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Regras Monetárias e Dinâmica Macroeconômica no Brasil: Uma Abordagem de Expectativas Racionais

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  • Bonomo, Marco Antônio Cesar
  • Brito, Ricardo Dias Oliveira

Abstract

In this article, we estimate and simulate an open rational expectations macro model for the Brazilian economy. Our goal is to identify the features of optimal monetary rules and their consequences for the model's short-term dynamics. We compare the performance of three parametrizations of the monetary rule that differ with respect to the inflation variable: a Taylor rule, which is based on past inflation; a rule that combines past inflation and real exchange rate (Ball [3]); and a rule based on inflation forecasts (Bank of England [4]). We solve the model numerically and we use stochastic simulations to construct efficient frontiers on the inflation variance and output variance space. The sets of optimal rules for the two versions are qualitatively distinct. Since there is uncertainty about the economy's forward-lookingness, we propose a ranking of rules based on an equal weighted average of each model's objective function. The best-ranked rules according to this criterion have performance moderately inferior to the optimal rules, but prevent much larger losses that would occur when rules are chosen according to the wrong model.

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Paper provided by FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) in its series Economics Working Papers (Ensaios Economicos da EPGE) with number 410.

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Date of creation: 01 Feb 2001
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Handle: RePEc:fgv:epgewp:410

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  1. Marco Antonio Bonomo & Vinicius Carrasco & Humberto Moreira, 2000. "Aprendizado evolucionário, inércia inflacionária e recessão em desinflações monetárias," Textos para discussão 437, Department of Economics PUC-Rio (Brazil).
  2. David Blake, 1991. "The Estimation of Rational Expectations Models: A Survey," Journal of Economic Studies, Emerald Group Publishing, vol. 18(3), pages 31-70, September.
  3. Richard Clarida & Jordi Galí & Mark Gertler, 1997. "The science of monetary policy: A new Keynesian perspective," Economics Working Papers 356, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 1999.
  4. Nicoletta Batini & Andrew G Haldane, 1999. "Forward-looking rules for monetary policy," Bank of England working papers 91, Bank of England.
  5. Taylor, John B., 1998. "The Robustness and Efficiency of Monetary Policy Rules as Guidelines for Interest Rate Setting by the European Central Bank," Seminar Papers, Stockholm University, Institute for International Economic Studies 649, Stockholm University, Institute for International Economic Studies.
  6. Wickens, Michael R, 1982. "The Efficient Estimation of Econometric Models with Rational Expectations," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 49(1), pages 55-67, January.
  7. Wallis, Kenneth F, 1980. "Econometric Implications of the Rational Expectations Hypothesis," Econometrica, Econometric Society, Econometric Society, vol. 48(1), pages 49-73, January.
  8. Simon Hall & Chris Salmon & Tony Yates & Nicoletta Batini, 1999. "Uncertainty and Simple Monetary Policy Rules - An illustration for the United Kingdom," Bank of England working papers 96, Bank of England.
  9. John B. Taylor, 1998. "An Historical Analysis of Monetary Policy Rules," NBER Working Papers 6768, National Bureau of Economic Research, Inc.
  10. Klein, Paul, 2000. "Using the generalized Schur form to solve a multivariate linear rational expectations model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 24(10), pages 1405-1423, September.
  11. Amato, Jeffery D. & Laubach, Thomas, 2003. "Rule-of-thumb behaviour and monetary policy," European Economic Review, Elsevier, vol. 47(5), pages 791-831, October.
  12. McCallum, Bennett T., 1999. "Issues in the design of monetary policy rules," Handbook of Macroeconomics, Elsevier, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 23, pages 1483-1530 Elsevier.
  13. John B. Taylor, 1999. "Introduction to "Monetary Policy Rules"," NBER Chapters, in: Monetary Policy Rules, pages 1-14 National Bureau of Economic Research, Inc.
  14. John B. Taylor, 1999. "Monetary Policy Rules," NBER Books, National Bureau of Economic Research, Inc, number tayl99-1, January.
  15. Bennett T. McCallum, 1999. "Recent developments in the analysis of monetary policy rules," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 3-12.
  16. Binder,M. & Pesaran,H.M., 1995. "Multivariate Rational Expectations Models and Macroeconomic Modelling: A Review and Some New Results," Cambridge Working Papers in Economics 9415, Faculty of Economics, University of Cambridge.
  17. Taylor, John B, 1979. "Staggered Wage Setting in a Macro Model," American Economic Review, American Economic Association, vol. 69(2), pages 108-13, May.
  18. McCallum, Bennett T, 1976. "Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates," Econometrica, Econometric Society, Econometric Society, vol. 44(1), pages 43-52, January.
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