Análise dos impactos de choques agregados sobre os setores produtivos da indústria brasileira.

Abstract

This study investigates the effects of aggregate shocks on the productive sectors of the Brazilian industry, using a vector autoregressive (VAR) model to capture the dynamic relationships between macroeconomic variables. The analysis is based on data from the IBGE’s Quarterly National Accounts System, which classifies the Brazilian industry into four major sectors: Extractive Industries, Manufacturing Industries, Electricity and Gas Industries, and Construction Industries. This study adopts a Structural Vector Autoregressive (SVAR) approach, imposing long-term restrictions to distinguish supply, demand, and external shocks. Subsequently, the estimated shocks are included as exogenous variables in another model to analyze the impact of aggregate disturbances on sectors through impulse-response functions. The estimated models allow for the assessment of shocks’ impacts according to three types of transmission: total impacts, direct impacts, and indirect impacts. The results reveal marked sectoral heterogeneity, especially in the long run. Demand shocks exhibit transitory effects, except in the Construction sector, a finding consistent with the related literature. In contrast, supply shocks generate permanent impacts in most sectors, with the exception of Electricity and Gas. Finally, external shocks stand out for their large magnitudes, although their effects display different signs across the sectors analyzed.