A carregar...
Publicação
Regimes de demanda e instabilidade na UEM : uma análise pós-keynesiana do endividamento nas economias do sul
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 1.22 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
A presente dissertação apresenta uma análise empírica sobre a relação entre os
diferentes regimes de demanda e crescimento manifestada através do endividamento dos
setores produtivos dos países de Sul e do influxo de capitais provenientes dos países
superavitários, conforme defendido pela literatura pós-keynesiana. Interessa examinar se
existe uma relação desestabilizadora entre os regimes e compreender a sua interação.
Ademais, busca-se esclarecer se as relações estudadas são unilaterais ou bilaterais, o
sentido da causalidade, e estudar uma possível mudança de regime experimentada pelos
países de Sul após a crise financeira internacional. O trabalho se vale de duas abordagens
metodológicas para analisar a relação de interesse através da causalidade de Granger
aplicada a um VAR aumentado (LA-VAR) para Grécia, Espanha, Itália e Portugal:
análise da amostra completa e estudo da variação temporal da causalidade de Granger.
Foram encontradas evidências que corroboram a teoria pós-keynesiana dos regimes de
demanda e instabilidade na Zona do Euro. Encontrei evidências favoráveis a hipótese de
instabilidade resultante da interação entre os regimes. Em todos os casos, verificamos
causalidade unidirecional entre o endividamento privado e o influxo de capitais. Também
de maneira transversal, não foi verificada qualquer relação entre o endividamento público
e o influxo de capitais. Os resultados também sustentam a existência de um mecanismo
de transmissão do endividamento privado para o público. Por fim, concluí que as relações
estudadas são variegadas, não havendo provas tão claras sobre a mudança dos regimes,
conforme defende a literatura. De todo modo, foi verificada uma intensificação da
causalidade no período da crise financeira e início da crise do euro, o que indica uma
demarcação mais intensa dos regimes na primeira metade da amostra.
This dissertation presents an empirical analysis of the relationship between different demand and growth regimes manifested through the indebtedness of the productive sectors of Southern European countries and the inflow of capital from surplus countries, as advocated by the post-Keynesian literature. It is of interest to examine whether there is a destabilizing relationship between the regimes and to understand their interaction. Furthermore, it seeks to clarify whether the relations studied are unilateral or bilateral, the direction of causality, and to study a possible regime change experienced by Southern countries after the international financial crisis. The paper makes use of two methodological approaches to analyse the relationship of interest through Granger causality test applied to a lag augmented VAR (LA-VAR) for Greece, Spain, Italy and Portugal: a full sample analysis followed by the study of the time variation of Granger causality. Evidence was found to support the post-Keynesian theory of demand regimes and instability in the Eurozone. I found evidence favourable to the hypothesis of instability resulting from the interaction between the regimes. In all cases, I found unidirectional causality between private debt and capital inflows. Also, cross-sectionally, no relationship was found between public indebtedness and capital inflows. The results also support the existence of a transmission mechanism from private to public indebtedness. Finally, I conclude that the relationships studied are variegated, and there is not such clear evidence on regime shifting as argued in the literature. In any case, an intensification of causality was verified in the period of the financial crisis and beginning of the euro crisis, indicating a more intense demarcation of the regimes in the first half of the sample.
This dissertation presents an empirical analysis of the relationship between different demand and growth regimes manifested through the indebtedness of the productive sectors of Southern European countries and the inflow of capital from surplus countries, as advocated by the post-Keynesian literature. It is of interest to examine whether there is a destabilizing relationship between the regimes and to understand their interaction. Furthermore, it seeks to clarify whether the relations studied are unilateral or bilateral, the direction of causality, and to study a possible regime change experienced by Southern countries after the international financial crisis. The paper makes use of two methodological approaches to analyse the relationship of interest through Granger causality test applied to a lag augmented VAR (LA-VAR) for Greece, Spain, Italy and Portugal: a full sample analysis followed by the study of the time variation of Granger causality. Evidence was found to support the post-Keynesian theory of demand regimes and instability in the Eurozone. I found evidence favourable to the hypothesis of instability resulting from the interaction between the regimes. In all cases, I found unidirectional causality between private debt and capital inflows. Also, cross-sectionally, no relationship was found between public indebtedness and capital inflows. The results also support the existence of a transmission mechanism from private to public indebtedness. Finally, I conclude that the relationships studied are variegated, and there is not such clear evidence on regime shifting as argued in the literature. In any case, an intensification of causality was verified in the period of the financial crisis and beginning of the euro crisis, indicating a more intense demarcation of the regimes in the first half of the sample.
Descrição
Mestrado Bolonha em Economia Internacional e Estudos Europeus
Palavras-chave
Regimes de Demanda e Crescimento Financeirização Zona do Euro Causalidade de Granger Endividamento Demand and Growth Regimes Financialization Eurozone Granger Causality Indebtedness Lag-augmented Vector Autoregression
Contexto Educativo
Citação
Monteiro, Leandro Pereira (2022). “Regimes de demanda e instabilidade na UEM : uma análise pós-keynesiana do endividamento nas economias do sul”. Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão
Editora
Instituto Superior de Economia e Gestão