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Assimetric Response of BACEN in respect to asset
market developments
Bruno Tadeu (UFPB), Klebson Moura (PIMES-UFPE) Edilean (UFPB
Table 1: Estimation results : ivreg2 gmm equation 3
Variable Coefficient
(Std. Err.)
hiato_inf_corr 0.127**
hiato_hp 0.068**
selic_lag1 0.979**
Intercept 0.
N 148
R
F (3,.) 2698.
Significance levels : † : 10% ∗ : 5% ∗∗ : 1%
Underidentification test (Kleibergen-Paap rk LM statistic): 10. Chi-sq(4) P-val = 0.
Weak identification test (Cragg-Donald Wald F statistic): 31. (Kleibergen-Paap rk Wald F statistic): 45. Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13. 10% maximal IV relative bias 8. 20% maximal IV relative bias 5. 30% maximal IV relative bias 4. 10% maximal IV size 19. 15% maximal IV size 11. 20% maximal IV size 8. 25% maximal IV size 6. Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
Hansen J statistic (overidentification test of all instruments): 4. Chi-sq(3) P-val = 0.
Instrumented: hiato_inf_corr hiato_hp Included instruments: selic_lag Excluded instruments: hiato_inf_corr_lag1 hiato_inf_corr_lag2 hiato_hp_lag hiato_hp_lag3 selic_anual_lag
Table 2: Estimation results : ivreg2 gmm equation 4
Variable Coefficient
(Std. Err.)
hiato_inf_corr -0.
hiato_hp 0.156**
hiatoibovespa -0.038**
selic_lag1 0.986**
Intercept 0.
N 148
R
F (^) (4,.) 1365.
Significance levels : † : 10% ∗ : 5% ∗∗ : 1%
Underidentification test (Kleibergen-Paap rk LM statistic): 11. Chi-sq(5) P-val = 0.
Weak identification test (Cragg-Donald Wald F statistic): 10. (Kleibergen-Paap rk Wald F statistic): 11. Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13. 10% maximal IV relative bias 8. 20% maximal IV relative bias 5. 30% maximal IV relative bias 4. Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
Hansen J statistic (overidentification test of all instruments): 6. Chi-sq(4) P-val = 0.
Instrumented: hiato_inf_corr hiato_hp hiatoibovespa Included instruments: selic_lag Excluded instruments: hiato_inf_corr_lag1 hiato_inf_corr_lag hiato_inf_corr_lag3 hiato_hp_lag2 hiatoibovespa_lag hiatoibovespa_lag3 selic_anual_lag
Underidentification test (Kleibergen-Paap rk LM statistic): 15. Chi-sq(5) P-val = 0.
Weak identification test (Cragg-Donald Wald F statistic): 11. (Kleibergen-Paap rk Wald F statistic): 22. Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13. 10% maximal IV relative bias 8. 20% maximal IV relative bias 5. 30% maximal IV relative bias 4. Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
Hansen J statistic (overidentification test of all instruments): 6. Chi-sq(4) P-val = 0.
Instrumented: hiato_inf_corr hiato_hp hiatoibovespa Included instruments: dt_hiatobovespa selic_lag Excluded instruments: hiato_inf_corr_lag1 hiato_inf_corr_lag2 hiato_hp_lag hiato_hp_lag3 hiatoibovespa_lag1 hiatoibovespa_lag selic_anual_lag
1 Rotina utilizada
*********************** TRATAMENTO^ DAS VARIÃVEIS^ *********************************************
egen t=seq(), f(1) t(151) gen time= tm(2002m01) + t - 1 format time %tm tsset time, m
**** Criação^ dos^ Instrumentos^ Defasados^ ****
gen hiato_inf_corr_lag1 = hiato_inf_corr[_n-1] gen hiato_inf_corr_lag2 = hiato_inf_corr[_n-2] gen hiato_inf_corr_lag3 = hiato_inf_corr[_n-3] gen hiato_inf_corr_lag4 = hiato_inf_corr[_n-4] gen hiato_inf_corr_lag5 = hiato_inf_corr[_n-5] gen hiato_inf_corr_lag6 = hiato_inf_corr[_n-6] gen hiato_inf_corr_lag7 = hiato_inf_corr[_n-7] gen hiato_inf_corr_lag8 = hiato_inf_corr[_n-8] gen hiato_inf_corr_lag9 = hiato_inf_corr[_n-9] gen hiato_inf_corr_lag10 = hiato_inf_corr[_n-10] gen hiato_inf_corr_lag11 = hiato_inf_corr[_n-11] gen hiato_inf_corr_lag12 = hiato_inf_corr[_n-12]
gen hiato_hp_lag1 = hiato_hp[_n-1] gen hiato_hp_lag2 = hiato_hp[_n-2] gen hiato_hp_lag3 = hiato_hp[_n-3] gen hiato_hp_lag4 = hiato_hp[_n-4] gen hiato_hp_lag5 = hiato_hp[_n-5] gen hiato_hp_lag6 = hiato_hp[_n-6] gen hiato_hp_lag7 = hiato_hp[_n-7] gen hiato_hp_lag8 = hiato_hp[_n-8] gen hiato_hp_lag9 = hiato_hp[_n-9] gen hiato_hp_lag10 = hiato_hp[_n-10] gen hiato_hp_lag11 = hiato_hp[_n-11] gen hiato_hp_lag12 = hiato_hp[_n-12]
gen hiatoibovespa_lag1 = hiatoibovespa[_n-1] gen hiatoibovespa_lag2 = hiatoibovespa[_n-2]
gen hiatoibovespa_lag3 = hiatoibovespa[_n-3] gen hiatoibovespa_lag4 = hiatoibovespa[_n-4] gen hiatoibovespa_lag5 = hiatoibovespa[_n-5] gen hiatoibovespa_lag6 = hiatoibovespa[_n-6] gen hiatoibovespa_lag7 = hiatoibovespa[_n-7] gen hiatoibovespa_lag8 = hiatoibovespa[_n-8] gen hiatoibovespa_lag9 = hiatoibovespa[_n-9] gen hiatoibovespa_lag10 = hiatoibovespa[_n-10] gen hiatoibovespa_lag11 = hiatoibovespa[_n-11] gen hiatoibovespa_lag12 = hiatoibovespa[_n-12]
gen selic_anual_lag2 = selic_anual[_n-2] gen selic_anual_lag3 = selic_anual[_n-3] gen selic_anual_lag4 = selic_anual[_n-4] gen selic_anual_lag5 = selic_anual[_n-5] gen selic_anual_lag6 = selic_anual[_n-6] gen selic_anual_lag7 = selic_anual[_n-7] gen selic_anual_lag8 = selic_anual[_n-8] gen selic_anual_lag9 = selic_anual[_n-9] gen selic_anual_lag10 = selic_anual[_n-10] gen selic_anual_lag11 = selic_anual[_n-11] gen selic_anual_lag12 = selic_anual[_n-12]
- Taxa^ de^ juros^ defasada^ usada^ nas^ equaçÃμes^ ∗
gen selic_lag1 = selic_anual[_n-1]
- Dummy^ de^ avaliação^ de^ simetria^ (necessária^ para^ a^ estimação^ da^ equação^ 5)
gen dt = 1 replace dt = 0 if hiatoibovespa > 0
gen dt_hiatobovespa = dt*hiatoibovespa
***************************** EstimaçÃμes^ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗ ∗
*********** Equação^3 *******************
* MQO *
reg selic_anual hiato_inf_corr hiato_hp selic_lag1, ro
Teste^ de^ DHW^ de^ endogeneidade^ para^ Inflação reg ipca_acum hiato_hp selic_lag1, ro predict ipca_acum_res, res reg selic_anual hiato_hp selic_lag1 ipca_acum_res test ipca_acum_res
Teste^ de^ DHW^ de^ endogeneidade^ para^ Hiato^ do^ PIB reg hiato_hp ipca_acum selic_lag1, ro predict hiato_hp_res, res reg selic_anual ipca_acum selic_lag1 hiato_hp_res test hiato_hp_res
* IV^ (GMM)^ *
ivreg2 selic_anual selic_lag1 ( hiato_inf_corr hiato_hp = hiato_inf_corr_lag1 hiato_inf_corr_lag hiato_hp_lag2 hiato_hp_lag3 selic_anual_lag2), gmm2s robust bw(5)
****************** Equação^4 **********************
