Using a Bayesian approach to estimate and compare new Keynesian DSGE models for the Brazilian economy: the role for endogenous persistence
Main Author: | |
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Publication Date: | 2008 |
Format: | Article |
Language: | eng |
Source: | Revista Brasileira de Economia (Online) |
Download full: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402008000300005 |
Summary: | 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. |
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Using a Bayesian approach to estimate and compare new Keynesian DSGE models for the Brazilian economy: the role for endogenous persistenceNew Keynesian modelsprice indexationhabit formationBayesian econometricsNew 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.Fundação Getúlio Vargas2008-09-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402008000300005Revista Brasileira de Economia v.62 n.3 2008reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGV10.1590/S0034-71402008000300005info:eu-repo/semantics/openAccessSilveira,Marcos Antonio C. daeng2009-02-06T00:00:00Zoai:scielo:S0034-71402008000300005Revistahttp://bibliotecadigital.fgv.br/ojs/index.php/rbe/issue/archivehttps://old.scielo.br/oai/scielo-oai.php||rbe@fgv.br1806-91340034-7140opendoar:2009-02-06T00:00Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)false |
dc.title.none.fl_str_mv |
Using a Bayesian approach to estimate and compare new Keynesian DSGE models for the Brazilian economy: the role for endogenous persistence |
title |
Using a Bayesian approach to estimate and compare new Keynesian DSGE models for the Brazilian economy: the role for endogenous persistence |
spellingShingle |
Using a Bayesian approach to estimate and compare new Keynesian DSGE models for the Brazilian economy: the role for endogenous persistence Silveira,Marcos Antonio C. da New Keynesian models price indexation habit formation Bayesian econometrics |
title_short |
Using a Bayesian approach to estimate and compare new Keynesian DSGE models for the Brazilian economy: the role for endogenous persistence |
title_full |
Using a Bayesian approach to estimate and compare new Keynesian DSGE models for the Brazilian economy: the role for endogenous persistence |
title_fullStr |
Using a Bayesian approach to estimate and compare new Keynesian DSGE models for the Brazilian economy: the role for endogenous persistence |
title_full_unstemmed |
Using a Bayesian approach to estimate and compare new Keynesian DSGE models for the Brazilian economy: the role for endogenous persistence |
title_sort |
Using a Bayesian approach to estimate and compare new Keynesian DSGE models for the Brazilian economy: the role for endogenous persistence |
author |
Silveira,Marcos Antonio C. da |
author_facet |
Silveira,Marcos Antonio C. da |
author_role |
author |
dc.contributor.author.fl_str_mv |
Silveira,Marcos Antonio C. da |
dc.subject.por.fl_str_mv |
New Keynesian models price indexation habit formation Bayesian econometrics |
topic |
New Keynesian models price indexation habit formation Bayesian econometrics |
description |
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. |
publishDate |
2008 |
dc.date.none.fl_str_mv |
2008-09-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402008000300005 |
url |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402008000300005 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
10.1590/S0034-71402008000300005 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
text/html |
dc.publisher.none.fl_str_mv |
Fundação Getúlio Vargas |
publisher.none.fl_str_mv |
Fundação Getúlio Vargas |
dc.source.none.fl_str_mv |
Revista Brasileira de Economia v.62 n.3 2008 reponame:Revista Brasileira de Economia (Online) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Revista Brasileira de Economia (Online) |
collection |
Revista Brasileira de Economia (Online) |
repository.name.fl_str_mv |
Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
||rbe@fgv.br |
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1754115905139245056 |