ScholarLens Back to search
2016•RePEc: Research Papers in EconomicsRequires access

Assessing the Fit of a Small Open-Economy DSGE Model for the Brazilian Economy

Fernando de Menezes Linardi

Open publisher page 5 citations

Abstract

This paper estimates a small open-economy dynamic stochastic general equilibrium (DSGE) model using Brazil´s economy data for the inflation-targeting period. The model includes a number of shocks that are important to explain the macroeconomic fluctuations of emerging markets economies. Then the empirical fit of different specifications of the model is tested in a Bayesian framework. The potential model misspecification is also assessed by comparing it to a more general reference model using the DSGE-VAR approach. The results show that the model with no price indexation fits the data better than the fully specified one. The DSGE-VAR approach indicated some degree of misspecification in the stylized small open-economy model.

Open-access reader

About this research paper

What this paper is about

This paper estimates a small open-economy dynamic stochastic general equilibrium (DSGE) model using Brazil´s economy data for the inflation-targeting period. The model includes a number of shocks that are important to explain the macroeconomic fluctuations of emerging markets economies. Then the empirical fit of different specifications of the model is tested in a Bayesian framework. The potential model misspecification is also assessed by comparing it to a more general reference model using the DSGE-VAR approach. The results show that the model with no price indexation fits the data better than the fully specified one. The DSGE-VAR approach indicated some degree of misspecification in the stylized small open-economy model.

Why it matters

OpenAlex reports 5 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

This paper estimates a small open-economy dynamic stochastic general equilibrium (DSGE) model using Brazil´s economy data for the inflation-targeting period. The model includes a number of shocks that are important to explain the macroeconomic fluctuations of emerging markets economies. Then the empirical fit of different specifications of the model is tested in a Bayesian framework. The potential model misspecification is also assessed by comparing it to a more general reference model using the DSGE-VAR approach. The results show that the model with no price indexation fits the data better than the fully specified one. The DSGE-VAR approach indicated some degree of misspecification in the stylized small open-economy model.

Key concepts: Dynamic stochastic general equilibrium, Stylized fact, Small open economy, Economics, Open economy, Indexation, Econometrics, Inflation (cosmology)

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
Assessing the Fit of a Small Open-Economy DSGE Model for the Brazilian Economy — Research Paper | ScholarLens