This paper describes the inference procedures required to perform Bayesian inference to some multivariate econometric models. These models have a spatial component built into commonly used multivariate models. In particular, the seemingly unrelated regression and vector autoregressive models are...

Bayesian dynamic linear models (DLM) are useful in time series modelling because of the flexibility that they present in obtaining a good forecast. They are based on a decomposition of the relevant factors which explain the behavior of the series through a series of state parameters....

This paper presents a model for the long-run determinants of the Brazilian real exchange rate for the period 1947/95. This is a simple representative agent model that links the exchange rate, external debt and net exports. It is assumed that: a) the country pays an interest rate on its debt...

This paper is concerned with the study of Bayesian inference procedures to commonly used time series models. In particular, the dynamic or state-space models, the time-varying vector autoregressive model and the structural vector autoregressive model are considered in detail. Inference...

The monetary authorities need a future measure of in°ation trend to keep on tracking the in°ation on target. Many alternatives of the core in°ation measure have appeared in the recent literature pretending to avoid the de¯ciencies of the usual headline in°ation index as a predictor. This...

Space-varying regression models are generalizations of standard linear models where the regression coefficients are allowed to change in space. The spatial structure is specified by a multivariate extension of pairwise difference pri- ors thus enabling incorporation of neighboring structures and...

Based on three versions of a small macroeconomic model for Brazil, this paper presents empirical evidence on the effects of parameter uncertainty on monetary policy rules and on the robustness of optimal and simple rules over different model specifications. By comparing the optimal policy rule...

Regulation in the sanitation sector in Brazil is facing a great deal of debate regarding the government level in which conceding authority should reside and how private operators can fulfill social objectives. The main objective of this study is to show that these issues are not the crucial...

This paper uses the agricultural census micro data of 1995-1996 to calculate, for each of the five Brazilian macro regions, the difference in total factor productivity (TFP), with two cleavages: family farmers and input-intensive farmers. This difference in TFP is explained regarding to...

In this paper we evaluate the effect of the real exchange rate volatility on thehysteresis band relative to investment plans in output and export capacityenlargement in the thirty six industrial sectors in the Brazilian input-output matrix.For this, the approach by Dixit (1989a e b) was extended...