Uncertainty shocks and business cycles in Brazil : a DSGE approach

Detalhes bibliográficos
Autor(a) principal: MELO, Caíque Luan de Santana
Data de Publicação: 2019
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Institucional da UFPE
dARK ID: ark:/64986/001300000bxrw
Texto Completo: https://repositorio.ufpe.br/handle/123456789/40157
Resumo: In this present work I analyze the impact of uncertainty shocks on the Brazilian economy. I employ a Dynamic Stochastic General Equilibrium model to assess the transmission channels of uncertainty shocks. could be identified and I solve the model using a third order approximation for the policy functions since lower order approximations are not able to capture the effects of volatility shocks. Examining the channels through which shocks of uncertainty on TFP and interest rates may affect Brazilian economy, the impulse-response functions suggest that an increase in domestic and external volatility usually leads to a drop in consumption, investment, and output, and an increase in labor supply and external debt. Through the variance decomposition uncertainty shocks are relevant to explain the dynamics of economic activity in Brazil. Additionally I perform a robustness analysis and showed that the results are maintained in response to different calibrations.
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spelling MELO, Caíque Luan de Santanahttp://lattes.cnpq.br/3053372508846880http://lattes.cnpq.br/0019694783676378SILVA, Marcelo Eduardo Alves da2021-05-24T12:21:54Z2021-05-24T12:21:54Z2019-02-27MELO, Caíque Luan de Santana. Uncertainty shocks and business cycles in Brazil: a DSGE approach. 2019. Dissertação (Mestrado em Economia) – Universidade Federal de Pernambuco, Recife, 2019.https://repositorio.ufpe.br/handle/123456789/40157ark:/64986/001300000bxrwIn this present work I analyze the impact of uncertainty shocks on the Brazilian economy. I employ a Dynamic Stochastic General Equilibrium model to assess the transmission channels of uncertainty shocks. could be identified and I solve the model using a third order approximation for the policy functions since lower order approximations are not able to capture the effects of volatility shocks. Examining the channels through which shocks of uncertainty on TFP and interest rates may affect Brazilian economy, the impulse-response functions suggest that an increase in domestic and external volatility usually leads to a drop in consumption, investment, and output, and an increase in labor supply and external debt. Through the variance decomposition uncertainty shocks are relevant to explain the dynamics of economic activity in Brazil. Additionally I perform a robustness analysis and showed that the results are maintained in response to different calibrations.CNPqNeste trabalho é analisado o impacto dos choques de incerteza na economia brasileira. Foi empregado um modelo de equilíbrio geral estocástico dinâmico para que os canais de transmissão de choques de incerteza pudessem ser identificados e o modelo é resolvido usando uma aproximação de terceira ordem para as funções de política, uma vez que aproximações de ordem inferior não são capazes de capturar os efeitos dos choques de volatilidade. Examinando os canais através dos quais os choques de incerteza sobre a PTF e as taxas de juros podem afetar a economia brasileira, as funções impulso-resposta sugerem que um aumento na volatilidade interna e externa geralmente leva a uma queda no consumo, investimento e produção e um aumento na oferta mão de obra e dívida externa. Por meio da decomposição da variância, os choques de incerteza são relevantes para explicar a dinâmica da atividade econômica no Brasil. Além disso, é executada uma análise de robustez e é mostrado que os resultados são mantidos em resposta a diferentes calibrações.engUniversidade Federal de PernambucoPrograma de Pos Graduacao em EconomiaUFPEBrasilhttp://creativecommons.org/licenses/by-nc-nd/3.0/br/info:eu-repo/semantics/openAccessIncertezaEquilíbrio geralEconomia brasileiraUncertainty shocks and business cycles in Brazil : a DSGE approachinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesismestradoreponame:Repositório Institucional da UFPEinstname:Universidade Federal de Pernambuco (UFPE)instacron:UFPEORIGINALDISSERTAÇÃO Caíque Luan de Santana Melo.pdfDISSERTAÇÃO Caíque Luan de Santana Melo.pdfapplication/pdf740563https://repositorio.ufpe.br/bitstream/123456789/40157/1/DISSERTA%c3%87%c3%83O%20Ca%c3%adque%20Luan%20de%20Santana%20Melo.pdf113ad66cd0c9acae7438747e9d500e86MD51CC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-8811https://repositorio.ufpe.br/bitstream/123456789/40157/2/license_rdfe39d27027a6cc9cb039ad269a5db8e34MD52LICENSElicense.txtlicense.txttext/plain; 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dc.title.pt_BR.fl_str_mv Uncertainty shocks and business cycles in Brazil : a DSGE approach
title Uncertainty shocks and business cycles in Brazil : a DSGE approach
spellingShingle Uncertainty shocks and business cycles in Brazil : a DSGE approach
MELO, Caíque Luan de Santana
Incerteza
Equilíbrio geral
Economia brasileira
title_short Uncertainty shocks and business cycles in Brazil : a DSGE approach
title_full Uncertainty shocks and business cycles in Brazil : a DSGE approach
title_fullStr Uncertainty shocks and business cycles in Brazil : a DSGE approach
title_full_unstemmed Uncertainty shocks and business cycles in Brazil : a DSGE approach
title_sort Uncertainty shocks and business cycles in Brazil : a DSGE approach
author MELO, Caíque Luan de Santana
author_facet MELO, Caíque Luan de Santana
author_role author
dc.contributor.authorLattes.pt_BR.fl_str_mv http://lattes.cnpq.br/3053372508846880
dc.contributor.advisorLattes.pt_BR.fl_str_mv http://lattes.cnpq.br/0019694783676378
dc.contributor.author.fl_str_mv MELO, Caíque Luan de Santana
dc.contributor.advisor1.fl_str_mv SILVA, Marcelo Eduardo Alves da
contributor_str_mv SILVA, Marcelo Eduardo Alves da
dc.subject.por.fl_str_mv Incerteza
Equilíbrio geral
Economia brasileira
topic Incerteza
Equilíbrio geral
Economia brasileira
description In this present work I analyze the impact of uncertainty shocks on the Brazilian economy. I employ a Dynamic Stochastic General Equilibrium model to assess the transmission channels of uncertainty shocks. could be identified and I solve the model using a third order approximation for the policy functions since lower order approximations are not able to capture the effects of volatility shocks. Examining the channels through which shocks of uncertainty on TFP and interest rates may affect Brazilian economy, the impulse-response functions suggest that an increase in domestic and external volatility usually leads to a drop in consumption, investment, and output, and an increase in labor supply and external debt. Through the variance decomposition uncertainty shocks are relevant to explain the dynamics of economic activity in Brazil. Additionally I perform a robustness analysis and showed that the results are maintained in response to different calibrations.
publishDate 2019
dc.date.issued.fl_str_mv 2019-02-27
dc.date.accessioned.fl_str_mv 2021-05-24T12:21:54Z
dc.date.available.fl_str_mv 2021-05-24T12:21:54Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
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dc.identifier.citation.fl_str_mv MELO, Caíque Luan de Santana. Uncertainty shocks and business cycles in Brazil: a DSGE approach. 2019. Dissertação (Mestrado em Economia) – Universidade Federal de Pernambuco, Recife, 2019.
dc.identifier.uri.fl_str_mv https://repositorio.ufpe.br/handle/123456789/40157
dc.identifier.dark.fl_str_mv ark:/64986/001300000bxrw
identifier_str_mv MELO, Caíque Luan de Santana. Uncertainty shocks and business cycles in Brazil: a DSGE approach. 2019. Dissertação (Mestrado em Economia) – Universidade Federal de Pernambuco, Recife, 2019.
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dc.publisher.none.fl_str_mv Universidade Federal de Pernambuco
dc.publisher.program.fl_str_mv Programa de Pos Graduacao em Economia
dc.publisher.initials.fl_str_mv UFPE
dc.publisher.country.fl_str_mv Brasil
publisher.none.fl_str_mv Universidade Federal de Pernambuco
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