Essays in macroeconometrics

The knowledge of the current state of the economy is crucial for policy makers, economists and analysts. However, a key economic variable, the gross domestic product (GDP), are typically colected on a quartely basis and released with substancial delays by the national statistical agencies. The first aim of this paper is to use a dynamic factor model to forecast the current russian GDP, using a set of timely monthly information. This approach can cope with the typical data flow problems of non-synchronous releases, mixed frequency and the curse of dimensionality. Given that Russian economy is largely dependent on the commodity market, our second motivation relates to study the effects of innovations in the russian macroeconomic fundamentals on commodity price predictability. We identify these innovations through a news index which summarizes deviations of offical data releases from the expectations generated by the DFM and perform a forecasting exercise comparing the performance of different models.

Ensaios em macroeconometria e finanças

This thesis is composed of three essays referent to the subjects of macroeconometrics and Önance. In each essay, which corresponds to one chapter, the objective is to investigate and analyze advanced econometric techniques, applied to relevant macroeconomic questions, such as the capital mobility hypothesis and the sustainability of public debt. A Önance topic regarding portfolio risk management is also investigated, through an econometric technique used to evaluate Value-at-Risk models. The Örst chapter investigates an intertemporal optimization model to analyze the current account. Based on Campbell & Shillerís (1987) approach, a Wald test is conducted to analyze a set of restrictions imposed to a VAR used to forecast the current account. The estimation is based on three di§erent procedures: OLS, SUR and the two-way error decomposition of Fuller & Battese (1974), due to the presence of global shocks. A note on Granger causality is also provided, which is shown to be a necessary condition to perform the Wald test with serious implications to the validation of the model. An empirical exercise for the G-7 countries is presented, and the results substantially change with the di§erent estimation techniques. A small Monte Carlo simulation is also presented to investigate the size and power of the Wald test based on the considered estimators. The second chapter presents a study about Öscal sustainability based on a quantile autoregression (QAR) model. A novel methodology to separate periods of nonstationarity from stationary ones is proposed, which allows one to identify trajectories of public debt that are not compatible with Öscal sustainability. Moreover, such trajectories are used to construct a debt ceiling, that is, the largest value of public debt that does not jeopardize long-run Öscal sustainability. An out-of-sample forecast of such a ceiling is also constructed, and can be used by policy makers interested in keeping the public debt on a sustainable path. An empirical exercise by using Brazilian data is conducted to show the applicability of the methodology. In the third chapter, an alternative backtest to evaluate the performance of Value-at-Risk (VaR) models is proposed. The econometric methodology allows one to directly test the overall performance of a VaR model, as well as identify periods of an increased risk exposure, which seems to be a novelty in the literature. Quantile regressions provide an appropriate environment to investigate VaR models, since they can naturally be viewed as a conditional quantile function of a given return series. An empirical exercise is conducted for daily S&P500 series, and a Monte Carlo simulation is also presented, revealing that the proposed test might exhibit more power in comparison to other backtests.

Ensaios em macroeconometria e finanças

A presente tese é composta de quatro ensaios sobre macroeconometria e finanças. Em cada ensaio, que corresponde a um capítulo, o objetivo é investigar e analisar as técnicas econometrias avançadas, aplicadas às questões macroeconômicas e financeiras relevantes.