Since 2014
SAMBA: Stochastic Analytical Model with a Bayesian Approach
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
SAMBA: Stochastic Analytical Model with a Bayesian Approach
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| Creator |
Castro, Marcos R. de; BCB
Gouvea, Solange N.; BCB Minella, Andre; BCB Santos, Rafael; BCB Souza-Sobrinho, Nelson F.; BCB |
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| Subject |
—
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| Description |
We develop and estimate a DSGE model for the Brazilian economy as part of the macroe-conomic modeling framework of the Central Bank of Brazil. The model combines the building blocks of standard DSGE models (e.g., price and wage rigidities and adjustment costs) with the following features that better describe the Brazilian economy: (i) a fiscal authority pursuing an explicit target for the primary surplus; (ii) administered or regulated prices as part of the consumer price index; (iii) external nance for imports,which amplies the eects of changes in external nancial conditions on the economy;and (iv) imported goods used in the production of intermediate goods. It also includes the presence of nancially constrained households. We estimate the model with Bayesian techniques, using data since 1999, when in ation targeting was implemented in Brazil.Evaluation based on impulse response functions, moment conditions, variance error decomposition, and initial forecasting exercises suggests that the model can be a useful toolfor policy analysis and forecasting.
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| Publisher |
Brazilian Review of Econometrics
Brazilian Review of Econometrics |
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| Contributor |
—
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| Date |
2015-11-10
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/57573
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| Source |
Brazilian Review of Econometrics; Vol 35, No 2 (2015): Special Volume SAMBA; 103-170
Brazilian Review of Econometrics; Vol 35, No 2 (2015): Special Volume SAMBA; 103-170 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/57573/56084
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/downloadSuppFile/57573/1996 |
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| Rights |
Copyright (c) 2015 Brazilian Review of Econometrics
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