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Effects of monetary policy shocks on disaggregated inflation rates: an analysis based on a TVP-VAR between 2003 and 2020

Author

Listed:
  • Aroldo de Freitas Junior

    (Universidade do Estado do Rio Grande do Norte (Uern))

  • Rodolfo Herald da Costa Campos

    (Universidade do Estado do Rio Grande do Norte (Uern))

  • Thiago Geovane Pereira Gomes

    (Universidade do Estado do Rio Grande do Norte (Uern))

  • Franciclézia de Sousa Barreto Silva

    (Universidade do Estado do Rio Grande do Norte (Uern))

Abstract

The present work evaluates disaggregated inflation responses to monetary policy shocks during the period 2003 to 2020. Autoregressive Vector Models with time-varying parameter vector autoregressive Models (TVP-VAR) are esti-mated and impulse response functions are used to assess the price behavior dis-aggregated to Selic shocks in different periods. To verify possible changes in the conduction of monetary policy in the period, a Taylor rule was also estimated for the studied period subject to structural breaks. The results of the structural break test by Bai and Perron (2003) found empirical evidence of a break in 2006m08, which may be associated with a change in the conduct of monetary policy by the Central Bank. This date, together with the dates when the presidents of the Cen-tral Bank took office, was used in the analysis of the impulse response functions of the TVP-VAR to compare the effects of monetary policy shocks in different periods. The results, based on the estimated impulse response functions, demon-strate similar responses of monetary policy shocks on disaggregated prices in different periods.

Suggested Citation

  • Aroldo de Freitas Junior & Rodolfo Herald da Costa Campos & Thiago Geovane Pereira Gomes & Franciclézia de Sousa Barreto Silva, 2023. "Effects of monetary policy shocks on disaggregated inflation rates: an analysis based on a TVP-VAR between 2003 and 2020," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 20(1), pages 119-151, january-j.
    • Handle: RePEc:aft:journl:v:20:1:2023:jan:jun:p:119-151
    DOI: 10.5935/1808-2785/rem.v20n1p.119-151
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    More about this item

    Keywords

    disaggregated inflation; IPCA; monetary policy; Taylor rule; TVP-VAR.;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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