Impactos de choques macroeconômicos no setor industrial do Nordeste: uma abordagem com modelos VAR/VEC

Abstract

According to data from the National Confederation of Industry (CNI) for the year 2018, Brazil occupied the tenth position as industrial producer in the world, accounting for a share of about 2.1%. Although its contribution to the world market is small, industry is the activity that generates the most wealth for Brazil. In the Northeast, the industrial sector accounts for approximately 10.8% of formal jobs and has 85.3% of the share in the composition of goods and services exported by the region. In this sense, this study aims to investigate the behavior of the industrial sector at the regional and state level to exogenous shocks in the variables: oil price, exchange rate and nominal interest rate. To achieve these objectives, a set of aggregated industrial data covering the years 2002 to 2019 was used, totaling 216 observations, obtained from the Brazilian Institute of Statistical Geography (IBGE). As macroeconomic variables, the real effective exchange rate obtained from the Central Bank of Brazil (BCB) was adopted for the exchange rate. For the oil price, the Brent-type crude oil barrel price was used in dollars (US$) per barrel, obtained from the International Monetary Fund (IMF), and, finally, as the nominal interest rate the variable (overselic) obtained from the BCB website made available by Ipeadata was used. As a methodological strategy, the approach with models with Vector Autoregressive (VAR) and the Error Correction Vector Model (VECM) was adopted for the regional and state industrial sector. Furthermore, it complemented the analysis with the impulse-response function and the decomposition of the forecast error variance. As a result, it was evident that industrial sectors in the Northeast region respond heterogeneously and with different intensity to shocks in macroeconomic variables. The variance decomposition revealed that the real exchange rate is the main variable affecting the regional and state industrial product both in the short and in the long run.