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) [How has the Central Bank reacted to shocks (bubbles) in the Brazilian housing prices? An analysis using a Dynamic Stochastic General Equilibrium (DSGE) model]

Cássio Besarria, Nelson Leitão Paes and Marcelo Silva
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Nelson Leitão Paes: UFPE

Nova Economia, 2016, vol. 26, issue 2, 553-583

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 Stochastic 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 the housing prices on a artificial economy. Subsequently, a Vectors 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.

Keywords: bubbles; monetary policy; artificial economy (search for similar items in EconPapers)
JEL-codes: C00 G12 R20 (search for similar items in EconPapers)
Date: 2016
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