Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model

O objetivo deste trabalho é avaliar o comportamento dos principais parâmetros da economia brasileira através da estimac ̧ão de um modelo DSGE (Dynamic Stochastic General Equilibrium) de economia aberta usando métodos bayesianos e permitindo mudanc ̧as de regime markovianas de determinados parâmetros...

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Detalles Bibliográficos
Autores: Gonçalves, Caio César Soares, Portugal, Marcelo Savino, Aragón, Edilean Kleber da Silva Bejarano
Tipo de recurso: artículo
Estado:Versión publicada
Fecha de publicación:2016
País:Brasil
Institución:Fundação João Pinheiro (FJP)
Repositorio:Repositório Institucional da Fundação João Pinheiro
Idioma:inglés
OAI Identifier:oai:repositorio.fjp.mg.gov.br:123456789/3626
Acceso en línea:http://repositorio.fjp.mg.gov.br/handle/123456789/3626
Access Level:acceso abierto
Palabra clave:Modelo DSGE
Markov switching
MS-DSGE
DSGE model
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dc.title.pt_BR.fl_str_mv Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
title Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
spellingShingle Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
Gonçalves, Caio César Soares
Modelo DSGE
Markov switching
MS-DSGE
DSGE model
Markov switching
MS-DSGE
title_short Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
title_full Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
title_fullStr Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
title_full_unstemmed Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
title_sort Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
dc.creator.none.fl_str_mv Gonçalves, Caio César Soares
Portugal, Marcelo Savino
Aragón, Edilean Kleber da Silva Bejarano
author Gonçalves, Caio César Soares
author_facet Gonçalves, Caio César Soares
Portugal, Marcelo Savino
Aragón, Edilean Kleber da Silva Bejarano
author_role author
author2 Portugal, Marcelo Savino
Aragón, Edilean Kleber da Silva Bejarano
author2_role author
author
dc.subject.other.pt_BR.fl_str_mv Modelo DSGE
Markov switching
MS-DSGE
topic Modelo DSGE
Markov switching
MS-DSGE
DSGE model
Markov switching
MS-DSGE
dc.subject.en.pt_BR.fl_str_mv DSGE model
Markov switching
MS-DSGE
description O objetivo deste trabalho é avaliar o comportamento dos principais parâmetros da economia brasileira através da estimac ̧ão de um modelo DSGE (Dynamic Stochastic General Equilibrium) de economia aberta usando métodos bayesianos e permitindo mudanc ̧as de regime markovianas de determinados parâmetros. Utilizando o modelo DSGE desenvolvido por Justiniano e Preston (2010) e o método de soluc ̧ão do modelo Markov Switching DSGE (MS-DSGE) proposto por Farmer et al. (2008), este trabalho encontrou superioridade nos ajustes dos dados dos modelos que incorporaram mudanças markovianas, rejeitando a hipótese de parâmetros constantes em modelos DSGE para a economia brasileira. © 2016 National Association of Postgraduate Centers in Economics, ANPEC. Production and hosting by Elsevier B.V. All rights reserved.
publishDate 2016
dc.date.issued.fl_str_mv 2016
dc.date.accessioned.fl_str_mv 2022-10-20T18:09:45Z
dc.date.available.fl_str_mv 2022-10-20T18:09:45Z
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dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.citation.fl_str_mv GONÇALVES, C. C.; PORTUGAL, M. S.; ARAGON, E. K. S. B. Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model. EconomiA, Brasília, v. 17, p. 23-42, 2016.
dc.identifier.uri.fl_str_mv http://repositorio.fjp.mg.gov.br/handle/123456789/3626
dc.identifier.issn.pt_BR.fl_str_mv 1517-7580
dc.identifier.doi.pt_BR.fl_str_mv 10.1016/j.econ.2016.03.001
identifier_str_mv GONÇALVES, C. C.; PORTUGAL, M. S.; ARAGON, E. K. S. B. Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model. EconomiA, Brasília, v. 17, p. 23-42, 2016.
1517-7580
10.1016/j.econ.2016.03.001
url http://repositorio.fjp.mg.gov.br/handle/123456789/3626
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv openAcess
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collection Repositório Institucional da Fundação João Pinheiro
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spelling 2022-10-20T18:09:45Z2022-10-20T18:09:45Z2016GONÇALVES, C. C.; PORTUGAL, M. S.; ARAGON, E. K. S. B. Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model. EconomiA, Brasília, v. 17, p. 23-42, 2016. 1517-7580http://repositorio.fjp.mg.gov.br/handle/123456789/362610.1016/j.econ.2016.03.001O objetivo deste trabalho é avaliar o comportamento dos principais parâmetros da economia brasileira através da estimac ̧ão de um modelo DSGE (Dynamic Stochastic General Equilibrium) de economia aberta usando métodos bayesianos e permitindo mudanc ̧as de regime markovianas de determinados parâmetros. Utilizando o modelo DSGE desenvolvido por Justiniano e Preston (2010) e o método de soluc ̧ão do modelo Markov Switching DSGE (MS-DSGE) proposto por Farmer et al. (2008), este trabalho encontrou superioridade nos ajustes dos dados dos modelos que incorporaram mudanças markovianas, rejeitando a hipótese de parâmetros constantes em modelos DSGE para a economia brasileira. © 2016 National Association of Postgraduate Centers in Economics, ANPEC. Production and hosting by Elsevier B.V. All rights reserved.The goal of this paper is to evaluate the behavior of the main parameters of the Brazilian economy through the estimation of an open-economy dynamic stochastic general equilibrium (DSGE) model using Bayesian methods and allowing for Markov switching of certain parameters. Using the DSGE model developed by Justiniano and Preston (2010) and the solution method of the Markov switching DSGE (MS-DSGE) model proposed by Farmer et al. (2008), this paper found a superior fit in the data of Markov switching models, rejecting the hypothesis of constant parameters in DSGE models for the Brazilian economy. © 2016 National Association of Postgraduate Centers in Economics, ANPEC. Production and hosting by Elsevier B.V. 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