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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]

Author

Listed:
  • Cássio Nóbrega Besarria

    (UFPB)

  • Nelson Leitão Paes

    (UFPE)

  • Marcelo Eduardo Alves da Silva

    (UFPE)

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.

Suggested Citation

  • Cássio Nóbrega Besarria & Nelson Leitão Paes & Marcelo Eduardo Alves da Silva, 2016. "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 Centra," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 26(2), pages 553-583, May-Augus.
    • Handle: RePEc:nov:artigo:v:26:y:2016:i:2:p:553-583
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    More about this item

    Keywords

    bubbles; monetary policy; artificial economy;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • R20 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - General

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