Forecasting ability and the impacts of monetary policy and exchange rate shocks: comparisons between DSGE and VAR models estimated for Brazil

  • Iris Calegare Largura Queiroz Meteora Consultoria
  • Marcello Carvalho dos Reis Meteora Consultoria
  • Maria Elisa Marciano Martinez Instituto Nacional de Propriedade Industrial (INPI)

Resumo

This article compares the out-of-sample forecasting ability of a new Keynesian DSGE (Dynamic Stochastic General Equilibrium) model, specified and estimated for Brazil, with a Vector Autoregression (VAR). The article innovates in relation to other similar studies made for Brazil (Castro et al. (2011) e Caetano e Moura (2013), by choosing a specification for the DSGE model that, allowing the use of a richer information set, made possible to compute the predictive ability of the DSGE from forecasts that are, truly, out-of-sample forecasts. Moreover, unlike other articles that used Brazilian data, it also verifies to what degree the responses of variables to a monetary and an exchange rate shock. The estimated DSGE model is similar to the ones adopted by Justiniano e Preston (2005) and Alpanda (2009, 2010a, 2010b). The BVAR model was estimated using a Bayesian procedure like those proposed by Sims and Zha (1998) and Rubio-Ramíres, Waggoner and Zha (2005). The results show that the estimated DSGE model is capable of making out-of-sample forecasts, for some variables, that are competitive when compared to a VAR model.

Biografia do Autor

Maria Elisa Marciano Martinez, Instituto Nacional de Propriedade Industrial (INPI)
Prof. Me. Maria Elisa Marciano MartinezPossui graduação em Engenharia Química pela Universidade de São Paulo (1996), mestrado em Engenharia Química pela Universidade de São Paulo (2000) e especialização em Administração de Empresas pela Escola de Administração de Empresas de São Paulo da Fundação Getúlio Vargas. Atualmente é pesquisadora em propriedade industrial do Instituto Nacional da Propriedade Industrial. Tem experiência na área de engenharia química, com ênfase em processos bioquímicos, administração de microempresas, e, empropriedade industrial, incluindo mapeamento e prospecção tecnológica.Contato: melisa@inpi.gov.brFonte: CNPQ – Curriculo Lates
Publicado
2020-08-08