Marcelo Eduardo Alves da Silva

Por que os estados brasileiros têm reações assimétricas a choques na política monetária

This paper examines whether monetary policy has similar effects across Brazilian States. Our impulse response functions from state-level estimated structural vector autoregression (SVAR) reveal asymmetries in output responses to a monetary policy shock. We further investigate the reasons for the measured cross-state differential policy responses. The evidence suggests that the size of a state’s response is related to economy’s industry-mix variables, to the openness degree and to the state’s credit volume providing evidence of an interest rate and credit-channels for monetary policy. The results also present some support to for demographic and labor markets channels theories. The results offer some words of caution for the monetary policy management in Brazil. Policy actions that fail to acknowledge the state-level socio-economic diversity may yield undesirable results and may increase regional disparities within the country.

Política Monetária e Preços dos Imóveis no Brasil: uma análise a partir de um modelo DSGE

Este artigo avalia se o comportamento recente do Banco Central do Brasil sugere que a politica monetaria tem reagido a mudancas nos precos das habitacoes. Para responder a esta questao, utilizam-se duas estrategias. Num primeiro momento, sao estimadas funcoes de reacao utilizando metodos de equacoes simples por meio de Minimos Quadrados Ordinarios e Metodos dos Momentos Generalizados. Em um segundo momento, utiliza-se um metodo de informacao completa Bayesiano para estimar funcoes de reacao do banco central dentro de um modelo Dinâmico Estocastico de Equilibrio Geral. Os resultados sugerem que os precos das habitacoes tem entrado explicitamente no processo decisorio da politica monetaria no Brasil.

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)

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.

Efeitos dos choques fiscais sobre o mercado de trabalho brasileiro

This paper aims to understand what are the effects of fiscal shocks on the Brazilian labor market. In particular, we use a SVAR approach to analyze these effects on employment and real wages. Fiscal shocks are identified through the imposition of pure sign restrictions on the dynamic relationships between government spending, real product and labor supply. The restrictions are obtained from an estimated DSGE model in the New Neoclassical Synthesis tradition. Our results from estimated impulse response functions show that following a fiscal shock, both employment and real wages increase.