Dynamics and transition of uncertainty in Brazil: a quantile autoregression investigation

Authors

DOI:

https://doi.org/10.1590/0101-41614924mus

Keywords:

Uncertainty, Quantile regression, Asymmetry

Abstract

Recently, the number of studies about economic uncertainty has increased, in part due to the new techniques that allow the construction of appropriate proxies for uncertainty, fundamentally unobservable, specially the web-scrapping technique that allows to extract updated online information, and which has been frequently used in the construction of these indicators. Based on two of this uncertainty indicators, we investigate the dynamics and transition of uncertainty in Brazil using quantitative autoregressive representations. The results reveal asymmetric dynamic along different conditional quantiles, corroborated by the analysis of dispersion, amplitude and densities. Furthermore, it is suggested that there is a low or even null probability of migration from a high uncertainty condition to a low level and vice versa.

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Author Biographies

  • Michel Cândido de Souza, Federal University from Jequitinhonha and Mucuri's Valleys

    Atualmente é Doutorando em Economia (CEDEPLAR/UFMG) pela Universidade Federal de Minas Gerais e Professor Assistente do Departamento de Ciências Econômicas (DECE) da Universidade Federal dos Vales do Jequitinhonha e Mucuri - UFVJM. 

  • Udilmar Zabot, Mato Grosso State University

    Mestre em Economia Professor no Departamento de Economia Universidade do Estado de Mato Grosso-FACISA/UNEMAT

  • Sidney Martins Caetano, Universidade Federal de Juiz de Fora

    Doutor em Economia. Professor Associado no Departamento de Economia, Universidade Federal de Juiz de Fora - UFJF - Bolsista de Produtividade em Pesquisa do CNPq

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Published

25-06-2019

Issue

Vol. 49 No. 2 (2019)

Section

Articles

License

Copyright (c) 2019 Michel Cândido de Souza, Udilmar Zabot, Sidney Martins Caetano

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

By submitting an article, the author authorizes its publication and attests that it has not been submitted to any other journal. The original article is considered final. Articles selected for publication are proofread for grammatical and orthographic errors. The journal does not pay rights for published articles. The Institute of Economic Research from the School of Economics, Business and Accounting of the University of São Paulo (Instituto de Pesquisas Econômicas da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo) owns the journal's copyright.

How to Cite

Souza, M. C. de, Zabot, U., & Caetano, S. M. (2019). Dynamics and transition of uncertainty in Brazil: a quantile autoregression investigation. Estudos Econômicos (São Paulo), 49(2), 305-335. https://doi.org/10.1590/0101-41614924mus