Uncertainty shocks and business cycles in Brazil : a DSGE approach

Detalhes bibliográficos
Ano de defesa: 2019
Autor(a) principal: MELO, Caíque Luan de Santana
Orientador(a): Não Informado pela instituição
Banca de defesa: Não Informado pela instituição
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: eng
Instituição de defesa: Universidade Federal de Pernambuco
UFPE
Brasil
Programa de Pos Graduacao em Economia
Programa de Pós-Graduação: Não Informado pela instituição
Departamento: Não Informado pela instituição
País: Não Informado pela instituição
Palavras-chave em Português:
Incerteza
Equilíbrio geral
Economia brasileira
Link de acesso: 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 Uncertainty shocks and business cycles in Brazil : a DSGE approachIncertezaEquilíbrio geralEconomia brasileiraIn 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.Universidade Federal de PernambucoUFPEBrasilPrograma de Pos Graduacao em EconomiaSILVA, Marcelo Eduardo Alves dahttp://lattes.cnpq.br/3053372508846880http://lattes.cnpq.br/0019694783676378MELO, Caíque Luan de Santana2021-05-24T12:21:54Z2021-05-24T12:21:54Z2019-02-27info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfMELO, 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/123456789/40157enghttp://creativecommons.org/licenses/by-nc-nd/3.0/br/info:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFPEinstname:Universidade Federal de Pernambuco (UFPE)instacron:UFPE2021-05-25T05:10:04Zoai:repositorio.ufpe.br:123456789/40157Repositório InstitucionalPUBhttps://repositorio.ufpe.br/oai/requestattena@ufpe.bropendoar:22212021-05-25T05:10:04Repositório Institucional da UFPE - Universidade Federal de Pernambuco (UFPE)false
dc.title.none.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.none.fl_str_mv SILVA, Marcelo Eduardo Alves da
http://lattes.cnpq.br/3053372508846880
http://lattes.cnpq.br/0019694783676378
dc.contributor.author.fl_str_mv MELO, Caíque Luan de Santana
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.none.fl_str_mv 2019-02-27
2021-05-24T12:21:54Z
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
format masterThesis
status_str publishedVersion
dc.identifier.uri.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.
https://repositorio.ufpe.br/handle/123456789/40157
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.
url https://repositorio.ufpe.br/handle/123456789/40157
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv http://creativecommons.org/licenses/by-nc-nd/3.0/br/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc-nd/3.0/br/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Federal de Pernambuco
UFPE
Brasil
Programa de Pos Graduacao em Economia
publisher.none.fl_str_mv Universidade Federal de Pernambuco
UFPE
Brasil
Programa de Pos Graduacao em Economia
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFPE
instname:Universidade Federal de Pernambuco (UFPE)
instacron:UFPE
instname_str Universidade Federal de Pernambuco (UFPE)
instacron_str UFPE
institution UFPE
reponame_str Repositório Institucional da UFPE
collection Repositório Institucional da UFPE
repository.name.fl_str_mv Repositório Institucional da UFPE - Universidade Federal de Pernambuco (UFPE)
repository.mail.fl_str_mv attena@ufpe.br
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