The impact of uncertainty on business cycles in Brazil<sup>♦</sup>

Descriptive Statistics EMBI VIX VOLB3 DY_1 DY_2 VOLGY VOLINF VOLTFP WUI EPU IIEBR IIEMID IIEEXP Obs 341 341 341 338 338 341 341 340 317 341 281 281 257 Mean 25.439 20.193 26.020 -0.002 -0.001 0.007 0.259 0.004 4.803 4.786 4.655 4.645 4.685 Std. Dev. 36.856 7.896 15.433 0.057 0.034 0.015 0.168 0.004 0.505 0.624 0.144 0.128 0.200 Pairwise Correlations EMBI VIX VOLB3 DY_1 DY_2 VOLGY VOLINF VOLTFP WUI EPU IIEBR IIEMID IIEEXP EMBI 1.000 VIX 0.390 1.000 VOLB3 0.475 0.619 1.000 DY_1 0.543 0.321 0.429 1.000 DY_2 0.487 0.470 0.513 0.367 1.000 VOLGY 0.203 -0.161 -0.146 0.122 -0.211 1.000 VOLINF 0.278 0.086 -0.038 0.106 0.135 0.346 1.000 VOLTFP 0.172 -0.143 -0.117 0.133 -0.177 0.954 0.309 1.000 WUI -0.125 0.188 -0.087 -0.062 -0.161 0.160 0.120 -0.282 1.000 EPU -0.100 0.125 0.141 -0.042 -0.018 -0.329 -0.151 -0.379 0.607 1.000 IIEBR 0.133 0.385 0.158 0.116 0.325 0.225 0.243 -0.055 0.723 0.556 1.000 IIEMID 0.012 0.335 0.160 0.094 0.228 0.179 0.146 -0.094 0.740 0.621 0.963 1.000 IIEEXP 0.373 0.459 0.176 0.196 0.613 0.327 0.506 0.123 0.478 0.219 0.811 0.618 1.000

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y ˜ P I B y ˜ I N D y ˜ I B C y ˜ E M P UNCERT CFWUI CFIIEBR CFIIEEXP CFIIEMID g ˜ r ˜ s ˜ q ˜ j ˜ Obs 341 341 245 341 338 317 281 257 281 341 341 341 329 340 Mean 0.003 -0.001 -0.0002 0.0001 0.209 4.803 -0.001 0.005 0.000 -0.004 0.083 -0.098 0.002 0.035 Std. Dev. 0.026 0.032 0.020 0.020 0.956 0.505 0.081 0.135 0.065 0.055 4.227 5.496 0.135 0.019 Pairwise Correlations y ˜ P I B y ˜ I N D y ˜ I B C y ˜ E M P UNCERT CFWUI CFIIEBR CFIIEEXP CFIIEMID g ˜ r ˜ s ˜ q ˜ j ˜ y ˜ P I B 1.000 y ˜ I N D 0.062 1.000 y ˜ I B C 0.572 0.937 1.000 y ˜ E M P 0.259 0.154 0.395 1.000 UNCERT -0.019 -0.218 -0.334 -0.133 1.000 CFWUI 0.063 -0.153 -0.099 0.030 -0.068 1.000 CFIIEBR -0.290 -0.735 -0.831 -0.486 0.431 0.182 1.000 CFIIEEXP -0.286 -0.418 -0.538 -0.404 0.451 0.115 0.838 1.000 CFIIEMID -0.290 -0.806 -0.876 -0.494 0.412 0.163 0.943 0.624 1.000 g ˜ -0.484 0.172 -0.146 -0.743 0.159 -0.050 0.433 0.520 0.350 1.000 r ˜ -0.295 -0.402 -0.291 0.069 0.281 0.118 0.251 0.059 0.262 -0.031 1.000 s ˜ -0.413 -0.425 -0.503 -0.134 0.282 0.066 0.519 0.319 0.510 0.165 0.893 1.000 q ˜ 0.240 0.786 0.717 -0.020 -0.302 -0.161 -0.625 -0.352 -0.647 0.044 -0.559 -0.571 1.000 j ˜ -0.491 -0.448 -0.659 -0.250 0.151 0.074 0.707 0.650 0.633 0.230 0.336 0.552 -0.461 1.000 Note: Detrended data obtained with the CF filter (results obtained with other filters are available upon request).

Factor Estimation			AR Terms - Observable Variables
	Coefficient	p-value	Dep. Var.	Exp. Var.	Coefficient	p-value
Factor_t-1	0.709***	0.000	-	-	-	-
Factor_t-2	0.024	0.750	-	-	-	-
embi	14.969***	0.000	e.embi	(e.embi) _t-1	0.792***	0.000
dy_1	0.023***	0.000	e.dy_1	(e.dy_1) _t-1	-0.077	0.241
dy_2	0.004***	0.000	e.dy_2	(e.dy_2) _t-1	0.950***	0.000
volb3	10.077***	0.000	e.volb3	(e.volb3) _t-1	0.947***	0.000
vix	2.726***	0.000	e.vix	(e.vix) _t-1	0.987***	0.000
volinf	-0.005	0.519	e.volinf	(e.volinf) _t-1	0.927***	0.000
volgy	-0.00004	0.628	e.volgy	(e.volgy) _t-1	1.000***	0.000
voltfp	0.00003	0.460	e.voltfp	(e.voltfp) _t-1	1.000***	0.000
epu	0.104***	0.000	e.epu	(e.epu) _t-1	0.995***	0.000
Obs.	338	Wald p-value		0.000

Period	Events
Mar/95 - Jul/96	Mexico currency crisis; fiscal imbalances in Brazil
Jun/97 - Aug/99	Financial crisis in East Asia and Russia; end of the exchange rate targeting regime in Brazil
Jan/00 - May/03	NASDAQ bubble burst; September 11th terrorist attacks; Crisis in Argentina; Lula’s first term election
Mar/05 - May/05	Political crisis (“Mensalão”)
Jul/08 - Feb/09	Great recession
Sep/11 - Dec/11	Downgrade of the USA sovereign debt, debt crisis in Europe
Oct/14 - Aug/16*	Political crisis (“Lava-Jato”), energy price shocks, and impeachment of Dilma Rousseff
Mar/00 - Aug/00	Covid

	${\tilde{y}}_{t} = {\tilde{y}}_{G D P}$			${\tilde{y}}_{t} = {\tilde{y}}_{I N D}$		${\tilde{y}}_{t} = {\tilde{y}}_{I B C}$		${\tilde{y}}_{t} = {\tilde{y}}_{E M P}$
	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
	GMM2S	CUE	GMM2S	CUE	GMM2S	CUE	GMM2S	CUE
${\tilde{y}}_{t - 1}$	0.942***	0.975***	0.907***	0.857***	0.914***	0.919***	0.958***	0.842***
	(0.010)	(0.064)	(0.024)	(0.089)	(0.025)	(0.040)	(0.030)	(0.040)
UNCERT	-0.00004	-0.001	-0.002***	-0.018***	-0.002***	-0.009***	-0.001**	-0.007***
	(0.0002)	(0.001)	(0.001)	(0.005)	(0.0003)	(0.002)	(0.0004)	(0.001)
${\tilde{j}}_{t}$	-0.070***	0.237**	0.024	0.116	0.038	0.098	0.018	0.064**
	(0.012)	(0.100)	(0.028)	(0.104)	(0.024)	(0.061)	(0.011)	(0.030)
$d_{f l e x}$	0.004***	0.034***	-0.004**	-0.022**	-	-	-0.003**	-0.014***
	(0.001)	(0.012)	(0.002)	(0.010)	-	-	(0.001)	(0.003)
${\tilde{g}}_{t}$	-0.012*	-0.066**	0.008	-0.117***	-0.006	-0.032**	-0.021**	-0.060***
	(0.007)	(0.026)	(0.011)	(0.037)	(0.008)	(0.012)	(0.010)	(0.014)
${\tilde{r}}_{t}$	-0.0001	-0.001	-0.001**	-0.0002	-0.0002	-0.0002	-0.0000	0.0005**
	(0.0001)	(0.001)	(0.0003)	(0.001)	(0.0002)	(0.0002)	(0.0001)	(0.0002)
${\tilde{s}}_{t}$	0.00004	-0.002***	0.0003	0.001	0.0001	0.001**	0.0002**	0.0003
	(0.0001)	(0.001)	(0.0003)	(0.001)	(0.0002)	(0.0002)	(0.0001)	(0.0002)
${\tilde{q}}_{t}$	0.004	0.008	0.018**	0.065**	0.015***	0.022***	0.009***	0.032***
	(0.002)	(0.009)	(0.008)	(0.027)	(0.003)	(0.0063)	(0.002)	(0.006)
C	-0.001*	-0.043***	0.003	0.016*	-0.001	-0.004*	0.002**	0.011***
	(0.001)	(0.014)	(0.002)	(0.009)	(0.001)	(0.002)	(0.001)	(0.003)
Obs.	326	326	326	326	241	241	326	326
R2	0.991	0.660	0.974	0.632	0.977	0.902	0.980	0.879
Specification Tests1
C.-Huizinga	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
W./Koenker	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
Underident.2	0.439	0.101	0.356	0.054	0.204	0.092	0.021	0.021
Weak Inst..3	27.695	14.899	21.223	14.691	37.751	32.226	15.071	15.071
Weak Ident.4	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000
J-Stat.	0.152	0.752	0.213	0.235	0.113	0.317	0.396	0.709

		${\tilde{y}}_{t} = {\tilde{y}}_{G D P}$	${\tilde{y}}_{t} = {\tilde{y}}_{I B C}$	${\tilde{y}}_{t} = {\tilde{y}}_{I N D}$	${\tilde{y}}_{t} = {\tilde{y}}_{E M P}$
Two-Sided HP Filter	GMM2S	0.0001	-0.004***	-0.002	-0.0004
	GMM2S	(0.0004)	(0.001)	(0.003)	(0.001)
	CUE	0.001**	-0.004***	-0.003	0.0003
	CUE	(0.0005)	(0.002)	(0.003)	(0.001)
One-Sided HP Filter	GMM2S	0.0005	-0.004***	-0.003	-0.0004
	GMM2S	(0.0004)	(0.001)	(0.003)	(0.001)
	CUE	0.003	-0.004***	-0.003	-0.0002
	CUE	(0.003)	(0.002)	(0.003)	(0.001)

	${\tilde{y}}_{t} = {\tilde{y}}_{G D P}$	${\tilde{y}}_{t} = {\tilde{y}}_{I N D}$	${\tilde{y}}_{t} = {\tilde{y}}_{I B C}$	${\tilde{y}}_{t} = {\tilde{y}}_{E M P}$
EMBI	0.001***	-0.0000**	-0.002**	-0.0001**
	(0.0002)	(0.0000)	(0.001)	(0.0000)
VIX	-0.0000	-0.0003**	-0.0001**	-0.0003
	(0.000)	(0.0001)	(0.0000)	(0.0004)
VOLB3	-0.0000	-0.0001	-0.0003***	-0.0001*
	(0.000)	(0.0001)	(0.000)	(0.000)
DY_1	-0.119	-0.448***	-0.192***	-0.146***
	(0.074)	(0.151)	(0.061)	(0.038)
DY_2	-0.106***	0.053	-0.25***	-0.043***
	(0.029)	(0.050)	(0.093)	(0.013)
VOLINF	-0.015	-0.005	0.001	0.006***
	(0.010)	(0.015)	(0.004)	(0.002)
VOLGY	-0.018	-1.389***	7.914	-3.759
	(0.202)	(0.459)	(5.987)	(3.314)
VOLTFP	-0.116	-0.491	-5.217*	-10.149*
	(0.294)	(2.551)	(2.971)	(6.001)
CFEPU	0.016	-0.009	-0.029***	-0.002*
	(0.011)	(0.006)	(0.010)	(0.001)

	${\tilde{y}}_{t} = {\tilde{y}}_{G D P}$	${\tilde{y}}_{t} = {\tilde{y}}_{I N D}$	${\tilde{y}}_{t} = {\tilde{y}}_{I B C}$	${\tilde{y}}_{t} = {\tilde{y}}_{E M P}$
IIEBR	-0.013***	-0.109***	-0.008	-0.034***
	(0.005)	(0.031)	(0.012)	(0.012)
IIEEXP	-0.008***	0.027*	-0.018***	0.050**
	(0.003)	(0.014)	(0.004)	(0.024)
IIEMID	0.0002	-0.101***	-0.041***	-0.006
	(0.015)	(0.027)	(0.013)	(0.006)
WUI	-0.015**	-0.025***	-0.022***	-0.005***
	(0.006)	(0.007)	(0.004)	(0.020)

Descriptive Statistics
	EMBI	VIX	VOLB3	DY_1	DY_2	VOLGY	VOLINF	VOLTFP	WUI	EPU	IIEBR	IIEMID	IIEEXP
Obs	341	341	341	338	338	341	341	340	317	341	281	281	257
Mean	25.439	20.193	26.020	-0.002	-0.001	0.007	0.259	0.004	4.803	4.786	4.655	4.645	4.685
Std. Dev.	36.856	7.896	15.433	0.057	0.034	0.015	0.168	0.004	0.505	0.624	0.144	0.128	0.200
Pairwise Correlations
	EMBI	VIX	VOLB3	DY_1	DY_2	VOLGY	VOLINF	VOLTFP	WUI	EPU	IIEBR	IIEMID	IIEEXP
EMBI	1.000
VIX	0.390	1.000
VOLB3	0.475	0.619	1.000
DY_1	0.543	0.321	0.429	1.000
DY_2	0.487	0.470	0.513	0.367	1.000
VOLGY	0.203	-0.161	-0.146	0.122	-0.211	1.000
VOLINF	0.278	0.086	-0.038	0.106	0.135	0.346	1.000
VOLTFP	0.172	-0.143	-0.117	0.133	-0.177	0.954	0.309	1.000
WUI	-0.125	0.188	-0.087	-0.062	-0.161	0.160	0.120	-0.282	1.000
EPU	-0.100	0.125	0.141	-0.042	-0.018	-0.329	-0.151	-0.379	0.607	1.000
IIEBR	0.133	0.385	0.158	0.116	0.325	0.225	0.243	-0.055	0.723	0.556	1.000
IIEMID	0.012	0.335	0.160	0.094	0.228	0.179	0.146	-0.094	0.740	0.621	0.963	1.000
IIEEXP	0.373	0.459	0.176	0.196	0.613	0.327	0.506	0.123	0.478	0.219	0.811	0.618	1.000

	${\tilde{y}}_{P I B}$	${\tilde{y}}_{I N D}$	${\tilde{y}}_{I B C}$	${\tilde{y}}_{E M P}$	UNCERT	CFWUI	CFIIEBR	CFIIEEXP	CFIIEMID	$\tilde{g}$	$\tilde{r}$	$\tilde{s}$	$\tilde{q}$	$\tilde{j}$
Obs	341	341	245	341	338	317	281	257	281	341	341	341	329	340
Mean	0.003	-0.001	-0.0002	0.0001	0.209	4.803	-0.001	0.005	0.000	-0.004	0.083	-0.098	0.002	0.035
Std. Dev.	0.026	0.032	0.020	0.020	0.956	0.505	0.081	0.135	0.065	0.055	4.227	5.496	0.135	0.019
Pairwise Correlations
	${\tilde{y}}_{P I B}$	${\tilde{y}}_{I N D}$	${\tilde{y}}_{I B C}$	${\tilde{y}}_{E M P}$	UNCERT	CFWUI	CFIIEBR	CFIIEEXP	CFIIEMID	$\tilde{g}$	$\tilde{r}$	$\tilde{s}$	$\tilde{q}$	$\tilde{j}$
${\tilde{y}}_{P I B}$	1.000
${\tilde{y}}_{I N D}$	0.062	1.000
${\tilde{y}}_{I B C}$	0.572	0.937	1.000
${\tilde{y}}_{E M P}$	0.259	0.154	0.395	1.000
UNCERT	-0.019	-0.218	-0.334	-0.133	1.000
CFWUI	0.063	-0.153	-0.099	0.030	-0.068	1.000
CFIIEBR	-0.290	-0.735	-0.831	-0.486	0.431	0.182	1.000
CFIIEEXP	-0.286	-0.418	-0.538	-0.404	0.451	0.115	0.838	1.000
CFIIEMID	-0.290	-0.806	-0.876	-0.494	0.412	0.163	0.943	0.624	1.000
$\tilde{g}$	-0.484	0.172	-0.146	-0.743	0.159	-0.050	0.433	0.520	0.350	1.000
$\tilde{r}$	-0.295	-0.402	-0.291	0.069	0.281	0.118	0.251	0.059	0.262	-0.031	1.000
$\tilde{s}$	-0.413	-0.425	-0.503	-0.134	0.282	0.066	0.519	0.319	0.510	0.165	0.893	1.000
$\tilde{q}$	0.240	0.786	0.717	-0.020	-0.302	-0.161	-0.625	-0.352	-0.647	0.044	-0.559	-0.571	1.000
$\tilde{j}$	-0.491	-0.448	-0.659	-0.250	0.151	0.074	0.707	0.650	0.633	0.230	0.336	0.552	-0.461	1.000

[TFN1] Note: *** p<0.01, ** p<0.05, * p<0.1.

The impact of uncertainty on business cycles in Brazil^♦

O impacto da incerteza nos ciclos econômicos do Brasil

Abstract

The impact of uncertainty on business cycles in Brazil♦

O impacto da incerteza nos ciclos econômicos do Brasil

Abstract

The impact of uncertainty on business cycles in Brazil^♦