IDEAS home Printed from https://ideas.repec.org/a/ibn/ijefaa/v17y2025i2p45.html
   My bibliography  Save this article

Expectation Shocks: Structural VAR Insights and the Case of Brazil

Author

Listed:
  • Thiago Drummond de Mendonca Giudici

Abstract

This study identifies an expectation shock in Brazil through the estimation of a Structural Bayesian VAR model identified via Cholesky decomposition. The Swap 180 rate is used to capture a “pessimism” expectation shock related to future economic activity. Furthermore, the study employs different prior approaches, such as the Minnesota prior and a diffuse prior, and evaluates alternative recursive orderings in the Cholesky decomposition to test the robustness of the results. This shock aligns with major economic events, such as the turbulent 2002 presidential elections. Among the identified shocks, the expectation shock exhibits one of the strongest effects on economic activity, credit, debt, and exchange rate.

Suggested Citation

  • Thiago Drummond de Mendonca Giudici, 2025. "Expectation Shocks: Structural VAR Insights and the Case of Brazil," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 17(2), pages 1-45, February.
    • Handle: RePEc:ibn:ijefaa:v:17:y:2025:i:2:p:45
    as

    Download full text from publisher

    File URL: https://ccsenet.org/journal/index.php/ijef/article/download/0/0/51145/55508
    Download Restriction: no
    File URL: https://ccsenet.org/journal/index.php/ijef/article/view/0/51145
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ibn:ijefaa:v:17:y:2025:i:2:p:45. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Canadian Center of Science and Education (email available below). General contact details of provider: https://edirc.repec.org/data/cepflch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.