Análise dos efeitos dos choques de petróleo nas variáveis macroeconômicas da América-Latina: uma abordagem PVAR e GVAR para amostras de países exportadores e importadores de petróleo

Abstract

This dissertation investigates the impacts caused by oil shocks on the economy of Latin American countries during the period from 2000 to 2016, using a quarterly basis. Oil shocks were separated into 4 distinct types of shocks: supply shock, related to oil production; global demand shock; specific demand shock and; speculative shock, linked to oil stocks. The macroeconomic variables used in the model were real gross domestic product, short-term interest rate, general price index and real exchange rate. In order to detect different results between Latin American countries, given a certain oil shock, the countries were separated between exporters (Brazil, Mexico and Colombia) and importing countries (Argentina, Chile and Peru). For this, the Var Panel model was used for the aggregation of these countries. To detect the individual effects of shocks, the Global Var modeling was used, where we can visualize the trajectory of the macroeconomic variables of each country, in order to give robustness to the results found in the Var Panel. The results indicated that exporting countries are more vulnerable to oil shocks than importing countries. Moreover, in the GVAR model, Latin American countries respond more to a demand shock, either the global demand shock or the specific demand shock, while the Var Panel model identified that when analyzing countries together, supply and speculative shocks are also felt by exporters and importers.