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- Title
Como o Banco Central tem reagido aos choques (bolhas) nos preços das habitações brasileiras? Uma análise por meio por meio do Modelo Dinâmico Estocástico de Equilíbrio Geral (DSGE).
- Authors
Nóbrega Besarria, Cássio; Leitão Paes, Nelson; da Silva, Marcelo Eduardo Alves
- Abstract
This article aims to analyze the effects of shocks (bubbles) in real estate prices on Brazilian macroeconomic variables (GDP, inflation and interest rate). Two methodological procedures were used: first, the structural parameters of the Dynamic Sthochastic General Equilibrium (DSGE) model will be obtained through the Generalized Method of Moments (GMM). The results of this stage will be used to simulate the effects of shocks in housing prices on an artificial economy. Subsequently, a Vector Autoregressive (VAR) model is used in which shocks are identified through signal restriction, based on the results obtained by calibration of the theoretical model. The results showed that the effects of bubbles in the Brazilian housing market positively affected subsequent movements in product and inflation; however, the effect of this shock on these variables was only transitory, instead causing persistent effects only on the interest rate.
- Publication
Nova Economia, 2016, Vol 26, Issue 2, p553
- ISSN
0103-6351
- Publication type
Article
- DOI
10.1590/0103-6351/2678