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Curva de Phillips para Portugal : uma abordagem de cointegração
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Orientador(es)
Resumo(s)
A presente dissertação surge no âmbito da disciplina de Econometria I do curso de
Mestrado em Matemática Aplicada à Economia e à Gestão, como proposta de um estudo
de aplicação, e se possível desenvolvimento, de algumas técnicas econométricas
leccionadas ao longo do curso. A este objectivo de carácter mais pedagógico juntou-se um
genuíno interesse científico pelo tema: a cointegração é uma matéria "de ponta" no âmbito
da econometria, tendo em si mesma um rigoroso suporte teórico em termos estatísticos,
sendo naturalmente aplicável a diversas relações económicas.
Neste contexto, é desenvolvido o tema das raízes unitárias e cointegração,
propondo modelizações alternativas que passam pela consideração de modelos com
mecanismo correctores do erro e análise em termos univariados e multivariados de
algumas séries respeitantes à economia Portuguesa. Após a introdução, em termos da
vertente económica, do tema referente ao eventual "trade-off' entre o produto-inflação em
Portugal, inicia-se o estudo empírico das potenciais relações de cointegração.
Pretendia-se inicialmente especificar uma Curva de Phillips para a economia
Portuguesa, que fora já proposta por Carlos Robalo Marques, "Cointegration and the
Output-Inflation trade-off': empirical evidence for Portugal" (1994, Banco de Portugal),
como uma oportunidade de alargar conhecimentos e de aplicar técnicas econométricas
com um desenvolvimento recente, no âmbito da modelização num contexto de
integrabilidade. Em simultâneo, a perspectiva da teoria económica é de grande interesse,
explicando a adesão ao tema em questão. Desta forma, era nosso objectivo, para além de
dar continuidade temporal à análise de Marques (1994), fazer uma extensão da mesma
pela introdução de novas variáveis, concretamente o grau de abertura da economia ao
exterior, num contexto de cointegração.
This thesis is a proposal of a practical use of the econometric techniques applied to the economic science. It also surveys the cointegration theory in long-term equilibrium relationships and short-term model specifications. Specifically the study of unit roots and cointegration is developed by proposing altemative models, such as error-correction models, and by analysing series related to the Portuguese economy while looking at their univariate and multivariate properties. The first part of this paper is an introduction to the present economy in Portugal and the trade-off between product and inflation. Following is the empirical study of potential relationships of cointegration in the economy. As an opportunity to revise integrability, modelling methods, and to apply recently developed econometric techniques, a Phillips Curve pertinent to the Portuguese economy is specified, similar to the one proposed by Carlos Robalo Marques in "Cointegration and the Output-Inflation trade-off: empirical evidence for Portugal" (1994, Bank of Portugal). It is our goal then, to update and expand the Marques's analysis, always in the context of cointegration, by introducing new variables such as the degree of openness of the Portuguese economy. However, as will be shown by the parsimony principal, the inclusion of this new regressor does not change significantly the earlier results making it unnecessary and even counter-productive. As a result, the fluctuation of the real GDP will then be modelled with simple methods and using already existent variables. Due to the difficulties in obtaining sufficiently long and credible economic series, mainly those related to oil prices, the original goal of the thesis was affected. The data used carne ffom annually updated publications by the Bank of Portugal, National Institute of Statistics and the OECD. However, discrepancies in some of the series were found and these had to be re-evaluated. Due to eventual structural changes in the Portuguese economy, an analysis was done to the tests used; namely the ECM test which led to interesting results. The interpretation of this model should however be done with great care namely where the existence of cointegration between variables is concemed, since it may not be the most adequate due to its eventual lack of global stability as seen in the history of Portuguese economy,
This thesis is a proposal of a practical use of the econometric techniques applied to the economic science. It also surveys the cointegration theory in long-term equilibrium relationships and short-term model specifications. Specifically the study of unit roots and cointegration is developed by proposing altemative models, such as error-correction models, and by analysing series related to the Portuguese economy while looking at their univariate and multivariate properties. The first part of this paper is an introduction to the present economy in Portugal and the trade-off between product and inflation. Following is the empirical study of potential relationships of cointegration in the economy. As an opportunity to revise integrability, modelling methods, and to apply recently developed econometric techniques, a Phillips Curve pertinent to the Portuguese economy is specified, similar to the one proposed by Carlos Robalo Marques in "Cointegration and the Output-Inflation trade-off: empirical evidence for Portugal" (1994, Bank of Portugal). It is our goal then, to update and expand the Marques's analysis, always in the context of cointegration, by introducing new variables such as the degree of openness of the Portuguese economy. However, as will be shown by the parsimony principal, the inclusion of this new regressor does not change significantly the earlier results making it unnecessary and even counter-productive. As a result, the fluctuation of the real GDP will then be modelled with simple methods and using already existent variables. Due to the difficulties in obtaining sufficiently long and credible economic series, mainly those related to oil prices, the original goal of the thesis was affected. The data used carne ffom annually updated publications by the Bank of Portugal, National Institute of Statistics and the OECD. However, discrepancies in some of the series were found and these had to be re-evaluated. Due to eventual structural changes in the Portuguese economy, an analysis was done to the tests used; namely the ECM test which led to interesting results. The interpretation of this model should however be done with great care namely where the existence of cointegration between variables is concemed, since it may not be the most adequate due to its eventual lack of global stability as seen in the history of Portuguese economy,
Descrição
Mestrado em Matemática Aplicada à Economia e à Gestão
Palavras-chave
Unit roots Cointegration Error correction models Phillips curve
Contexto Educativo
Citação
Custódio, Sandra Cristina Casquinha Gancho da Silva (1998). "Curva de Phillips para Portugal : uma abordagem de cointegração". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão