Using a Bayesian Approach to Estimate and Compare New Keynesian DSGE Models for the Brazilian Economy: the Role for Endogenous Persistence

Marcos Antonio Silveira

Revista Brasileira de Economia - RBE, 2008, vol. 62, issue 3

Abstract: New Keynesian dynamic stochastic general equilibrium (DSGE) models have been developed for monetary policy analysis in open economies. For this purpose, the basic model must be enriched with the sources of nominal and real rigidities which are capable of explaining the observed output and inflation persistence. Under this perspective, we use the Bayesian approach to estimate and compare alternative model specifications for the Brazilian economy with respect to two endogenous persistence mechanisms widely supported by the international empirical literature: habit formation and price indexation. Using data for the inflation target period, we conclude for the relevance of both mechanisms, although the evidence is unexpectly less robust for price indexation. Furthermore, impulse-response functions are built to describe the dynamic effects of domestic and foreign real and monetary shocks.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://periodicos.fgv.br/rbe/article/view/1000 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgrbe:v:62:y:2008:i:3:a:1000

Access Statistics for this article

Revista Brasileira de Economia - RBE is currently edited by Ricardo Cavalcanti

More articles in Revista Brasileira de Economia - RBE from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) Contact information at EDIRC.
Bibliographic data for series maintained by Núcleo de Computação da FGV EPGE ().