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Master's Dissertation
DOI
10.11606/D.12.2012.tde-30012013-175250
Document
Author
Full name
Marcel Zimmermann Aranha
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2012
Supervisor
Committee
Nakane, Marcio Issao (President)
Costa, Sílvio Michael de Azevedo
Kanczuk, Fabio
Title in Portuguese
Um modelo DSGE com fricções financeiras aplicado ao Brasil
Keywords in Portuguese
Bancos
Economia monetária
Macroeconomia
Sistema financeiro
Abstract in Portuguese
Este trabalho procura avaliar a importância de fricções financeiras para a economia brasileira através da estimação de um modelo Dinâmico e Estocástico de Equilíbrio Geral que incorpora um setor bancário e de crédito para a economia brasileira. São feitas análises dos choques estruturais introduzidos no modelo especificado, permitindo saber a influência de cada variável nas flutuações do produto da economia brasileira, bem como o papel desempenhado pelo setor bancário nos ciclos. Desse modo conseguimos concluir que a redução das fricções a empréstimos para empreendedores teria um impacto positivo no aumento do investimento, consumo e produto. E que as fricções financeiras por um lado permitem a manutenção de spreads bancários elevados, impactando positivamente nos lucros dos bancos, mas por outro ajudam a conter os níveis de preços face a choques na economia brasileira.
Title in English
DSGE model with financial frictions applied to Brazil
Keywords in English
Banks
Financial system
Macroeconomics
Monetary economics
Abstract in English
This study tries to evaluates the importance of financial frictions for the Brazilian economy through the estimation of a Dynamic and Stochastic General Equilibrium model which incorporates a banking and credit sectors. We study the influence of different structural shocks on several variables of the Brazilian economy, as well as the role of the banking sector in the business cycles. In this regard, we conclude that the reduction of financial frictions for loans to the entrepreneurs would have a positive impact on investment, consumption and output of the Brazilian economy. And if, in one hand, financial frictions allow the maintenance of higher banking spreads, increasing banks' profits, on the other hand, it helps in the contention of inflation when the Brazilian economy respond to different shocks.
 
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Publishing Date
2013-02-05
 
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