Brazilian macroeconomic dynamics redux: Shocks, frictions, and unemployment in SAMBA model

Angelo Fasolo, Eurilton Araújo, Marcos Valli Jorge, Alexandre Kornelius and Leonardo Sousa Gomes Marinho

Latin American Journal of Central Banking (previously Monetaria), 2024, vol. 5, issue 2

Abstract: This paper documents the recent changes in the structure and estimation procedures of the SAMBA model, providing a complete description of the decision problems that each economic agent faces, the first order conditions that solve those problems, and the new techniques employed to estimate the model. This updated version of the model incorporates new features, such as involuntary unemployment, imported goods in the consumption bundle and a new identified vector auto-regressive process for the rest of the world. Reflecting these changes, the set of observables was expanded to include, for instance, participation rates in the labor market and an exogenous measure of output gap. In face of increased complexity and the large number of observables, the model was estimated using Sequential Monte Carlo (SMC) methods, allowing for a smaller sensitivity to the choice of priors.

Keywords: DSGE models; Small open economies; Monetary policy; Unemployment (search for similar items in EconPapers)
JEL-codes: E24 E32 E52 (search for similar items in EconPapers)
Date: 2024
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Related works:
Working Paper: Brazilian Macroeconomic Dynamics Redux: Shocks, Frictions, and Unemployment in SAMBA Model (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:lajcba:v:5:y:2024:i:2:s2666143823000315

DOI: 10.1016/j.latcb.2023.100110

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