Identificação de modelos VAR e causalidade de Granger: uma nota de advertência

Marco Antônio Freitas de Hollanda Cavalcanti

18 citations0/0 files storedEconomia Aplicada

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Monetary Policy and Economic Impact Economic Theory and Policy Diverse Scientific and Economic Studies

Abstract

O objetivo desta nota é alertar os leitores para um erro comum na literatura macroeconômica aplicada ao Brasil, associado à identificação de modelos VAR com base nos resultados de testes de causalidade de Granger.

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1980Macroeconomics and Reality 1998Generalized impulse response analysis in linear multivariate models 2010Investigating Causal Relations by Econometric Models and Cross-Spectral Methods 1972MONEY, INCOME, AND CAUSALITY 2005What are the effects of monetary policy on output? Results from an agnostic identification procedure 1998Monetary Policy Shocks: What Have We Learned and to What End?1997Inflation forecast targeting: Implementing and monitoring inflation targets 1986Alternative Explanations of the Money-Income Correlation

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