Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/179610 
Year of Publication: 
2016
Citation: 
[Journal:] EconomiA [ISSN:] 1517-7580 [Volume:] 17 [Issue:] 1 [Publisher:] Elsevier [Place:] Amsterdam [Year:] 2016 [Pages:] 23-42
Publisher: 
Elsevier, Amsterdam
Abstract: 
The goal of this paper is to evaluate the behavior of the main parameters of the Brazilian economy through the estimation of an open-economy dynamic stochastic general equilibrium (DSGE) model using Bayesian methods and allowing for Markov switching of certain parameters. Using the DSGE model developed by Justiniano and Preston (2010) and the solution method of the Markov switching DSGE (MS-DSGE) model proposed by Farmer et al. (2008), this paper found a superior fit in the data of Markov switching models, rejecting the hypothesis of constant parameters in DSGE models for the Brazilian economy.
Abstract (Translated): 
O objetivo deste trabalho é avaliar o comportamento dos principais parâmetros da economia brasileira através da estimação de um modelo DSGE (Dynamic Stochastic General Equilibrium) de economia aberta usando métodos bayesianos e permitindo mudanças de regime markovianas de determinados parâmetros. Utilizando o modelo DSGE desenvolvido por Justiniano e Preston (2010) e o método de solução do modelo Markov Switching DSGE (MS-DSGE) proposto por Farmer et al. (2008), este trabalho encontrou superioridade nos ajustes dos dados dos modelos que incorporaram mudanças markovianas, rejeitando a hipótese de parâmetros constantes em modelos DSGE para a economia brasileira.
Subjects: 
DSGE model
Markov switching
MS-DSGE
Modelo DSGE
Markov
MS-DSGE
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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