SHOCKS IN ASSET PRICES AND THE DYNAMICS OF MACROECONOMIC POLICY DECISIONS: AN ANALYSIS OF THE FISCAL AND MONETARY RESPONSE TO A HOUSING BUBBLE

Detalhes bibliográficos
Autor(a) principal: Besarria, Cássio Nóbrega
Data de Publicação: 2017
Tipo de documento: Artigo
Idioma: por
Título da fonte: Análise Econômica (Online)
Texto Completo: https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/53405
Resumo: The objective of this article is subdivided in the investigation of rational bubbles evidences in the housing prices and in the analysis of shock effects in these asset prices, in monetary and fiscal policy instruments. The discussion about bubbles was limited to the analysis between housing prices and their dividends through linear cointegration tests with structural break. The results suggested that there are evidences of bubbles in the Brazilian housing market. The subsequent discussion evaluated the effects of this shock on the behavior of inflation series, real GDP, household consumption, Selic rate, revenue and government expenditure, labor market and housing finance, through the SVAR model. In short, it was observed that the bubble stimulated fiscal activity in a pro-cyclical behavior. On the other hand, it was found that the monetary policy, aiming to stabilize the inflation and the product, has taken into account the possible destabilizing effects caused by the bubble.
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spelling SHOCKS IN ASSET PRICES AND THE DYNAMICS OF MACROECONOMIC POLICY DECISIONS: AN ANALYSIS OF THE FISCAL AND MONETARY RESPONSE TO A HOUSING BUBBLECHOQUES NOS PREÇOS DOS ATIVOS E A DINÂMICA DAS DECISÕES DE POLÍTICA MACROECONÔMICA: UMA ANÁLISE DA RESPOSTA FISCAL E MONETÁRIA A UMA BOLHA HABITACIONALRational bubblesMonetary policyFiscal policySVARC11E52E62G12Bolhas racionaisPolítica monetáriaPolítica fiscalSVARC11E52E62G12The objective of this article is subdivided in the investigation of rational bubbles evidences in the housing prices and in the analysis of shock effects in these asset prices, in monetary and fiscal policy instruments. The discussion about bubbles was limited to the analysis between housing prices and their dividends through linear cointegration tests with structural break. The results suggested that there are evidences of bubbles in the Brazilian housing market. The subsequent discussion evaluated the effects of this shock on the behavior of inflation series, real GDP, household consumption, Selic rate, revenue and government expenditure, labor market and housing finance, through the SVAR model. In short, it was observed that the bubble stimulated fiscal activity in a pro-cyclical behavior. On the other hand, it was found that the monetary policy, aiming to stabilize the inflation and the product, has taken into account the possible destabilizing effects caused by the bubble.O objetivo deste artigo é investigar os indícios de bolhas racionais nos preços das habitações e analisar os efeitos dos choques nos preços desses ativos nos instrumentos de política monetária e fiscal. A discussão sobre bolhas se limita à análise dos preços das habitações e seus dividendos por meio de testes de cointegração linear e com quebra estrutural. Os resultados sugerem que há indícios de bolhas no mercado habitacional brasileiro. A discussão subsequente avalia os efeitos desse choque no comportamento das séries da inflação, PIB real, consumo das famílias, taxa Selic, receita e despesa governamental, mercado de trabalho e financiamento habitacional, por meio do modelo de vetores autorregressivos. Em suma, observa-se que a bolha estimula a atividade fiscal em um comportamento pró-cíclico. Por outro lado, se verifica que a política monetária, buscando estabilizar a inflação e o produto, tem levado em consideração os possíveis efeitos desestabilizadores causados pela bolha.UFRGS2017-03-17info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/5340510.22456/2176-5456.53405Análise Econômica; Vol. 35 No. 67 (2017): março de 2017Análise Econômica; v. 35 n. 67 (2017): março de 20172176-54560102-9924reponame:Análise Econômica (Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/53405/40807Copyright (c) 2019 Análise Econômicainfo:eu-repo/semantics/openAccessBesarria, Cássio Nóbrega2017-04-01T03:09:18Zoai:seer.ufrgs.br:article/53405Revistahttps://seer.ufrgs.br/index.php/AnaliseEconomicaPUBhttps://seer.ufrgs.br/index.php/AnaliseEconomica/oai||rae@ufrgs.br2176-54560102-9924opendoar:2017-04-01T03:09:18Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.none.fl_str_mv SHOCKS IN ASSET PRICES AND THE DYNAMICS OF MACROECONOMIC POLICY DECISIONS: AN ANALYSIS OF THE FISCAL AND MONETARY RESPONSE TO A HOUSING BUBBLE
CHOQUES NOS PREÇOS DOS ATIVOS E A DINÂMICA DAS DECISÕES DE POLÍTICA MACROECONÔMICA: UMA ANÁLISE DA RESPOSTA FISCAL E MONETÁRIA A UMA BOLHA HABITACIONAL
title SHOCKS IN ASSET PRICES AND THE DYNAMICS OF MACROECONOMIC POLICY DECISIONS: AN ANALYSIS OF THE FISCAL AND MONETARY RESPONSE TO A HOUSING BUBBLE
spellingShingle SHOCKS IN ASSET PRICES AND THE DYNAMICS OF MACROECONOMIC POLICY DECISIONS: AN ANALYSIS OF THE FISCAL AND MONETARY RESPONSE TO A HOUSING BUBBLE
Besarria, Cássio Nóbrega
Rational bubbles
Monetary policy
Fiscal policy
SVAR
C11
E52
E62
G12
Bolhas racionais
Política monetária
Política fiscal
SVAR
C11
E52
E62
G12
title_short SHOCKS IN ASSET PRICES AND THE DYNAMICS OF MACROECONOMIC POLICY DECISIONS: AN ANALYSIS OF THE FISCAL AND MONETARY RESPONSE TO A HOUSING BUBBLE
title_full SHOCKS IN ASSET PRICES AND THE DYNAMICS OF MACROECONOMIC POLICY DECISIONS: AN ANALYSIS OF THE FISCAL AND MONETARY RESPONSE TO A HOUSING BUBBLE
title_fullStr SHOCKS IN ASSET PRICES AND THE DYNAMICS OF MACROECONOMIC POLICY DECISIONS: AN ANALYSIS OF THE FISCAL AND MONETARY RESPONSE TO A HOUSING BUBBLE
title_full_unstemmed SHOCKS IN ASSET PRICES AND THE DYNAMICS OF MACROECONOMIC POLICY DECISIONS: AN ANALYSIS OF THE FISCAL AND MONETARY RESPONSE TO A HOUSING BUBBLE
title_sort SHOCKS IN ASSET PRICES AND THE DYNAMICS OF MACROECONOMIC POLICY DECISIONS: AN ANALYSIS OF THE FISCAL AND MONETARY RESPONSE TO A HOUSING BUBBLE
author Besarria, Cássio Nóbrega
author_facet Besarria, Cássio Nóbrega
author_role author
dc.contributor.author.fl_str_mv Besarria, Cássio Nóbrega
dc.subject.por.fl_str_mv Rational bubbles
Monetary policy
Fiscal policy
SVAR
C11
E52
E62
G12
Bolhas racionais
Política monetária
Política fiscal
SVAR
C11
E52
E62
G12
topic Rational bubbles
Monetary policy
Fiscal policy
SVAR
C11
E52
E62
G12
Bolhas racionais
Política monetária
Política fiscal
SVAR
C11
E52
E62
G12
description The objective of this article is subdivided in the investigation of rational bubbles evidences in the housing prices and in the analysis of shock effects in these asset prices, in monetary and fiscal policy instruments. The discussion about bubbles was limited to the analysis between housing prices and their dividends through linear cointegration tests with structural break. The results suggested that there are evidences of bubbles in the Brazilian housing market. The subsequent discussion evaluated the effects of this shock on the behavior of inflation series, real GDP, household consumption, Selic rate, revenue and government expenditure, labor market and housing finance, through the SVAR model. In short, it was observed that the bubble stimulated fiscal activity in a pro-cyclical behavior. On the other hand, it was found that the monetary policy, aiming to stabilize the inflation and the product, has taken into account the possible destabilizing effects caused by the bubble.
publishDate 2017
dc.date.none.fl_str_mv 2017-03-17
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://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/53405
10.22456/2176-5456.53405
url https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/53405
identifier_str_mv 10.22456/2176-5456.53405
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/53405/40807
dc.rights.driver.fl_str_mv Copyright (c) 2019 Análise Econômica
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2019 Análise Econômica
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv UFRGS
publisher.none.fl_str_mv UFRGS
dc.source.none.fl_str_mv Análise Econômica; Vol. 35 No. 67 (2017): março de 2017
Análise Econômica; v. 35 n. 67 (2017): março de 2017
2176-5456
0102-9924
reponame:Análise Econômica (Online)
instname:Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS
instname_str Universidade Federal do Rio Grande do Sul (UFRGS)
instacron_str UFRGS
institution UFRGS
reponame_str Análise Econômica (Online)
collection Análise Econômica (Online)
repository.name.fl_str_mv Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)
repository.mail.fl_str_mv ||rae@ufrgs.br
_version_ 1799766267561771008

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