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Master's Dissertation
DOI
10.11606/D.12.2012.tde-30012013-200904
Document
Author
Full name
Anna Olimpia de Moura Leite
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2012
Supervisor
Committee
Duarte, Pedro Garcia (President)
Libânio, Gilberto de Assis
Lima, Gilberto Tadeu
Title in Portuguese
Endogeneidade da taxa natural de crescimento
Keywords in Portuguese
Econometria
Economia keynesiana
Macroeconomia
Taxa natural de crescimento
Abstract in Portuguese
De acordo com León-Ledesma and Thirlwall (2002), o presente trabalho se propõe a testar a endogeneidade da taxa natural de crescimento para um conjunto amplo de países, no sentido do crescimento de longo prazo ser determinado pela demanda. Econometricamente, a principal hipótese a ser testada é a presença de não linearidade na Lei de Okun, que implica na existência de duas taxas naturais, cada uma correspondendo a um regime de crescimento. Utilizando dados anuais para o período de 1980 a 2007 e dados trimestrais para o intervalo entre 1980 e 2011, os resultados corroboram a hipótese de endogeneidade quando aplicada a metodologia proposta por LLT. Esta evidência se repete ao definir exogenamente os regimes de crescimento pelos métodos de Markov-Switching e threshold autoregressive regression (TAR) para os dados anuais, no entanto, para os dados trimestrais há indicações de endogeneidade e exogeneidade da taxa natural de crescimento.
Title in English
Endogeneity of the natural rate of growth
Keywords in English
Econometrics
Keynesian economics
Macroeconomics
Natural growth rate
Abstract in English
Following León-Ledesma and Thirlwall (2002), this master's thesis aims to examine the sensitivity of the natural growth rate to the actual growth rate for a broad set of countries, based on demand-led growth theory. The main hypothesis being tested is the presence of non-linearities in Okun's Law, which means the existence of two natural growth rates, each corresponding to a growth regime. Using annual data over the period 1980-2007 and quarterly data over the period 1980-2011, the results support the idea that natural growth rate is dependent of the actual growth rate when applying LLT's methodology. This evidence repeats when establishing exogenously the regimes of growth by using Markov-Switching and threshold autoregressive regression (TAR) for the annual data, however for quarterly data this is less straightforward, having indication of endogenous and exogenous natural growth rate.
 
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Publishing Date
2013-02-05
 
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