Análise da Relação PIB e Desemprego no Brasil: Uma Aplicação do Modelo de Cointegração Assimétrica

Abstract

This study examined the relationship between the Gross Domestic Product of Brazil (GDP) and the number of unemployed persons in the main metropolitan areas of the country. The data are monthly and analyzed period begins in January 2003 and extends until January 2016. The source of basic data for GDP was the Central Bank of Brazil, and the number of unemployed persons was the Brazilian Institute of Geography and Statistics (IBGE). X12 method was used to remove the seasonality of each series. To determine the order of integration of the series was used unit root test Dickey-Fuller (ADF). The long-term relationship of the series was analyzed with the Cointegration of Engle-Granger test. To examine the issue of asymmetric co-integration model was used Enders and Siklos (2001). The results show that the variables are co-integrated, and the relationship between variables is elastic in the long run, furthermore, there is presence of asymmetry, namely, negative shocks have more severe impact on the unemployment than positive shocks.