Paulo Fernando Marschner and Paulo Sergio Ceretta
The purpose of this study is to analyze how sentiment affects economic activity in Brazil.
Abstract
Purpose
The purpose of this study is to analyze how sentiment affects economic activity in Brazil.
Design/methodology/approach
Based on a nonlinear autoregressive distributed lag (NARDL) model, this study examines in detail the short-term and long-term asymmetric impacts between the variables during the period from January 2007 to December 2020.
Findings
There are three main results of this study. First, sentiment is an important factor for economic activity in Brazil, and its effect possibly occurs through the channels of consumption and investment, which are the two main components of economic growth. Second, sentiment affects economic activity in different ways in the short and the long term: in Brazil, although in the short-term, immediate shocks of sentiment may be confusing, the negative shocks from previous periods have a negative impact on economic activity. Third, the effect of shocks of optimism and pessimism on economic activity is asymmetric, and in the long run, only shocks of optimism have a significant and positive impact.
Originality/value
The relationship between sentiment and economic activity is still a controversial issue in the literature and this study seeks to advance its understanding in Brazil.
Details
Keywords
Marcelo Brutti Righi, Yi Yang and Paulo Sergio Ceretta
In this chapter, we estimate the Expected Shortfall (ES) in conditional autoregressive expectile models by using a nonparametric multiple expectile regression via gradient tree…
Abstract
In this chapter, we estimate the Expected Shortfall (ES) in conditional autoregressive expectile models by using a nonparametric multiple expectile regression via gradient tree boosting. This approach has the advantages generated by the flexibility of not having to rely on data assumptions and avoids the drawbacks and fragilities of a restrictive estimator such as Historical Simulation. We consider distinct specifications for the information sets that produce the ES estimates. The results obtained with simulated and real market data indicate that the proposed approach has good performance, with some distinctions between the specifications.