Política Monetária e Preço dos Imóveis no Brasil: Uma Análise a partir de um Modelo DSGE

Maia

2020

JES

Self Cite

PurposeThis paper aims to analyze the macroeconomic effects of a monetary policy shock considering that fiscal policy is under fiscal constraints. For that, a dynamic stochastic general equilibrium (DSGE) model was developed for Brazil, which was estimated through Bayesian econometrics.Design/methodology/approachIn the basic model, the government does not have any type of fiscal restriction. The other two estimated models, however, consider that the fiscal authority implements some kind of fiscal rule. One of these rules is the Constitutional Amendment 95/2016 (EA 95/2016), which includes a limitation for government spending. The other Alternative Rule seeks to represent the characteristics of a more austere fiscal rule, as proposed by Wesselbaum (2017).FindingsIt was possible to verify in this paper that the implementation of EA 95/2016 by the Brazilian government does not produce statistically different results and that it reduces the welfare of the households in relation to the scenario without fiscal rule. Thus, the proportionate benefit of EA 95/2016 is less than the cost associated with this fiscal rule (less welfare). If the government adopts a fiscal constraint similar to the Alternative Rule, it is possible to considerably reduce the interaction between fiscal and monetary policy, thereby reducing the fiscal dominance policy over monetary policy. However, the cost in terms of welfare is much higher than the baseline scenario. Thus, the fiscal authority is subject to a trade-off among public debt stabilization and household welfare.Originality/valueThe study intends to contribute to the literature on three specific points. First, the monetary–fiscal policy interaction within a representative model of the Brazilian economy is discussed. In addition, the study considers that the government can adopt EA 95/2016 and the Alternative Rule, used in the US economy. Second, the impacts of EA 95/2016 and the Alternative Rule on household welfare will be quantified. Finally, two types of individuals (Ricardian and non-Ricardian agents) and two sectors of production (wholesalers and retailers) are considered. In this paper, the DSGE model is estimated, since the previously mentioned authors performed simulations

Section: Bayesian Estimationcontrasting

confidence: 99%

Section: Bayesian Estimationcontrasting

confidence: 99%

Section: Bayesian Estimationsupporting

confidence: 63%

Section: Notessupporting

confidence: 53%

See 2 more Smart Citations

The macroeconomic effects of monetary policy shocks under fiscal constrained

Jesús

Maia

2020

JES

Self Cite

“…Second, the authors test whether the price-to-rent ratio is stationary.Findings -The authors' results show that there is evidence of a bubble in housing prices in Brazil.However, given the short span of the data, the authors perform a Monte Carlo simulation and show that the cointegration tests may be biased in small samples. Therefore, the authors should be caution when assessing the results.Research limitations/implications -The results obtained from the cointegration analysis can be biased for small samples.Practical implications -The information on the excessive increase of the prices of the properties in relation to their fundamental value can help in the decision-making on investment of the economic agents.Social implications -These results corroborate the hypothesis that Brazil has an excessive appreciation in housing prices, and, as Silva and Besarria (2018) have suggested, this behavior explains, in part, the fact that the central bank has taken this issue into account when deciding about the stance of monetary policy of Brazil.Originality/value -The originality is linked to the use of the Gregory-Hansen method of cointegration in the identification of bubbles and discussion of the limitations of the research through Monte Carlo simulation.…”

supporting

confidence: 80%

Testing for bubbles in housing markets: some evidence for Brazil

Paes

Silva

2018

IJHMA

Self Cite

Purpose Housing prices in Brazil have displayed an impressive growth in recent years, raising some concerns about the existence of a bubble in housing markets. In this paper, the authors implement an empirical methodology to identify whether or not there is a bubble in housing markets in Brazil. Design/methodology/approach Based on a theoretical model that establish that, in the absence of a bubble, a long-run equilibrium relationship should be observed between the market price of an asset and its dividends. The authors implement two methodologies. First, the authors assess whether there is a cointegration relationship between housing prices and housing rental prices. Second, the authors test whether the price-to-rent ratio is stationary. Findings The authors’ results show that there is evidence of a bubble in housing prices in Brazil. However, given the short span of the data, the authors perform a Monte Carlo simulation and show that the cointegration tests may be biased in small samples. Therefore, the authors should be caution when assessing the results. Research limitations/implications The results obtained from the cointegration analysis can be biased for small samples. Practical implications The information on the excessive increase of the prices of the properties in relation to their fundamental value can help in the decision-making on investment of the economic agents. Social implications These results corroborate the hypothesis that Brazil has an excessive appreciation in housing prices, and, as Silva and Besarria (2018) have suggested, this behavior explains, in part, the fact that the central bank has taken this issue into account when deciding about the stance of monetary policy of Brazil. Originality/value The originality is linked to the use of the Gregory-Hansen method of cointegration in the identification of bubbles and discussion of the limitations of the research through Monte Carlo simulation.

Public debt management and the interaction between fiscal and monetary policies

Nobrega

Aragón

2021

JES

Self Cite

PurposeThis paper aims to investigate the existing relations between the management of public bonds on the dynamics of debt, term structure of interest rates and economic cycle, through a dynamic stochastic general equilibrium model (DSGE), which was estimated through Bayesian inference techniques using data from Brazil.Design/methodology/approachThe model developed was used to investigate the effects of the public debt average maturity management when the economy faces a monetary policy shock. For this, three management scenarios are evaluated, including Brazilian securities average term.FindingsContrary to what might be inferred from DSGE models that limited the analysis of the debt term by imposing only one-period bonds, a contractionary monetary policy shock does not necessarily cause public debt to increase significantly. Debt term structure plays a crucial role in this result since the government does not need to roll the debt over at higher costs when the debt term profile is longer, reducing the debt service costs and then the impact on the overall debt.Originality/valueDespite the relevance of this theme and its implications for the dynamics of the economy, there is still a gap to be filled in the literature when using DSGE models, since most part of the work that used this methodology limited the analysis of the debt term by imposing that government issues only one-period bonds. This paper differs from the others insofar as it promotes an investigation focused on the role played by debt maturity management on the performance of the contractionary monetary policy. This approach can generate a better understanding of debt management policy and its interaction with fiscal and monetary policies.