Measuring national policy impacts in a region: SAMBA+REG

Penna, Christiano Modesto; Osterno, Isadora; Barreto, Flávio Ataliba Flexa Daltro; Gomes, José Weligton Félix; Monteiro, Vítor Borges

doi:10.1590/1980-53575345cifjv

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Artigo de Pesquisa • Estud. Econ. 53 (4) • Oct-Dec 2023 • https://doi.org/10.1590/1980-53575345cifjv copy

Measuring national policy impacts in a region: SAMBA+REG

Authorship SCIMAGO INSTITUTIONS RANKINGS

Abstract

This article presents an empirical methodology for analyzing the propagation of aggregate shocks across regions. While focusing on the specific case of Brazil and Ceará, the proposed methodology can be easily adapted to examine other regions as well. We develop a dynamic model, termed SAMBA+REG, which complements the Central Bank of Brazil’s dynamic stochastic general equilibrium model (SAMBA) by incorporating regional elements. This theoretical framework allows us to explore how aggregate shocks impact a specific region. We conduct simulations using fiscal and monetary shocks and the results align with the existing literature. SAMBA+REG not only facilitates the evaluation of the effects of central government economic policies on a regional economy, but also offers insights into various strategies for state governments to respond effectively to these policies.

Keywords:
SAMBA; DSGE models; Regional economics

Description	Source	Treatment
Domestic Variables
Gross Domestic Product (s.a.)	IBGE	a
Household Consumption (s.a.)	IBGE	a
Gross Formation of Fixed Capital (s.a.)	IBGE	a
Government Consumption (s.a.)	IBGE	a
Imports of Goods and Services (s.a.)	IBGE	a
Relative Import Prices	Funcex	a
Relative Export Prices	Funcex	a
IPCA inflation (%)	IBGE	c
Inflation target (%)	IBGE	a
Managed Prices Inflation (%)	IBGE	a
Nominal Interest Rate - Selic (%)	BCB	a
Real Salary*	IBGE	a
Number of persons employed (s.a.)	IBGE	a
Primary Surplus/GDP - Public Sector 12 months	BCB	b
Real Effective Exchange Rate (%)	BCB	a
Country Risk Award - EMBI	JP Morgan	c
Foreign Variables
World Product (s.a.)	IMF	a
U.S. Interest Rate	Fed St. Louis	a
World Inflation	OECD	c
Investor Risk Aversion Index -VIX	CBOE	c
Regional Variables - State of Ceará (CE)
Retail Sales Volume Index - Total - Ceará - (s.a.)	BCB	a
Regional Economic Activity Index - Ceará - (s.a.)	BCB	a
Salaried Employed Personnel (Jan/2001=100) - Ceará**	BCB, PNADC e CAGED	a
Tax Collection (R$) - Total - Ceará	CONFAZ	a

		Prior			Posterior
Parameter Description		Dist.	Mean	SD	Mean	Credible Interval
$Y R R^{} / Y^{}$	Ceará GDP / Brazil GDP Ratio (in SS)	beta	0,020	0,001	0,0191	0,0184	0,0196
$N R * R / N^{*}$	Ceará’s work force / Brazil’s work force Ratio (in SS)	beta	0,045	0,001	0,0444	0,0438	0,0450
$\begin{matrix} P R * R Y R * R / P * Y * \end{matrix}$	Ceará’s deflator / Brazil’s deflator Ratio (in SS)	beta	0,020	0,001	0,0217	0,0211	0,0222
ρ _pRB	Autoregressive parameter for the rest of Brazil prices	beta	0,900	0,050	0,9771	0,9652	0,9940
ρ _A	Autoregressive parameter of Ceará’s TFP	beta	0,900	0,050	0,9877	0,9794	0,9969
α	Capital share in the product of Ceará	beta	0,4448	0,050	0,4902	0,4660	0,5185
φ _ia	Investment sensitivity to relative TFP	beta	0,400	0,050	0,7126	0,7106	0,7142
φ _ir	Investment sensitivity to interest rate	beta	0,400	0,050	0,2182	0,2016	0,2386
φ _ig	Investment sensitivity to Ceará government consumption	beta	0,000	0,050	0,1036	0,0797	0,1277
$C R * R / Y R * R$	Consumption / GDP Ratio (in SS)	beta	0,525	0,050	0,4151	0,4002	0,4283
$G * R R / Y R * R$	Government spending / GDP Ratio (in SS)	beta	0,297	0,050	0,5777	0,5677	0,5868
$N X R * B / Y R * R$	NX for the rest of Brazil / GDP Ratio (in SS)	beta	0,003	0,001	0,0034	0,0026	0,0040
$\begin{matrix} N X R * W / Y R * R \end{matrix}$	NX for the rest of the World / GDP Ratio (in SS)	beta	0,011	0,001	0,0105	0,0100	0,0112
ϕ _RB	Income elasticity of NX from other states to Ceará	norm	0,500	0,050	0,6254	0,6112	0,6417
ϕ _RR	Income elasticity of NX from Ceará to other states	norm	0,500	0,050	0,6685	0,6539	0,6901
λ _RW	Income elasticity of NX from the rest of the world to Ceará	norm	0,500	0,050	0,4072	0,3937	0,4159
λ _RR	Income elasticity of NX from Ceará to the rest of the world	norm	0,500	0,050	0,5344	0,5148	0,5551
φ _wa	RT family consumption sensibility to expec. of productivity gains	beta	0,500	0,050	0,4305	0,4184	0,4393
ω_RT	Weight of RT families in SS consumption	norm	0,600	0,050	0,7623	0,7501	0,7732
ϒ_RB	Revenue from the rest of Brazil / GDP Ratio	beta	0,800	0,050	0,9197	0,9058	0,9330
ϒ_RW	Revenue from the rest of the world / GDP Ratio	beta	0,020	0,010	0,0043	0,0020	0,0068
$F R * R / G R * R$	Federal Transfers / Government Spending Ratio	beta	0,300	0,050	0,2487	0,2350	0,2630
ρ _fRR	Autoregressive parameter of federal transfers	beta	0,900	0,050	0,8987	0,8733	0,9190
ρ _ψRR	Autoregressive parameter of state taxation	beta	0,900	0,050	0,9518	0,9241	0,9789

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[1] Editor Responsável:

Bruno de Paula Rocha