Forecasting ability and the impacts of monetary policy and exchange rate shocks: comparisons between DSGE and VAR models estimated for Brazil
DOI:
https://doi.org/10.47283/244670492020080102Abstract
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.
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Tecnológica Paula Souza”, which encompasses interdisciplinary papers submitted by students, professors and researches of the community as well as external researches.
La “Revista Tecnológica da Fatec Americana” es una publicación digital semestral de responsabilidad de esa “Faculdade de Tecnologia de Americana”, “Centro Estadual de Educação Tecnológica Paula Souza”, cuyo objetivo es publicar trabajos de carácter interdisciplinario realizados tanto por el profesorado, por el alunnado e investigadores internos, como por investigadores externos.
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