Asymmetries of the Brazilian states’ responses to shocks in monetary and exchange rate policies: an assessment using a FAVAR model
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Data de Publicação: | 2020 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Nova Economia (Online) |
Texto Completo: | https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4643 |
Resumo: | In this paper, we analyze whether the Brazilian states constitute an optimal monetary area by examining the possible asymmetries in the states’ responses to shocks in monetary and exchange policy, in addition to comparing the states’ responses to common and idiosyncratic shocks. The methodology initially developed by Lima et al. (2018) is used to estimate Factor-Augmented Vector Autoregressive (FAVAR) models that incorporates the Gibbs sampling, proposed by Wagoner and Zha (2003) to identify structural vector autoregressive (SVAR) through sign restrictions in the impulse response functions to the Gibbs sampling developed by Bernanke and Boivin (2003) to estimate FAVAR models. The model allows us to identify asymmetries in the responses of the growth economic rates and of the inflation of the Brazilian states to the shocks in the monetary policy and the exchange rate, besides estimating the relative importance of the responses of the states’ economic growth to the common and specific shocks. |
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Asymmetries of the Brazilian states’ responses to shocks in monetary and exchange rate policies: an assessment using a FAVAR modelAssimetrias nas respostas dos estados brasileiros aos choques na política monetária e no câmbio: uma análise utilizando um modelo FAVAR In this paper, we analyze whether the Brazilian states constitute an optimal monetary area by examining the possible asymmetries in the states’ responses to shocks in monetary and exchange policy, in addition to comparing the states’ responses to common and idiosyncratic shocks. The methodology initially developed by Lima et al. (2018) is used to estimate Factor-Augmented Vector Autoregressive (FAVAR) models that incorporates the Gibbs sampling, proposed by Wagoner and Zha (2003) to identify structural vector autoregressive (SVAR) through sign restrictions in the impulse response functions to the Gibbs sampling developed by Bernanke and Boivin (2003) to estimate FAVAR models. The model allows us to identify asymmetries in the responses of the growth economic rates and of the inflation of the Brazilian states to the shocks in the monetary policy and the exchange rate, besides estimating the relative importance of the responses of the states’ economic growth to the common and specific shocks.Este artigo analisa se os estados brasileiros constituem uma Área Monetária Ótima ao examinar a existência de assimetrias nas respostas estaduais aos choques na política monetária e no câmbio, além de comparar a resposta estadual aos choques comuns e idiossincráticos. Para tanto, utiliza-se a metodologia inicialmente desenvolvida por Lima et al. (2018) para estimar modelos de Vetores Autorregressivos Aumentados por Fatores Dinâmicos (FAVAR), que incorpora o amostrador de Gibbs proposto por Waggoner e Zha (2003) para identificar Vetores Autorregressivos Estruturais (SVAR) através de restrições de sinais nas funções impulso-resposta ao amostrador de Gibbs, desenvolvido por Bernanke e Boivin (2003) para estimar modelos FAVAR. O modelo permite identificar assimetrias nas respostas das taxas de crescimento do produto e dos preços dos estados brasileiros aos choques na política monetária e no câmbio, além de estimar a importância relativa das respostas das taxas de crescimento econômico estaduais aos choques comuns e específicos.Departamento de Ciências Econômicas da UFMG2020-06-10info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttps://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4643Nova Economia; Vol. 30 No. 1 (2020); 143-175Nova Economia; v. 30 n. 1 (2020); 143-1751980-53810103-6351reponame:Nova Economia (Online)instname:Universidade Federal de Minas Gerais (UFMG)instacron:UFMGporhttps://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4643/3104Copyright (c) 2020 Luiz Fernando de Paula, Luiz Carlos de Almeida Junior, Elcyon Caiado Rocha Limainfo:eu-repo/semantics/openAccessAlmeida Junior, Luiz Carlos deLima, Elcyon Caiado Rochade Paula, Luiz Fernando2020-10-04T22:21:26Zoai:ojs.pkp.sfu.ca:article/4643Revistahttps://revistas.face.ufmg.br/index.php/novaeconomiaPUBhttps://revistas.face.ufmg.br/index.php/novaeconomia/oai||ne@face.ufmg.br1980-53810103-6351opendoar:2020-10-04T22:21:26Nova Economia (Online) - Universidade Federal de Minas Gerais (UFMG)false |
dc.title.none.fl_str_mv |
Asymmetries of the Brazilian states’ responses to shocks in monetary and exchange rate policies: an assessment using a FAVAR model Assimetrias nas respostas dos estados brasileiros aos choques na política monetária e no câmbio: uma análise utilizando um modelo FAVAR |
title |
Asymmetries of the Brazilian states’ responses to shocks in monetary and exchange rate policies: an assessment using a FAVAR model |
spellingShingle |
Asymmetries of the Brazilian states’ responses to shocks in monetary and exchange rate policies: an assessment using a FAVAR model Almeida Junior, Luiz Carlos de |
title_short |
Asymmetries of the Brazilian states’ responses to shocks in monetary and exchange rate policies: an assessment using a FAVAR model |
title_full |
Asymmetries of the Brazilian states’ responses to shocks in monetary and exchange rate policies: an assessment using a FAVAR model |
title_fullStr |
Asymmetries of the Brazilian states’ responses to shocks in monetary and exchange rate policies: an assessment using a FAVAR model |
title_full_unstemmed |
Asymmetries of the Brazilian states’ responses to shocks in monetary and exchange rate policies: an assessment using a FAVAR model |
title_sort |
Asymmetries of the Brazilian states’ responses to shocks in monetary and exchange rate policies: an assessment using a FAVAR model |
author |
Almeida Junior, Luiz Carlos de |
author_facet |
Almeida Junior, Luiz Carlos de Lima, Elcyon Caiado Rocha de Paula, Luiz Fernando |
author_role |
author |
author2 |
Lima, Elcyon Caiado Rocha de Paula, Luiz Fernando |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Almeida Junior, Luiz Carlos de Lima, Elcyon Caiado Rocha de Paula, Luiz Fernando |
description |
In this paper, we analyze whether the Brazilian states constitute an optimal monetary area by examining the possible asymmetries in the states’ responses to shocks in monetary and exchange policy, in addition to comparing the states’ responses to common and idiosyncratic shocks. The methodology initially developed by Lima et al. (2018) is used to estimate Factor-Augmented Vector Autoregressive (FAVAR) models that incorporates the Gibbs sampling, proposed by Wagoner and Zha (2003) to identify structural vector autoregressive (SVAR) through sign restrictions in the impulse response functions to the Gibbs sampling developed by Bernanke and Boivin (2003) to estimate FAVAR models. The model allows us to identify asymmetries in the responses of the growth economic rates and of the inflation of the Brazilian states to the shocks in the monetary policy and the exchange rate, besides estimating the relative importance of the responses of the states’ economic growth to the common and specific shocks. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020-06-10 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4643 |
url |
https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4643 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4643/3104 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2020 Luiz Fernando de Paula, Luiz Carlos de Almeida Junior, Elcyon Caiado Rocha Lima info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2020 Luiz Fernando de Paula, Luiz Carlos de Almeida Junior, Elcyon Caiado Rocha Lima |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Departamento de Ciências Econômicas da UFMG |
publisher.none.fl_str_mv |
Departamento de Ciências Econômicas da UFMG |
dc.source.none.fl_str_mv |
Nova Economia; Vol. 30 No. 1 (2020); 143-175 Nova Economia; v. 30 n. 1 (2020); 143-175 1980-5381 0103-6351 reponame:Nova Economia (Online) instname:Universidade Federal de Minas Gerais (UFMG) instacron:UFMG |
instname_str |
Universidade Federal de Minas Gerais (UFMG) |
instacron_str |
UFMG |
institution |
UFMG |
reponame_str |
Nova Economia (Online) |
collection |
Nova Economia (Online) |
repository.name.fl_str_mv |
Nova Economia (Online) - Universidade Federal de Minas Gerais (UFMG) |
repository.mail.fl_str_mv |
||ne@face.ufmg.br |
_version_ |
1799711059780567040 |