Política monetária e o mercado imobiliário brasileiro: uma abordagem SVAR

Detalhes bibliográficos
Ano de defesa: 2019
Autor(a) principal: Vieira, Juliana Saad lattes
Orientador(a): Gutierrez, Carlos Enrique Carrasco lattes
Banca de defesa: Não Informado pela instituição
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: por
Instituição de defesa: Universidade Católica de Brasília
Programa de Pós-Graduação: Programa Stricto Sensu em Economia de Empresas
Departamento: Escola de Gestão e Negócios
País: Brasil
Palavras-chave em Português:
Política monetária
Mercado imobiliário
Modelo VAR estrutural
Palavras-chave em Inglês:
Structural VAR model
Monetary policy
Housing market
Área do conhecimento CNPq:
CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
Resumo em Inglês: 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.
Link de acesso: 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.
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spelling Gutierrez, Carlos Enrique Carrascohttp://lattes.cnpq.br/0881893862643600http://lattes.cnpq.br/7608049220809500Vieira, Juliana Saad2019-05-22T19:56:21Z2019-02-25VIEIRA, Juliana Saad. Política monetária e o mercado imobiliário brasileiro: uma abordagem SVAR. 2019. 75 f. Dissertação (Programa Stricto Sensu em Economia de Empresas) - Universidade Católica de Brasília, Brasília, 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 política monetária brasileira e seu mercado imobiliário, utilizando-se um modelo VAR estrutural (SVAR) e suas funções impulso resposta para diagnóstico. Diante da recente crise econômica brasileira, o desenvolvimento de estudos mais extensivos sobre movimentos correlatos da taxa de juros e de ativos imobiliários mostra-se relevante, visto que, em outros países, variações da taxa de juros e choques advindos de variáveis imobiliárias foram responsáveis por perturbações e/ou transmissão destas sobre os demais indicadores macroeconômicos. Além disso, a literatura salienta que o monitoramento destas é crucial, dado seu caráter preditivo sobre oscilações, contribuindo para formulação de políticas monetárias eficazes. Ainda, estende-se a análise para um modelo VECM, dada a presença de cointegração. Os resultados dos distintos modelos convergem, indicando um relacionamento tênue entre taxa de juros e variáveis imobiliárias no longo prazo. Corroborando a teoria empregada, a variável proxy para investimento imobiliário apresenta decrescimento após choques monetários restritivos. No entanto, preços dos imóveis, em todos os cenários, respondem pouco significativamente, reforçando correlação inexpressiva entre política monetária e preços do mercado imobiliário, 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 Católica de BrasíliaPrograma Stricto Sensu em Economia de EmpresasUCBBrasilEscola de Gestão e NegóciosPolítica monetáriaMercado imobiliárioModelo VAR estruturalStructural VAR modelMonetary policyHousing marketCNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIAPolítica monetária e o mercado imobiliário 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 Brasíliainstacron:UCBTHUMBNAILJulianaSaadVieiraDissertacao2019.pdf.jpgJulianaSaadVieiraDissertacao2019.pdf.jpgimage/jpeg6087https://bdtd.ucb.br:8443/jspui/bitstream/tede/2574/4/JulianaSaadVieiraDissertacao2019.pdf.jpga85ae5459db9e3021ea6568871f30a65MD54TEXTJulianaSaadVieiraDissertacao2019.pdf.txtJulianaSaadVieiraDissertacao2019.pdf.txttext/plain90756https://bdtd.ucb.br:8443/jspui/bitstream/tede/2574/3/JulianaSaadVieiraDissertacao2019.pdf.txt6db534910f6919cca4e35cd22c304ccbMD53ORIGINALJulianaSaadVieiraDissertacao2019.pdfJulianaSaadVieiraDissertacao2019.pdfapplication/pdf1168379https://bdtd.ucb.br:8443/jspui/bitstream/tede/2574/2/JulianaSaadVieiraDissertacao2019.pdfc77e458f2e1dbab8180cf2c6ef1a5589MD52LICENSElicense.txtlicense.txttext/plain; charset=utf-81905https://bdtd.ucb.br:8443/jspui/bitstream/tede/2574/1/license.txt75558dcf859532757239878b42f1c2c7MD51tede/2574oai:bdtd.ucb.br:tede/25742019-05-23 01:30:15.466Biblioteca Digital de Dissertações da Universidade Católica de Brasília - UCBsdi@ucb.brTElDRU7Dh0EgREUgRElTVFJJQlVJw4fDg08gTsODTy1FWENMVVNJVkEKCkNvbSBhIGFwcmVzZW50YcOnw6NvIGRlc3RhIGxpY2Vuw6dhLCB2b2PDqiAoYXV0b3Igb3UgbyB0aXR1bGFyIGRvcyBkaXJlaXRvcyBkZSBhdXRvcikgY29uY2VkZSDDoCBVbml2ZXJzaWRhZGUgQ2F0w7NsaWNhIGRlIEJyYXPDrWxpYSAoVUNCKSBvIGRpcmVpdG8gbsOjby1leGNsdXNpdm8gZGUgcmVwcm9kdXppciwgdHJhZHV6aXIgKGNvbmZvcm1lIGRlZmluaWRvIGFiYWl4byksIGUvb3UgZGlzdHJpYnVpciBhIHN1YSB0ZXNlIG91IGRpc3NlcnRhw6fDo28gKGluY2x1aW5kbyBvIHJlc3VtbykgcG9yIHRvZG8gbyBtdW5kbyBubyBmb3JtYXRvIGltcHJlc3NvIGUgZWxldHLDtG5pY28gZSBlbSBxdWFscXVlciBtZWlvLCBpbmNsdWluZG8gb3MgZm9ybWF0b3Mgw6F1ZGlvIG91IHbDrWRlby4KClZvY8OqIGNvbmNvcmRhIHF1ZSBhIFVDQiBwb2RlLCBzZW0gYWx0ZXJhciBvIGNvbnRlw7pkbywgdHJhbnNwb3IgYSBzdWEgdGVzZSBvdSBkaXNzZXJ0YcOnw6NvIHBhcmEgcXVhbHF1ZXIgbWVpbyBvdSBmb3JtYXRvIHBhcmEgZmlucyBkZSBwcmVzZXJ2YcOnw6NvLgoKVm9jw6ogdGFtYsOpbSBjb25jb3JkYSBxdWUgYSBVQ0IgcG9kZSBtYW50ZXIgbWFpcyBkZSB1bWEgY8OzcGlhIGEgc3VhIHRlc2Ugb3UgZGlzc2VydGHDp8OjbyBwYXJhIGZpbnMgZGUgc2VndXJhbsOnYSwgYmFjay11cCBlIHByZXNlcnZhw6fDo28uCgpWb2PDqiBkZWNsYXJhIHF1ZSBhIHN1YSB0ZXNlIG91IGRpc3NlcnRhw6fDo28gw6kgb3JpZ2luYWwgZSBxdWUgdm9jw6ogdGVtIG8gcG9kZXIgZGUgY29uY2VkZXIgb3MgZGlyZWl0b3MgY29udGlkb3MgbmVzdGEgbGljZW7Dp2EuIFZvY8OqIHRhbWLDqW0gZGVjbGFyYSBxdWUgbyBkZXDDs3NpdG8gZGEgc3VhIHRlc2Ugb3UgZGlzc2VydGHDp8OjbyBuw6NvIGluZnJpbmdlIGRpcmVpdG9zIGF1dG9yYWlzIGRlIG5pbmd1w6ltLgoKQ2FzbyBhIHN1YSB0ZXNlIG91IGRpc3NlcnRhw6fDo28gY29udGVuaGEgbWF0ZXJpYWwgcXVlIHZvY8OqIG7Do28gcG9zc3VpIGEgdGl0dWxhcmlkYWRlIGRvcyBkaXJlaXRvcyBhdXRvcmFpcywgdm9jw6ogZGVjbGFyYSBxdWUgb2J0ZXZlIGEgcGVybWlzc8OjbyBpcnJlc3RyaXRhIGRvIGRldGVudG9yIGRvcyBkaXJlaXRvcyBhdXRvcmFpcyBwYXJhIGNvbmNlZGVyIMOgIFVDQiBvcyBkaXJlaXRvcyBhcHJlc2VudGFkb3MgbmVzdGEgbGljZW7Dp2EsIGUgcXVlIGVzc2UgbWF0ZXJpYWwgZGUgcHJvcHJpZWRhZGUgZGUgdGVyY2Vpcm9zIGVzdMOhIGNsYXJhbWVudGUgaWRlbnRpZmljYWRvIGUgcmVjb25oZWNpZG8gbm8gdGV4dG8gb3Ugbm8gY29udGXDumRvIGRhIHRlc2Ugb3UgZGlzc2VydGHDp8OjbyBvcmEgZGVwb3NpdGFkYS4KCkNhc28gYSB0ZXNlIG91IGRpc3NlcnRhw6fDo28gZGVwb3NpdGFkYSB0ZW5oYSBzaWRvIHJlc3VsdGFkbyBkZSB1bSBwYXRyb2PDrW5pbyBvdSBhcG9pbyBkZSB1bWEgYWfDqm5jaWEgZGUgZm9tZW50byBvdSBvdXRybyBvcmdhbmlzbW8gcXVlIG7Do28gc2VqYSBhIFVDQiwgdm9jw6ogZGVjbGFyYSBxdWUgcmVzcGVpdG91IHRvZG9zIGUgcXVhaXNxdWVyIGRpcmVpdG9zIGRlIHJldmlzw6NvIGNvbW8gdGFtYsOpbSBhcyBkZW1haXMgb2JyaWdhw6fDtWVzIGV4aWdpZGFzIHBvciBjb250cmF0byBvdSBhY29yZG8uCgpBIFVDQiBzZSBjb21wcm9tZXRlIGEgaWRlbnRpZmljYXIgY2xhcmFtZW50ZSBvIHNldSBub21lIChzKSBvdSBvKHMpIG5vbWUocykgZG8ocykgZGV0ZW50b3IoZXMpIGRvcyBkaXJlaXRvcyBhdXRvcmFpcyBkYSB0ZXNlIG91IGRpc3NlcnRhw6fDo28sIGUgbsOjbyBmYXLDoSBxdWFscXVlciBhbHRlcmHDp8OjbywgYWzDqW0gZGFxdWVsYXMgY29uY2VkaWRhcyBwb3IgZXN0YSBsaWNlbsOnYS4K
dc.title.por.fl_str_mv Política monetária e o mercado imobiliário brasileiro: uma abordagem SVAR
title Política monetária e o mercado imobiliário brasileiro: uma abordagem SVAR
spellingShingle Política monetária e o mercado imobiliário brasileiro: uma abordagem SVAR
Vieira, Juliana Saad
Política monetária
Mercado imobiliário
Modelo VAR estrutural
Structural VAR model
Monetary policy
Housing market
CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
title_short Política monetária e o mercado imobiliário brasileiro: uma abordagem SVAR
title_full Política monetária e o mercado imobiliário brasileiro: uma abordagem SVAR
title_fullStr Política monetária e o mercado imobiliário brasileiro: uma abordagem SVAR
title_full_unstemmed Política monetária e o mercado imobiliário brasileiro: uma abordagem SVAR
title_sort Política monetária e o mercado imobiliário 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 Política monetária
Mercado imobiliário
Modelo VAR estrutural
topic Política monetária
Mercado imobiliário
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 política monetária brasileira e seu mercado imobiliário, utilizando-se um modelo VAR estrutural (SVAR) e suas funções impulso resposta para diagnóstico. Diante da recente crise econômica brasileira, o desenvolvimento de estudos mais extensivos sobre movimentos correlatos da taxa de juros e de ativos imobiliários mostra-se relevante, visto que, em outros países, variações da taxa de juros e choques advindos de variáveis imobiliárias foram responsáveis por perturbações e/ou transmissão destas sobre os demais indicadores macroeconômicos. Além disso, a literatura salienta que o monitoramento destas é crucial, dado seu caráter preditivo sobre oscilações, contribuindo para formulação de políticas monetárias eficazes. Ainda, estende-se a análise para um modelo VECM, dada a presença de cointegração. Os resultados dos distintos modelos convergem, indicando um relacionamento tênue entre taxa de juros e variáveis imobiliárias no longo prazo. Corroborando a teoria empregada, a variável proxy para investimento imobiliário apresenta decrescimento após choques monetários restritivos. No entanto, preços dos imóveis, em todos os cenários, respondem pouco significativamente, reforçando correlação inexpressiva entre política monetária e preços do mercado imobiliário, 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
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dc.identifier.citation.fl_str_mv VIEIRA, Juliana Saad. Política monetária e o mercado imobiliário brasileiro: uma abordagem SVAR. 2019. 75 f. Dissertação (Programa Stricto Sensu em Economia de Empresas) - Universidade Católica de Brasília, Brasília, 2019.
dc.identifier.uri.fl_str_mv https://bdtd.ucb.br:8443/jspui/handle/tede/2574
identifier_str_mv VIEIRA, Juliana Saad. Política monetária e o mercado imobiliário brasileiro: uma abordagem SVAR. 2019. 75 f. Dissertação (Programa Stricto Sensu em Economia de Empresas) - Universidade Católica de Brasília, Brasília, 2019.
url https://bdtd.ucb.br:8443/jspui/handle/tede/2574
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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 Gestão e Negócios
publisher.none.fl_str_mv Universidade Católica de Brasília
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