FLUXOS DE CAPITAIS E COMPONENTES MACROECÔMICOS: ANÁLISE DE INTER-RELAÇÕES ATRAVÉS DA APLICAÇÃO DE UM MODELO DE VETORES AUTO-REGRESSIVOS (VAR)

Alessandro Pinheiro () and Mário Miguel Amin

Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] from ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]

Abstract: The present work aims to investigate the dynamic interactions between capital flows, public debt, country risk, interest rate differential and stock of foreign exchange in Brazil in the period 1995-2004. The vector autoregressive model (VAR) and the vector error correction model (VEC) constituted the empirical framework used. Its tools (impulse response functions and variance decomposition) allowed observing in general terms that Brazilian policy makers face strong difficulties when the objective is to stimulate the economic growth. This occurs especially because the interest rate differential represents a key-component manipulated to avoid the liquid capital flows decreasing and to keep the stability of prices.

JEL-codes: F32 F37 G15 (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-fin
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