Johansen (2002) suggests a counterfactual experiment that can be implemented in the vector autoregressive model to interpret the coefficients of an identified cointegrating relation. This article proposes an alternative counterfactual experiment ("design of experiment") that, contrary to the one...

This paper estimates the Brazilian Nairu (Non-Accelerating Inflation Rate of Unemployment) and investigates several empirical questions: the behavior of Nairu along time, error bands for Nairu and the usefulness of Nairu to the conduct of monetary policy in Brazil. There are many recent studies...

This paper compares the forecasting performance of linear and nonlinear models under the presence of structural breaks for the Brazilian real GDP growth. The Markov switching models proposed by Hamilton (1989) and its generalized version by Lam (1990) are applied to quarterly GDP from 1975:1 to...

This article investigates the stochastic and dynamic relationship of a group of Brazilian macroeconomic variables (price and industrial production indexes, nominal exchange rate, short and medium-run nominal interest rates) for the period after the Real Plan (1996-2004). We adopt, as has become...

When analyzing the demand for money in high inflation processes it has been suggested [Tourinho (1995)] that we should consider not only the effects of changes in the expected inflation rate but also changes in the expected variability of inflation. The model in Lima & Ehlers (1993) is extended...

Spatial dependence results from the existence of spillover effects such as the impact of the price of one housing unit on the price of its adjacent neighbors. One way to account for spatial dependence is to specify spatial lag models in which a spatially lagged variable is assumed to play a role...