countries with intermediate arrangements might reduce inflation if they were to adopt a fixed regime. 2) Switching from a floating regime to an intermediate regime might not reduce inflation. 3) An unanticipated float--when a country whose fundamentals make it unlikely to adopt another regime adopts a floating regime--results in lower inflation. Based on their results, it is not possible to infer more about one particular exchange rate regime being superior to another in terms of growth performance. But empirical findings do underscore the different effects that policy variables--and other variables influencing economic activity--have on growth under different exchange-rate arrangements.

Drivers of the piigs' stock market returns : a macroeconomic approach

Sardinha, João
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Dissertação de Mestrado
Publicado em //2011 POR
Relevância na Pesquisa
56.34%
Mestrado em Finanças; Following the global financial crisis of 2008 and consequent economic downturn, the recent European sovereign-debt crisis brought to the fore five euro area Member States, the so-called PIIGS. On the other hand, empirical finance suggests that stock market returns are related to macroeconomic variables. In this thesis, the dynamics between a large set of macro variables and the stock market returns in the PIIGS are examined, between January, 1999 and March, 2011. From a perspective of multifactor models, the degree of integration of these five markets is also analyzed, given that the set employed comprises both country-specific and global macro variables. In addition to the analysis of the explanatory ability of all the macro variables considered at once, the “best” explanatory model for each country is selected via OLS stepwise regression, making it possible to identify which macro variables are more closely related to each stock market returns. The empirical results suggest these stock markets to be mildly segmented and strongly related to the U.S. Treasury 10-year bond yield. A puzzling finding consists in the nature of the relationship between the U.S. Treasury 10-year bond yield and the stock market returns of the PIIGS.; Na sequência da crise financeira global de 2008 e consequente desaceleração económica...