Can the Distributional Impacts of Macroeconomic Shocks be Predicted? A Comparison of the Performance of Macro-Micro Models with Historical Data for Brazil
What was the impact of Brazil's 1998-99 currency crisis-which resulted in a change of exchange rate regime and a large real devaluation-on the occupational structure of the labor force and the distribution of incomes? Would it have been possib...
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| Format: | Policy Research Working Paper |
| Language: | English en_US |
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World Bank, Washington, D.C.
2013
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| Online Access: | http://documents.worldbank.org/curated/en/2004/05/4972852/can-distributional-impacts-macroeconomic-shocks-predicted-comparison-performance-macro-micro-models-historical-data-brazil http://hdl.handle.net/10986/14030 |
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okr-10986-14030 |
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oai_dc |
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Digital Repository |
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Foreign Institution |
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Digital Repositories |
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World Bank Open Knowledge Repository |
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World Bank |
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English en_US |
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ACCELERATOR AGGREGATE DEMAND AGGREGATE GROWTH AGGREGATE SUPPLY AGGREGATE SUPPLY CURVE AVERAGE ANNUAL AVERAGE INCOME AVERAGE RESULTS BALANCE OF PAYMENTS BALANCE SHEETS BANK DEPOSITS BONDS CAPITAL FLOWS CAPITAL INFLOWS CAPITAL OUTFLOWS CENTRAL BANK COMMERCIAL BANKS CPI CROSS-COUNTRY ANALYSIS CROSS-SECTION DATA CURRENCY CRISES CURRENT ACCOUNT DEBT DEFLATION DEFLATORS DEMAND FOR MONEY DEMAND FUNCTIONS DEVALUATION DEVELOPED ECONOMIES DEVELOPING COUNTRIES DISPOSABLE INCOME DISTRIBUTIONAL EFFECTS DOMESTIC INTEREST RATES DOMESTIC PRICES DYNAMIC STRUCTURE ECONOMETRIC MODEL ECONOMETRIC MODELS ECONOMIC ACTIVITY ECONOMIC CONDITIONS ELASTICITIES EMERGING MARKETS ENDOGENOUS VARIABLES EQUATIONS EQUILIBRIUM EQUILIBRIUM WAGE EXCHANGE RATE EXCHANGE RATE REGIME EXCHANGE RATE REGIMES EXPORTS EXTERNAL SHOCKS FACTOR DEMAND FACTOR MARKETS FINANCIAL ASSETS FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL LIBERALIZATION FINANCIAL MARKETS FINANCIAL SECTOR FISCAL POLICY FLOATING EXCHANGE RATE FLOATING EXCHANGE RATE REGIME FOREIGN CURRENCY FOREIGN EXCHANGE GDP GDP DEFLATOR GENERAL EQUILIBRIUM MODEL GNP GROSS FIXED CAPITAL FORMATION GROWTH RATE GROWTH RATES HISTORICAL DATA HOUSEHOLD DATA HOUSEHOLD INCOME HOUSEHOLD INCOMES HOUSEHOLD LEVEL HOUSEHOLD SURVEYS IMPORTS INCOME INCOME DISTRIBUTION INCOMES INCREASE POVERTY INDIVIDUAL INCOMES INEQUALITY INFLATION INFLATION TARGETING INFORMAL SECTOR INTEREST RATE INTEREST RATES INTERNATIONAL RESERVES LABOR FORCE LABOR MARKET LABOR MARKETS LOCAL CURRENCY MACRO MODELS MACRO STABILITY MACROECONOMIC MODELS MACROECONOMIC POLICIES MACROECONOMIC SHOCKS MARGINAL PRODUCT MARGINAL PRODUCTS MONETARY POLICY MONETARY SHOCKS MPS MULTIPLIERS NEGATIVE IMPACT NOMINAL EXCHANGE RATE NOMINAL RATE POLICY CHANGES POLICY INSTRUMENTS POLICY PACKAGE POLICY RESEARCH PRIMARY SURPLUS PRIVATE CONSUMPTION PRIVATE INVESTMENT PRIVATE SECTOR PRODUCT MARKETS PRODUCTION FUNCTION PRODUCTION FUNCTIONS PUBLIC SECTOR RATIONAL EXPECTATIONS REAL APPRECIATION REAL EXCHANGE REAL EXCHANGE RATE REAL GDP REAL GROWTH REAL INTEREST REAL INTEREST RATES REAL WAGES REAL_GROWTH RELATIVE PRICES RISK PREMIUM SECTORAL COMPOSITION SERIES DATA SKILL LEVEL SKILL WORKERS SKILLED WORKERS SUPPLY CURVES TAX REVENUES TIME SERIES TOTAL OUTPUT TRANSMISSION MECHANISM TRANSMISSION MECHANISMS UNEMPLOYMENT UNEMPLOYMENT RATE UNEMPLOYMENT RATES WAGE RATES WAGES WEALTH WHOLESALE PRICE INDEX BALANCE OF PAYMENTS CURRENCY CURRENCY CRISES CURRENT ACCOUNT BALANCES DEFLATION DEMAND FOR MONEY DEVALUATION DISPOSABLE INCOME ECONOMETRIC MODELS ECONOMIC CONDITIONS ELASTICITIES EXCHANGE RATE FACTOR DEMAND FINANCIAL CRISIS FINANCIAL MARKETS FINANCIAL SECTOR GENERAL EQUILIBRIUM MODEL HOUSEHOLD CHARACTERISTICS INCOME DISTRIBUTION INCOME LEVELS INFLATION INTEREST PAYMENTS INTEREST RATES LABOR MARKET LABOR SUPPLY LOCAL CURRENCY MACROECONOMIC MODELS MACROECONOMIC POLICIES MACROECONOMIC SHOCKS MARKET EQUILIBRIUM MARKET PARTICIPANTS MONETARY POLICY PER CAPITA INCOME PRIVATE CONSUMPTION REAL GDP REAL INTEREST RATE STOCKS UNEMPLOYMENT RATE URBAN AREAS WAGE RATES |
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ACCELERATOR AGGREGATE DEMAND AGGREGATE GROWTH AGGREGATE SUPPLY AGGREGATE SUPPLY CURVE AVERAGE ANNUAL AVERAGE INCOME AVERAGE RESULTS BALANCE OF PAYMENTS BALANCE SHEETS BANK DEPOSITS BONDS CAPITAL FLOWS CAPITAL INFLOWS CAPITAL OUTFLOWS CENTRAL BANK COMMERCIAL BANKS CPI CROSS-COUNTRY ANALYSIS CROSS-SECTION DATA CURRENCY CRISES CURRENT ACCOUNT DEBT DEFLATION DEFLATORS DEMAND FOR MONEY DEMAND FUNCTIONS DEVALUATION DEVELOPED ECONOMIES DEVELOPING COUNTRIES DISPOSABLE INCOME DISTRIBUTIONAL EFFECTS DOMESTIC INTEREST RATES DOMESTIC PRICES DYNAMIC STRUCTURE ECONOMETRIC MODEL ECONOMETRIC MODELS ECONOMIC ACTIVITY ECONOMIC CONDITIONS ELASTICITIES EMERGING MARKETS ENDOGENOUS VARIABLES EQUATIONS EQUILIBRIUM EQUILIBRIUM WAGE EXCHANGE RATE EXCHANGE RATE REGIME EXCHANGE RATE REGIMES EXPORTS EXTERNAL SHOCKS FACTOR DEMAND FACTOR MARKETS FINANCIAL ASSETS FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL LIBERALIZATION FINANCIAL MARKETS FINANCIAL SECTOR FISCAL POLICY FLOATING EXCHANGE RATE FLOATING EXCHANGE RATE REGIME FOREIGN CURRENCY FOREIGN EXCHANGE GDP GDP DEFLATOR GENERAL EQUILIBRIUM MODEL GNP GROSS FIXED CAPITAL FORMATION GROWTH RATE GROWTH RATES HISTORICAL DATA HOUSEHOLD DATA HOUSEHOLD INCOME HOUSEHOLD INCOMES HOUSEHOLD LEVEL HOUSEHOLD SURVEYS IMPORTS INCOME INCOME DISTRIBUTION INCOMES INCREASE POVERTY INDIVIDUAL INCOMES INEQUALITY INFLATION INFLATION TARGETING INFORMAL SECTOR INTEREST RATE INTEREST RATES INTERNATIONAL RESERVES LABOR FORCE LABOR MARKET LABOR MARKETS LOCAL CURRENCY MACRO MODELS MACRO STABILITY MACROECONOMIC MODELS MACROECONOMIC POLICIES MACROECONOMIC SHOCKS MARGINAL PRODUCT MARGINAL PRODUCTS MONETARY POLICY MONETARY SHOCKS MPS MULTIPLIERS NEGATIVE IMPACT NOMINAL EXCHANGE RATE NOMINAL RATE POLICY CHANGES POLICY INSTRUMENTS POLICY PACKAGE POLICY RESEARCH PRIMARY SURPLUS PRIVATE CONSUMPTION PRIVATE INVESTMENT PRIVATE SECTOR PRODUCT MARKETS PRODUCTION FUNCTION PRODUCTION FUNCTIONS PUBLIC SECTOR RATIONAL EXPECTATIONS REAL APPRECIATION REAL EXCHANGE REAL EXCHANGE RATE REAL GDP REAL GROWTH REAL INTEREST REAL INTEREST RATES REAL WAGES REAL_GROWTH RELATIVE PRICES RISK PREMIUM SECTORAL COMPOSITION SERIES DATA SKILL LEVEL SKILL WORKERS SKILLED WORKERS SUPPLY CURVES TAX REVENUES TIME SERIES TOTAL OUTPUT TRANSMISSION MECHANISM TRANSMISSION MECHANISMS UNEMPLOYMENT UNEMPLOYMENT RATE UNEMPLOYMENT RATES WAGE RATES WAGES WEALTH WHOLESALE PRICE INDEX BALANCE OF PAYMENTS CURRENCY CURRENCY CRISES CURRENT ACCOUNT BALANCES DEFLATION DEMAND FOR MONEY DEVALUATION DISPOSABLE INCOME ECONOMETRIC MODELS ECONOMIC CONDITIONS ELASTICITIES EXCHANGE RATE FACTOR DEMAND FINANCIAL CRISIS FINANCIAL MARKETS FINANCIAL SECTOR GENERAL EQUILIBRIUM MODEL HOUSEHOLD CHARACTERISTICS INCOME DISTRIBUTION INCOME LEVELS INFLATION INTEREST PAYMENTS INTEREST RATES LABOR MARKET LABOR SUPPLY LOCAL CURRENCY MACROECONOMIC MODELS MACROECONOMIC POLICIES MACROECONOMIC SHOCKS MARKET EQUILIBRIUM MARKET PARTICIPANTS MONETARY POLICY PER CAPITA INCOME PRIVATE CONSUMPTION REAL GDP REAL INTEREST RATE STOCKS UNEMPLOYMENT RATE URBAN AREAS WAGE RATES Ferreira, Francisco H.G. Leite, Phillippe George Pereira da Silva, Luiz A. Picchetti, Paulo Can the Distributional Impacts of Macroeconomic Shocks be Predicted? A Comparison of the Performance of Macro-Micro Models with Historical Data for Brazil |
| geographic_facet |
Latin America & Caribbean Brazil |
| relation |
Policy Research Working Paper;No.3303 |
| description |
What was the impact of Brazil's
1998-99 currency crisis-which resulted in a change of
exchange rate regime and a large real devaluation-on the
occupational structure of the labor force and the
distribution of incomes? Would it have been possible to
predict such effects ahead of the crisis? The authors
present an integrated macro-micro model of the Brazilian
economy in 1998. The model consists of an applied general
equilibrium macroeconometric component, connected through a
set of linkage aggregate variables to a microeconomic model
of household incomes. The authors use this framework to
predict the employment and distributional consequences of
the 1999 Brazilian currency crisis, based on 1998 household
survey data. They then test the predictive performance of
the model by comparing its simulated results with the actual
household survey data observed in 1999. In addition to the
fully integrated macro-micro model, the authors also test
the performances of the microeconometric model on its own,
and of a "representative household groups"
approach. They find that the integrated macro-micro
econometric model, while still inaccurate on many
dimensions, can actually predict the broad pattern of the
incidence of changes in household incomes across the
distribution reasonably well, and much better than the
alternative approaches. The authors conclude that further
experimentation with these tools might be of considerable
potential usefulness to policymakers. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Ferreira, Francisco H.G. Leite, Phillippe George Pereira da Silva, Luiz A. Picchetti, Paulo |
| author_facet |
Ferreira, Francisco H.G. Leite, Phillippe George Pereira da Silva, Luiz A. Picchetti, Paulo |
| author_sort |
Ferreira, Francisco H.G. |
| title |
Can the Distributional Impacts of Macroeconomic Shocks be Predicted? A Comparison of the Performance of Macro-Micro Models with Historical Data for Brazil |
| title_short |
Can the Distributional Impacts of Macroeconomic Shocks be Predicted? A Comparison of the Performance of Macro-Micro Models with Historical Data for Brazil |
| title_full |
Can the Distributional Impacts of Macroeconomic Shocks be Predicted? A Comparison of the Performance of Macro-Micro Models with Historical Data for Brazil |
| title_fullStr |
Can the Distributional Impacts of Macroeconomic Shocks be Predicted? A Comparison of the Performance of Macro-Micro Models with Historical Data for Brazil |
| title_full_unstemmed |
Can the Distributional Impacts of Macroeconomic Shocks be Predicted? A Comparison of the Performance of Macro-Micro Models with Historical Data for Brazil |
| title_sort |
can the distributional impacts of macroeconomic shocks be predicted? a comparison of the performance of macro-micro models with historical data for brazil |
| publisher |
World Bank, Washington, D.C. |
| publishDate |
2013 |
| url |
http://documents.worldbank.org/curated/en/2004/05/4972852/can-distributional-impacts-macroeconomic-shocks-predicted-comparison-performance-macro-micro-models-historical-data-brazil http://hdl.handle.net/10986/14030 |
| _version_ |
1764430383831580672 |
| spelling |
okr-10986-140302021-04-23T14:03:21Z Can the Distributional Impacts of Macroeconomic Shocks be Predicted? A Comparison of the Performance of Macro-Micro Models with Historical Data for Brazil Ferreira, Francisco H.G. Leite, Phillippe George Pereira da Silva, Luiz A. Picchetti, Paulo ACCELERATOR AGGREGATE DEMAND AGGREGATE GROWTH AGGREGATE SUPPLY AGGREGATE SUPPLY CURVE AVERAGE ANNUAL AVERAGE INCOME AVERAGE RESULTS BALANCE OF PAYMENTS BALANCE SHEETS BANK DEPOSITS BONDS CAPITAL FLOWS CAPITAL INFLOWS CAPITAL OUTFLOWS CENTRAL BANK COMMERCIAL BANKS CPI CROSS-COUNTRY ANALYSIS CROSS-SECTION DATA CURRENCY CRISES CURRENT ACCOUNT DEBT DEFLATION DEFLATORS DEMAND FOR MONEY DEMAND FUNCTIONS DEVALUATION DEVELOPED ECONOMIES DEVELOPING COUNTRIES DISPOSABLE INCOME DISTRIBUTIONAL EFFECTS DOMESTIC INTEREST RATES DOMESTIC PRICES DYNAMIC STRUCTURE ECONOMETRIC MODEL ECONOMETRIC MODELS ECONOMIC ACTIVITY ECONOMIC CONDITIONS ELASTICITIES EMERGING MARKETS ENDOGENOUS VARIABLES EQUATIONS EQUILIBRIUM EQUILIBRIUM WAGE EXCHANGE RATE EXCHANGE RATE REGIME EXCHANGE RATE REGIMES EXPORTS EXTERNAL SHOCKS FACTOR DEMAND FACTOR MARKETS FINANCIAL ASSETS FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL LIBERALIZATION FINANCIAL MARKETS FINANCIAL SECTOR FISCAL POLICY FLOATING EXCHANGE RATE FLOATING EXCHANGE RATE REGIME FOREIGN CURRENCY FOREIGN EXCHANGE GDP GDP DEFLATOR GENERAL EQUILIBRIUM MODEL GNP GROSS FIXED CAPITAL FORMATION GROWTH RATE GROWTH RATES HISTORICAL DATA HOUSEHOLD DATA HOUSEHOLD INCOME HOUSEHOLD INCOMES HOUSEHOLD LEVEL HOUSEHOLD SURVEYS IMPORTS INCOME INCOME DISTRIBUTION INCOMES INCREASE POVERTY INDIVIDUAL INCOMES INEQUALITY INFLATION INFLATION TARGETING INFORMAL SECTOR INTEREST RATE INTEREST RATES INTERNATIONAL RESERVES LABOR FORCE LABOR MARKET LABOR MARKETS LOCAL CURRENCY MACRO MODELS MACRO STABILITY MACROECONOMIC MODELS MACROECONOMIC POLICIES MACROECONOMIC SHOCKS MARGINAL PRODUCT MARGINAL PRODUCTS MONETARY POLICY MONETARY SHOCKS MPS MULTIPLIERS NEGATIVE IMPACT NOMINAL EXCHANGE RATE NOMINAL RATE POLICY CHANGES POLICY INSTRUMENTS POLICY PACKAGE POLICY RESEARCH PRIMARY SURPLUS PRIVATE CONSUMPTION PRIVATE INVESTMENT PRIVATE SECTOR PRODUCT MARKETS PRODUCTION FUNCTION PRODUCTION FUNCTIONS PUBLIC SECTOR RATIONAL EXPECTATIONS REAL APPRECIATION REAL EXCHANGE REAL EXCHANGE RATE REAL GDP REAL GROWTH REAL INTEREST REAL INTEREST RATES REAL WAGES REAL_GROWTH RELATIVE PRICES RISK PREMIUM SECTORAL COMPOSITION SERIES DATA SKILL LEVEL SKILL WORKERS SKILLED WORKERS SUPPLY CURVES TAX REVENUES TIME SERIES TOTAL OUTPUT TRANSMISSION MECHANISM TRANSMISSION MECHANISMS UNEMPLOYMENT UNEMPLOYMENT RATE UNEMPLOYMENT RATES WAGE RATES WAGES WEALTH WHOLESALE PRICE INDEX BALANCE OF PAYMENTS CURRENCY CURRENCY CRISES CURRENT ACCOUNT BALANCES DEFLATION DEMAND FOR MONEY DEVALUATION DISPOSABLE INCOME ECONOMETRIC MODELS ECONOMIC CONDITIONS ELASTICITIES EXCHANGE RATE FACTOR DEMAND FINANCIAL CRISIS FINANCIAL MARKETS FINANCIAL SECTOR GENERAL EQUILIBRIUM MODEL HOUSEHOLD CHARACTERISTICS INCOME DISTRIBUTION INCOME LEVELS INFLATION INTEREST PAYMENTS INTEREST RATES LABOR MARKET LABOR SUPPLY LOCAL CURRENCY MACROECONOMIC MODELS MACROECONOMIC POLICIES MACROECONOMIC SHOCKS MARKET EQUILIBRIUM MARKET PARTICIPANTS MONETARY POLICY PER CAPITA INCOME PRIVATE CONSUMPTION REAL GDP REAL INTEREST RATE STOCKS UNEMPLOYMENT RATE URBAN AREAS WAGE RATES What was the impact of Brazil's 1998-99 currency crisis-which resulted in a change of exchange rate regime and a large real devaluation-on the occupational structure of the labor force and the distribution of incomes? Would it have been possible to predict such effects ahead of the crisis? The authors present an integrated macro-micro model of the Brazilian economy in 1998. The model consists of an applied general equilibrium macroeconometric component, connected through a set of linkage aggregate variables to a microeconomic model of household incomes. The authors use this framework to predict the employment and distributional consequences of the 1999 Brazilian currency crisis, based on 1998 household survey data. They then test the predictive performance of the model by comparing its simulated results with the actual household survey data observed in 1999. In addition to the fully integrated macro-micro model, the authors also test the performances of the microeconometric model on its own, and of a "representative household groups" approach. They find that the integrated macro-micro econometric model, while still inaccurate on many dimensions, can actually predict the broad pattern of the incidence of changes in household incomes across the distribution reasonably well, and much better than the alternative approaches. The authors conclude that further experimentation with these tools might be of considerable potential usefulness to policymakers. 2013-06-19T20:06:45Z 2013-06-19T20:06:45Z 2004-05 http://documents.worldbank.org/curated/en/2004/05/4972852/can-distributional-impacts-macroeconomic-shocks-predicted-comparison-performance-macro-micro-models-historical-data-brazil http://hdl.handle.net/10986/14030 English en_US Policy Research Working Paper;No.3303 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo World Bank World Bank, Washington, D.C. Publications & Research :: Policy Research Working Paper Publications & Research Latin America & Caribbean Brazil |