Estimando a taxa de juros real neutra brasileira via modelo DSGE
This study aims to estimate a natural real rate of interest quarterly series for Brazil through a Dynamic Stochastic General Equilibrium (DSGE) model, from 2000´s first quarter to 2011´s fourth. The model represents a closed economy with households maximizing CRRA, profit maximizing firms in imperfe...
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| Formato: | tesis de maestría |
| Estado: | Versión publicada |
| Fecha de publicación: | 2012 |
| País: | Brasil |
| Recursos: | Fundação Getulio Vargas (FGV) |
| Repositorio: | Repositório Institucional do FGV (FGV Repositório Digital) |
| Idioma: | portugués |
| OAI Identifier: | oai:repositorio.fgv.br:10438/10147 |
| Acesso em linha: | https://hdl.handle.net/10438/10147 |
| Access Level: | acceso abierto |
| Palavra-chave: | DSGE Produtividade Gastos do governo Taxa de juros real neutra Natural real rate of interest Productivity Government spending Economia Taxas de juros Despesa pública Equilíbrio econômico Política monetária |
| Resumo: | This study aims to estimate a natural real rate of interest quarterly series for Brazil through a Dynamic Stochastic General Equilibrium (DSGE) model, from 2000´s first quarter to 2011´s fourth. The model represents a closed economy with households maximizing CRRA, profit maximizing firms in imperfect competition and a government with a balanced budget fiscal policy and a Taylor type monetary policy rule, in a context of price rigidity. In this framework, the neutral real interest rate was calculated based on productivity and government spending shocks, which were considered the most appropriate ones for the Brazilian economy. Moreover, we analyze the responses of the natural rate to productivity and government spending shocks, its behavior thru the estimated period and its sensibility to alternative calibrations. Finally, by comparing the behavior of the interest rate gap and inflation, we found negative correlations of 56% and 83% for the full period estimated and for a latter-day sample (from 2006´s first quarter to 2011´s last), respectively, indicating some reliability in the obtained series. |
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