Teixeira, Diego Nunes; Tiryaki, Gisele Ferreira; Drummond, Carlos Eduardo Iwai

doi:10.1590/0101-41615015dgc

Diego Nunes Teixeira

Pesquisador − Universidade Federal da Bahia (UFB) Endereço: Praça da Piedade, 06 − Salvador/BA − Brasil − CEP: 40070-010. E-mail: diegont2@yahoo.com.br

https://orcid.org/0000-0002-9945-7902

Gisele Ferreira Tiryaki

Professora − Universidade Federal da Bahia (UFB) Endereço: Praça da Piedade, 06 − Salvador/BA − Brasil − CEP: 40070-010. E-mail: gtiryaki@ufba.br

https://orcid.org/0000-0002-2608-5378

Carlos Eduardo Iwai Drummond

Professor − Universidade Estadual de Santa Cruz − Campus Soane Nazaré de Andrade Rodovia Jorge Amado, km 16 − Salobrinho − Brasil − CEP: 90040-000. E-mail: ceidrumond@uesc.br

https://orcid.org/0000-0002-2865-1804

Editor Responsável: Dante Mendes Aldrighi

	Coeficiente	Desvio-padrão	z	P > \| z \|	[95% Interval, Conf.]
L1.	0,134	0,081	1,66	0,097	-0,024	0,293
L2.	0,347	0,119	2,92	0,003	0,114	0,580
D.PJSELIC	1,154	0,165	6,99	0,000	0,831	1,478
D.PFSELIC	1,722	0,264	6,52	0,000	1,204	2,239
D.BOVPIB	-0,002	0,002	-1,43	0,152	-0,005	0,001
D.CHQSELIC	2,075	0,421	4,93	0,000	1,251	2,899
D.PROVPUB	0,050	0,054	0,93	0,353	-0,055	0,155
D.PROVPRIV	0,047	0,027	1,76	0,079	-0,005	0,099
D.CREDPRIV	0,001	0,0004	1,51	0,130	-0,0002	0,001
D.PRIVY	-0,001	0,0004	-2,51	0,012	-0,002	-0,0002
D.M1PIB	-0,0001	0,0001	-1,58	0,115	-0,0003	0,00003
Variância:
De.PJSELIC	4,159	0,437	9,51	0,000	3,302	5,016
De.PFSELIC	2,428	0,770	3,15	0,001	0,919	3,937
De.BOVPIB	0,001	0,00005	11,6	0,000	0,0005	0,001
De.CHQSELIC	35,201	3,288	10,7	0,000	28,757	41,646
De.PROVPUB	0,458	0,040	11,6	0,000	0,380	0,536
De.PROVPRIV	0,136	0,012	11,5	0,000	0,113	0,160
De.CREDPRIV	0,00003	2,71E-06	11,5	0,000	0,00003	0,00004
De.PRIVY	0,00002	2,12E-06	11,4	0,000	0,00002	0,00003
De.M1PIB	1,27E-06	1,10E-07	11,5	0,000	0,000001	0,000001

Modelo 1					Modelo 2					Modelo 3
	FPE	AIC	SC	HQ		FPE	AIC	SC	HQ		FPE	AIC	SC	HQ
0	5,900E-22	-31,854	-31,766	-31,818	0	3,25E-22	-32,452	-32,344	-32,408	0	3,32E-23	-34,733	-34,644	-34,697
1	4,530E-26	-41,328	-40,710	-41,079	1	2,11E-25	-39,792	-39,033	-39,484	1	1,64E-27	-44,648	-44,029	-44,398
2	1,89e-26*	-42,202*	-41,054*	41,739*	2	1,05e-25*	-40,494*	-39,084*	-39,922*	2	5,33E-28	-45,772	-44,623*	-45,309*
3	2,140E-26	-42,080	-40,402	-41,404	3	1,15E-25	-40,406	-38,344	-39,570	3	5,20E-28	-45,799	-44,121	-45,123
4	2,070E-26	-42,118	-39,910	-41,228	4	1,14E-25	-40,416	-37,703	-39,316	4	4,55e-28*	-45,935*	-43,726	-45,044
5	2,210E-26	-42,056	-39,318	-40,952	5	1,32E-25	-40,286	-36,922	-38,921	5	5,08E-28	-45,829	-43,091	-44,726
Modelo 4					Modelo 5
	FPE	AIC	SC	HQ		FPE	AIC	SC	HQ
0	9,16E-20	-26,810	-26,722	-26,774	0	3,54E-19	-25,457	-25,369	-25,421
1	1,95E-24	-37,565	-36,947	-37,316	1	1,58E-22	-33,171	-32,551	-32,921
2	7,92E-25	-38,468	-37,320*	-38,005*	2	6,59e-23*	-34,048	-32,896*	-33,584*
3	8,29E-25	-38,425	-36,747	-37,748	3	7,38E-23	-33,935	-32,252	-33,257
4	8,59E-25	-38,392	-36,183	-37,501	4	7,22E-23	-33,961	-31,746	-33,067
5	9,33E-25	-38,314	-35,576	-37,210	5	8,58E-23	-33,793	-31,046	-32,685
6	1,00E-24	-38,248	-34,980	-36,931	6	9,36E-23	-33,712	-30,434	-32,390
7	1,03E-24	-38,228	-34,430	-36,697	7	1,02E-22	-33,630	-29,821	-32,094
8	6,73E-25	-38,668	-34,339	-36,923	8	7,66E-23	-33,934	-29,593	-32,184
9	6,59E-25	-38,706	-33,847	-36,747	9	7,35E-23	-33,992	-29,119	-32,027
10	6,36E-25	-38,760	-33,372	-36,588	10	7,98E-23	-33,930	-28,525	-31,751
11	6,85E-25	-38,711	-32,793	-36,325	11	8,73E-23	-33,864	-27,928	-31,471
12	5,76e-25*	-38,913*	-32,465	-36,314	12	7,42E-23	-34,057*	-27,590	-31,450

Modelo 1			Modelo 2			Modelo 3			Modelo 4			Modelo 5
p = 2			p = 2			p = 4			p = 2			p = 4
	LM-Stat	Prob		LM-Stat	Prob		LM-Stat	Prob		LM-Stat	Prob		LM-Stat	Prob
1	52,112	0,040	1	48,202	0,084	1	50,757	0,052	1	43,370	0,186	1	24,554	0,926
2	48,150	0,085	2	47,431	0,096	2	40,581	0,276	2	42,090	0,224	2	44,367	0,160
3	38,428	0,360	3	42,861	0,201	3	35,402	0,497	3	30,163	0,742	3	35,974	0,470
4	48,355	0,082	4	54,530	0,025	4	41,155	0,255	4	50,012	0,060	4	31,247	0,694
5	44,261	0,162	5	29,378	0,775	5	27,715	0,837	5	34,924	0,520	5	24,136	0,934
6	29,994	0,749	6	43,601	0,180	6	34,302	0,550	6	54,814	0,023	6	52,975	0,034
7	32,540	0,634	7	31,064	0,702	7	32,086	0,655	7	38,020	0,378	7	34,209	0,554
8	45,978	0,123	8	35,211	0,506	8	44,263	0,162	8	136,231	0,000	8	131,299	0,000
9	36,484	0,446	9	60,370	0,007	9	28,810	0,797	9	54,357	0,025	9	30,415	0,731
10	32,725	0,625	10	34,424	0,544	10	27,406	0,848	10	42,407	0,214	10	32,327	0,644
11	41,202	0,254	11	31,015	0,705	11	39,763	0,306	11	60,520	0,006	11	61,732	0,005
12	149,910	0,000	12	89,904	0,000	12	108,228	0,000	12	139,138	0,000	12	88,389	0,000
n	243		n	185		n	243		n	245		n	242

Modelo 1 - CYCPIB
Mês	S.E.	FATOR	CYCGOV	CYCCAMBIO	CYCSOLOW	CYCIPCA	CYCPIB
1	0,003	0,001	0,217	3,595	0,496	60,327	35,364
6	0,009	0,117	4,299	47,415	0,667	22,833	24,669
12	0,013	0,104	4,805	62,410	2,127	14,681	15,873
18	0,014	0,148	5,262	61,819	2,273	15,104	15,393
24	0,014	0,154	5,284	61,689	2,314	15,133	15,426
Modelo 2 - CYCIBC
Mês	S.E.	FATOR	CYCGOV	CYCCAMBIO	CYCSOLOW	CYCIPCA	CYCIBC
1	0,002	3,984	0,243	0,000	1,586	1,427	92,760
6	0,003	13,764	1,002	7,350	1,186	2,998	73,700
12	0,004	13,874	1,446	13,445	1,095	12,167	57,973
18	0,004	13,287	1,612	14,924	1,080	13,417	55,680
24	0,004	13,255	1,814	14,887	1,077	13,379	55,587
Modelo 3 - CYCIND
Mês	S.E.	FATOR	CYCGOV	CYCCAMBIO	CYCSOLOW	CYCIPCA	CYCIND
1	0,002	0,000	0,470	2,858	0,000	0,000	96,673
6	0,003	0,007	0,449	12,999	0,360	0,545	85,640
12	0,003	0,003	0,217	38,406	0,644	0,342	60,388
18	0,004	0,013	0,168	50,129	0,554	0,651	48,486
24	0,004	0,052	0,154	47,635	0,655	0,644	50,861
Modelo 4 - HAMPIB
Mês	S.E.	FATOR	CYCGOV	HAMCAMBIO	HAMSOLOW	HAMIPCA	HAMPIB
1	0,002	0,121	0,962	0,737	0,006	39,916	58,259
6	0,003	4,081	1,938	31,282	0,481	27,745	34,474
12	0,003	4,359	1,354	45,899	4,365	14,629	29,394
18	0,003	4,137	1,295	42,436	6,859	13,722	31,551
24	0,003	3,969	1,678	40,497	7,578	13,546	32,732
Modelo 5 - HAMIND
Mês	S.E.	FATOR	CYCGOV	HAMCAMBIO	HAMSOLOW	HAMIPCA	HAMIND
1	0,002	3,310	0,657	0,994	0,000	0,000	95,038
6	0,003	14,420	2,039	8,937	0,384	0,596	73,624
12	0,004	18,584	2,249	14,323	0,461	0,725	63,659
18	0,004	18,382	2,248	14,516	0,490	1,436	62,929
24	0,004	18,399	2,243	14,599	0,492	1,619	62,648

	ADF		ADF-GLS		KPSS
	H0: A variável possui raiz unitária		H0: A variável possui raiz unitária		H0: A variável é estacionária
	Nível	1as Dif,	Nível	1as Dif,	Nível	1as Dif,
VARIÁVEL: BOVPIB
Constante	-1,873	-15,977***	-0,728	-14,839***	1,074	0,084
Constante e Tendência	-1,896	-15,968***	-1,796	-15,534***	0,352	0,045
VARIÁVEL: CHQSELIC
Constante	-1,397	-2,877**	-1,612	-2,582***	1,067	0,548
Constante e Tendência	-2,112	-2,846	-1,747	-2,949**	0,368	0,063
VARIÁVEL: PJSELIC
Constante	-3,422**	-	0,437	-0,631	1,561	0,198
Constante e Tendência	-4,125***	-	-1,359	-1,631	0,305	0,078
VARIÁVEL: PFSELIC
Constante	-4,658***	-	0,785	-0,292	1,808	0,474
Constante e Tendência	-4,193***	-	-0,408	-1,405	0,374	0,071
VARIÁVEL: PROVPRIV
Constante	-5,931***	-	-0,464	-2,136**	0,221	-
Constante e Tendência	-6,101***	-	-1,625	-4,077***	0,221	0,065
VARIÁVEL: PROVPUB
Constante	-1,551	-17,049***	-1,557	-5,990***	1,608	0,079
Constante e Tendência	-2,982	-17,021***	-1,882	-16,836***	0,179	-
VARIÁVEL: M1PIB
Constante	-3,310**	-	0,029	-2,571**	0,922	0,585
Constante e Tendência	-2,233	-17,875***	-0,407	-3,730***	0,496	0,048
VARIÁVEL: CREDTOT
Constante	-2,425	-16,706***	-0,050	-6,720***	0,688	-
Constante e Tendência	-1,609	-17,040***	-0,469	-15,680***	0,446	0,091
VARIÁVEL: PRIVY
Constante	-0,210	-14,793***	0,519	-13,130***	1,878	0,467
Constante e Tendência	-1,417	-14,777***	-0,665	-14,408***	0,298	0,438

FATOR
Mês	S.E.	FATOR	CYCGOV	CYCCAMBIO	CYCSOLOW	CYCIPCA	CYCPIB
1	0,017	0,024	0,538	5,685	0,352	57,197	36,204
6	0,080	34,831	2,865	3,645	2,339	28,453	27,867
12	0,088	62,262	4,194	2,121	1,659	15,795	13,969
18	0,092	60,551	3,947	2,282	4,453	15,848	12,919
24	0,093	59,766	4,103	2,293	5,641	15,634	12,563
CYCGOV
Mês	S.E.	FATOR	CYCGOV	CYCCAMBIO	CYCSOLOW	CYCIPCA	CYCPIB
1	0,021	0,000	100,000	0,000	0,000	0,000	0,000
6	0,084	0,041	96,651	0,665	0,606	0,789	1,248
12	0,090	0,035	93,068	0,620	1,137	3,307	1,832
18	0,091	0,035	91,853	0,620	1,290	4,293	1,908
24	0,091	0,035	91,734	0,665	1,295	4,365	1,906
CYCCAMBIO
Mês	S.E.	FATOR	CYCGOV	CYCCAMBIO	CYCSOLOW	CYCIPCA	CYCPIB
1	0,243	0,000	0,169	99,831	0,000	0,000	0,000
6	0,281	0,286	0,106	93,328	0,925	4,766	0,590
12	0,289	0,450	0,373	90,293	1,289	6,797	0,799
18	0,292	0,445	0,378	89,253	1,482	7,239	1,202
24	0,292	0,444	0,377	88,988	1,527	7,411	1,253
CYCSOLOW
Mês	S.E.	FATOR	CYCGOV	CYCCAMBIO	CYCSOLOW	CYCIPCA	CYCPIB
1	0,004	0,248	0,182	0,181	99,389	0,000	0,000
6	0,004	0,604	0,284	0,344	89,929	4,669	4,171
12	0,004	0,652	0,325	0,693	88,020	5,330	4,979
18	0,004	0,662	0,325	0,768	87,456	5,683	5,107
24	0,004	0,661	0,329	0,818	87,345	5,738	5,109
CYCIPCA
Mês	S.E.	FATOR	CYCGOV	CYCCAMBIO	CYCSOLOW	CYCIPCA	CYCPIB
1	0,003	0,072	0,051	2,014	4,413	93,450	0,000
6	0,009	0,844	0,731	35,263	5,258	56,815	1,088
12	0,011	1,012	2,706	49,612	3,891	41,934	0,845
18	0,011	1,047	3,626	49,273	3,846	41,348	0,859
24	0,011	1,044	3,744	49,229	3,852	41,243	0,888

Modelo 1			Modelo 2			Modelo 3
Variável	χ²	Prob	Variável	χ²	Prob	Variável	χ²	Prob
CYCGOV	4,923	0,896	CYCGOV	6,720	0,752	CYCGOV	18,068	0,583
CYCCAMBIO	9,905	0,449	CYCSOLOW	13,724	0,186	CYCCAMBIO	26,309	0,156
FATOR	22,202	0,014	FATOR	26,997	0,003	CYCIND	30,765	0,058
CYCSOLOW	27,642	0,002	CYCIPCA	27,928	0,002	CYCSOLOW	34,838	0,021
CYCIPCA	46,356	0,000	CYCIBC	34,760	0,000	FATOR	33,836	0,027
CYCPIB	71,521	0,000	CYCCAMBIO	40,817	0,000	CYCIPCA	66,786	0,000
Modelo 4			Modelo 5
Variável	χ²	Prob	Variável	χ²	Prob
CYCGOV	5,404	0,863	CYCGOV	14,652	0,796
HAMCAMBIO	7,232	0,703	FATOR	15,948	0,720
FATOR	15,020	0,131	HAMCAMBIO	18,080	0,582
HAMSOLOW	16,203	0,094	HAMIND	24,233	0,232
HAMIPCA	39,485	0,000	HAMSOLOW	31,799	0,046
HAMPIB	58,910	0,000	HAMIPCA	69,421	0,000

Brasil

Brasil

Fragilidade Financeira e Volatilidade dos Ciclos Econômicos no Brasil Pós-Plano Real

Abstract