A DISAGGRETED ANALYSIS OF OUTPUT FLUCTUATIONS IN BRAZIL

Francisco CRIBARI-NETO [1]

§    ABSTRACT: This paper analysis the dinamic behavior of total output produced by two important sectors of the Brazilian economy: agriculture and industry. It is shown that the stochastic pattern of output fluctuations in these sectors is quite different. In particular , there is a high degree of persistence of shocks to output in industry, but not in agriculture. Evidence of nonlinearity in agricultural output is also found.

§    KEYWORDS: ARIMA models; BDS test; impulse response function; nonlinearities; persistence of innovations; variance ratio.

 

 



I thank Marcelo Resende por useful comments. The financial support of CNPq/Brazil is alsogratefully acknowledged.

[1] Departament of Economics, Southern Illinois University, Carbondale, IL 62901-4515 –U.S.A.