Pol??tica monet??ria e o mercado imobili??rio brasileiro: uma abordagem SVAR

Detalhes bibliográficos
Autor(a) principal: Vieira, Juliana Saad
Data de Publicação: 2019
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Biblioteca Digital de Teses e Dissertações da UCB
Texto Completo: https://bdtd.ucb.br:8443/jspui/handle/tede/2574
Resumo: The present study analyzes interdependent effects between Brazilian monetary policy and real estate market, using a structural VAR model (SVAR) and its impulse response functions for diagnosis. In the face of the recent Brazilian economic crisis, the development of more extensive studies on correlated movements of interest rates and the price of real estate assets is relevant, since in other countries, variations in the interest rate and shocks from real estate variables were responsible for disturbances and / or transmission of these over other macroeconomic indicators. In addition, the literature emphasizes that monitoring of these is crucial, given its predictive nature on oscillations, contributing to the formulation of effective monetary policies. Also, the analysis is extended to a VECM model, given the presence of cointegration. The results of the different models converge, indicating a tenuous relationship between interest rates and real estate variables in the long term. Corroborating the theory employed, the variable proxy for real estate investment declines after restrictive monetary shocks. However, real estate prices, in all scenarios, respond little significantly, reinforcing inexpressive correlation between monetary policy and real estate market prices, especially in the long run.
id UCB_ba553a4ee68d9e34944554073a5bf83c
oai_identifier_str oai:bdtd.ucb.br:tede/2574
network_acronym_str UCB
network_name_str Biblioteca Digital de Teses e Dissertações da UCB
spelling Gutierrez, Carlos Enrique Carrascohttp://lattes.cnpq.br/0881893862643600http://lattes.cnpq.br/7608049220809500Vieira, Juliana Saad2019-05-22T19:56:21Z2019-02-25VIEIRA, Juliana Saad. Pol??tica monet??ria e o mercado imobili??rio brasileiro: uma abordagem SVAR. 2019. 75 f. Disserta????o (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2019.https://bdtd.ucb.br:8443/jspui/handle/tede/2574The present study analyzes interdependent effects between Brazilian monetary policy and real estate market, using a structural VAR model (SVAR) and its impulse response functions for diagnosis. In the face of the recent Brazilian economic crisis, the development of more extensive studies on correlated movements of interest rates and the price of real estate assets is relevant, since in other countries, variations in the interest rate and shocks from real estate variables were responsible for disturbances and / or transmission of these over other macroeconomic indicators. In addition, the literature emphasizes that monitoring of these is crucial, given its predictive nature on oscillations, contributing to the formulation of effective monetary policies. Also, the analysis is extended to a VECM model, given the presence of cointegration. The results of the different models converge, indicating a tenuous relationship between interest rates and real estate variables in the long term. Corroborating the theory employed, the variable proxy for real estate investment declines after restrictive monetary shocks. However, real estate prices, in all scenarios, respond little significantly, reinforcing inexpressive correlation between monetary policy and real estate market prices, especially in the long run.O presente estudo analisa efeitos interdependentes entre a pol??tica monet??ria brasileira e seu mercado imobili??rio, utilizando-se um modelo VAR estrutural (SVAR) e suas fun????es impulso resposta para diagn??stico. Diante da recente crise econ??mica brasileira, o desenvolvimento de estudos mais extensivos sobre movimentos correlatos da taxa de juros e de ativos imobili??rios mostra-se relevante, visto que, em outros pa??ses, varia????es da taxa de juros e choques advindos de vari??veis imobili??rias foram respons??veis por perturba????es e/ou transmiss??o destas sobre os demais indicadores macroecon??micos. Al??m disso, a literatura salienta que o monitoramento destas ?? crucial, dado seu car??ter preditivo sobre oscila????es, contribuindo para formula????o de pol??ticas monet??rias eficazes. Ainda, estende-se a an??lise para um modelo VECM, dada a presen??a de cointegra????o. Os resultados dos distintos modelos convergem, indicando um relacionamento t??nue entre taxa de juros e vari??veis imobili??rias no longo prazo. Corroborando a teoria empregada, a vari??vel proxy para investimento imobili??rio apresenta decrescimento ap??s choques monet??rios restritivos. No entanto, pre??os dos im??veis, em todos os cen??rios, respondem pouco significativamente, refor??ando correla????o inexpressiva entre pol??tica monet??ria e pre??os do mercado imobili??rio, especialmente no longo prazo.Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2019-05-22T19:56:12Z No. of bitstreams: 1 JulianaSaadVieiraDissertacao2019.pdf: 1168379 bytes, checksum: c77e458f2e1dbab8180cf2c6ef1a5589 (MD5)Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2019-05-22T19:56:21Z (GMT) No. of bitstreams: 1 JulianaSaadVieiraDissertacao2019.pdf: 1168379 bytes, checksum: c77e458f2e1dbab8180cf2c6ef1a5589 (MD5)Made available in DSpace on 2019-05-22T19:56:21Z (GMT). No. of bitstreams: 1 JulianaSaadVieiraDissertacao2019.pdf: 1168379 bytes, checksum: c77e458f2e1dbab8180cf2c6ef1a5589 (MD5) Previous issue date: 2019-02-25application/pdfhttps://bdtd.ucb.br:8443/jspui/retrieve/6386/JulianaSaadVieiraDissertacao2019.pdf.jpgporUniversidade Cat??lica de Bras??liaPrograma Stricto Sensu em Economia de EmpresasUCBBrasilEscola de Gest??o e Neg??ciosPol??tica monet??riaMercado imobili??rioModelo VAR estruturalStructural VAR modelMonetary policyHousing marketCNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIAPol??tica monet??ria e o mercado imobili??rio brasileiro: uma abordagem SVARinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Biblioteca Digital de Teses e Dissertações da UCBinstname:Universidade Católica de Brasília (UCB)instacron:UCBLICENSElicense.txtlicense.txttext/plain; charset=utf-81905https://200.214.135.178:8443/jspui/bitstream/tede/2574/1/license.txt75558dcf859532757239878b42f1c2c7MD51ORIGINALJulianaSaadVieiraDissertacao2019.pdfJulianaSaadVieiraDissertacao2019.pdfapplication/pdf1168379https://200.214.135.178:8443/jspui/bitstream/tede/2574/2/JulianaSaadVieiraDissertacao2019.pdfc77e458f2e1dbab8180cf2c6ef1a5589MD52TEXTJulianaSaadVieiraDissertacao2019.pdf.txtJulianaSaadVieiraDissertacao2019.pdf.txttext/plain90756https://200.214.135.178:8443/jspui/bitstream/tede/2574/3/JulianaSaadVieiraDissertacao2019.pdf.txt6db534910f6919cca4e35cd22c304ccbMD53THUMBNAILJulianaSaadVieiraDissertacao2019.pdf.jpgJulianaSaadVieiraDissertacao2019.pdf.jpgimage/jpeg6087https://200.214.135.178:8443/jspui/bitstream/tede/2574/4/JulianaSaadVieiraDissertacao2019.pdf.jpga85ae5459db9e3021ea6568871f30a65MD54tede/25742019-05-23 01:30:15.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 Digital de Teses e Dissertaçõeshttps://bdtd.ucb.br:8443/jspui/
dc.title.por.fl_str_mv Pol??tica monet??ria e o mercado imobili??rio brasileiro: uma abordagem SVAR
title Pol??tica monet??ria e o mercado imobili??rio brasileiro: uma abordagem SVAR
spellingShingle Pol??tica monet??ria e o mercado imobili??rio brasileiro: uma abordagem SVAR
Vieira, Juliana Saad
Pol??tica monet??ria
Mercado imobili??rio
Modelo VAR estrutural
Structural VAR model
Monetary policy
Housing market
CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
title_short Pol??tica monet??ria e o mercado imobili??rio brasileiro: uma abordagem SVAR
title_full Pol??tica monet??ria e o mercado imobili??rio brasileiro: uma abordagem SVAR
title_fullStr Pol??tica monet??ria e o mercado imobili??rio brasileiro: uma abordagem SVAR
title_full_unstemmed Pol??tica monet??ria e o mercado imobili??rio brasileiro: uma abordagem SVAR
title_sort Pol??tica monet??ria e o mercado imobili??rio brasileiro: uma abordagem SVAR
author Vieira, Juliana Saad
author_facet Vieira, Juliana Saad
author_role author
dc.contributor.advisor1.fl_str_mv Gutierrez, Carlos Enrique Carrasco
dc.contributor.advisor1Lattes.fl_str_mv http://lattes.cnpq.br/0881893862643600
dc.contributor.authorLattes.fl_str_mv http://lattes.cnpq.br/7608049220809500
dc.contributor.author.fl_str_mv Vieira, Juliana Saad
contributor_str_mv Gutierrez, Carlos Enrique Carrasco
dc.subject.por.fl_str_mv Pol??tica monet??ria
Mercado imobili??rio
Modelo VAR estrutural
topic Pol??tica monet??ria
Mercado imobili??rio
Modelo VAR estrutural
Structural VAR model
Monetary policy
Housing market
CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
dc.subject.eng.fl_str_mv Structural VAR model
Monetary policy
Housing market
dc.subject.cnpq.fl_str_mv CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
dc.description.abstract.eng.fl_txt_mv The present study analyzes interdependent effects between Brazilian monetary policy and real estate market, using a structural VAR model (SVAR) and its impulse response functions for diagnosis. In the face of the recent Brazilian economic crisis, the development of more extensive studies on correlated movements of interest rates and the price of real estate assets is relevant, since in other countries, variations in the interest rate and shocks from real estate variables were responsible for disturbances and / or transmission of these over other macroeconomic indicators. In addition, the literature emphasizes that monitoring of these is crucial, given its predictive nature on oscillations, contributing to the formulation of effective monetary policies. Also, the analysis is extended to a VECM model, given the presence of cointegration. The results of the different models converge, indicating a tenuous relationship between interest rates and real estate variables in the long term. Corroborating the theory employed, the variable proxy for real estate investment declines after restrictive monetary shocks. However, real estate prices, in all scenarios, respond little significantly, reinforcing inexpressive correlation between monetary policy and real estate market prices, especially in the long run.
dc.description.abstract.por.fl_txt_mv O presente estudo analisa efeitos interdependentes entre a pol??tica monet??ria brasileira e seu mercado imobili??rio, utilizando-se um modelo VAR estrutural (SVAR) e suas fun????es impulso resposta para diagn??stico. Diante da recente crise econ??mica brasileira, o desenvolvimento de estudos mais extensivos sobre movimentos correlatos da taxa de juros e de ativos imobili??rios mostra-se relevante, visto que, em outros pa??ses, varia????es da taxa de juros e choques advindos de vari??veis imobili??rias foram respons??veis por perturba????es e/ou transmiss??o destas sobre os demais indicadores macroecon??micos. Al??m disso, a literatura salienta que o monitoramento destas ?? crucial, dado seu car??ter preditivo sobre oscila????es, contribuindo para formula????o de pol??ticas monet??rias eficazes. Ainda, estende-se a an??lise para um modelo VECM, dada a presen??a de cointegra????o. Os resultados dos distintos modelos convergem, indicando um relacionamento t??nue entre taxa de juros e vari??veis imobili??rias no longo prazo. Corroborando a teoria empregada, a vari??vel proxy para investimento imobili??rio apresenta decrescimento ap??s choques monet??rios restritivos. No entanto, pre??os dos im??veis, em todos os cen??rios, respondem pouco significativamente, refor??ando correla????o inexpressiva entre pol??tica monet??ria e pre??os do mercado imobili??rio, especialmente no longo prazo.
description The present study analyzes interdependent effects between Brazilian monetary policy and real estate market, using a structural VAR model (SVAR) and its impulse response functions for diagnosis. In the face of the recent Brazilian economic crisis, the development of more extensive studies on correlated movements of interest rates and the price of real estate assets is relevant, since in other countries, variations in the interest rate and shocks from real estate variables were responsible for disturbances and / or transmission of these over other macroeconomic indicators. In addition, the literature emphasizes that monitoring of these is crucial, given its predictive nature on oscillations, contributing to the formulation of effective monetary policies. Also, the analysis is extended to a VECM model, given the presence of cointegration. The results of the different models converge, indicating a tenuous relationship between interest rates and real estate variables in the long term. Corroborating the theory employed, the variable proxy for real estate investment declines after restrictive monetary shocks. However, real estate prices, in all scenarios, respond little significantly, reinforcing inexpressive correlation between monetary policy and real estate market prices, especially in the long run.
publishDate 2019
dc.date.accessioned.fl_str_mv 2019-05-22T19:56:21Z
dc.date.issued.fl_str_mv 2019-02-25
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
status_str publishedVersion
format masterThesis
dc.identifier.citation.fl_str_mv VIEIRA, Juliana Saad. Pol??tica monet??ria e o mercado imobili??rio brasileiro: uma abordagem SVAR. 2019. 75 f. Disserta????o (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2019.
dc.identifier.uri.fl_str_mv https://bdtd.ucb.br:8443/jspui/handle/tede/2574
identifier_str_mv VIEIRA, Juliana Saad. Pol??tica monet??ria e o mercado imobili??rio brasileiro: uma abordagem SVAR. 2019. 75 f. Disserta????o (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2019.
url https://bdtd.ucb.br:8443/jspui/handle/tede/2574
dc.language.iso.fl_str_mv por
language por
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Cat??lica de Bras??lia
dc.publisher.program.fl_str_mv Programa Stricto Sensu em Economia de Empresas
dc.publisher.initials.fl_str_mv UCB
dc.publisher.country.fl_str_mv Brasil
dc.publisher.department.fl_str_mv Escola de Gest??o e Neg??cios
publisher.none.fl_str_mv Universidade Cat??lica de Bras??lia
dc.source.none.fl_str_mv reponame:Biblioteca Digital de Teses e Dissertações da UCB
instname:Universidade Católica de Brasília (UCB)
instacron:UCB
instname_str Universidade Católica de Brasília (UCB)
instacron_str UCB
institution UCB
reponame_str Biblioteca Digital de Teses e Dissertações da UCB
collection Biblioteca Digital de Teses e Dissertações da UCB
bitstream.url.fl_str_mv https://200.214.135.178:8443/jspui/bitstream/tede/2574/1/license.txt
https://200.214.135.178:8443/jspui/bitstream/tede/2574/2/JulianaSaadVieiraDissertacao2019.pdf
https://200.214.135.178:8443/jspui/bitstream/tede/2574/3/JulianaSaadVieiraDissertacao2019.pdf.txt
https://200.214.135.178:8443/jspui/bitstream/tede/2574/4/JulianaSaadVieiraDissertacao2019.pdf.jpg
bitstream.checksum.fl_str_mv 75558dcf859532757239878b42f1c2c7
c77e458f2e1dbab8180cf2c6ef1a5589
6db534910f6919cca4e35cd22c304ccb
a85ae5459db9e3021ea6568871f30a65
bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
MD5
MD5
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1724829779589332992

Registros relacionados