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Inércia de juros e regras de Taylor: Explorando as funções de resposta a impulso em um modelo de equilíbrio geral com parâmetros estilizados para o Brazil

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  • Dionisio Dias Carneiro

    ()
    (Department of Economics PUC-Rio)

  • Pedro Garcia Duarte

    (Department of Economics PUC-Rio)

Abstract

The fit of empirical Taylor Rules to Brazilian data improves if we consider the hypothesis of interest rate inertia. Inertia seems to be part of monetary policy of several countries and reflects the action of Central Banks of not adjusting once-for-all to changing conditions. This article extends the concept of inertia considered by Duarte (2001) in the general intertemporal equilibrium model developed by Woodford (2000(b)), which corresponds to the monetary shock first-order autoregressive coefficient. We explore here the concept of inertia related to the presence of first lag of interest rate in the three Taylor rules examined in characterization of impulse response functions of variables to a monetary shock. The short run response of variables and the time it takes for their return to equilibrium depend more on the autoregressive coefficient of the shock than on the interest rate inertia. But this inertia is important when the Taylor Rule includes lagged inflation and output, because in this case, a smaller oscillation of the response of variables to shocks is obtained. It is also important in the case of forward looking Taylor Rule.

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Bibliographic Info

Paper provided by Department of Economics PUC-Rio (Brazil) in its series Textos para discussão with number 450.

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Length: 23 pages
Date of creation: Dec 2001
Date of revision:
Handle: RePEc:rio:texdis:450

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  1. Taylor, John B, 1980. "Aggregate Dynamics and Staggered Contracts," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 1-23, February.
  2. Svensson, Lars E. O., 1998. "Inflation targeting as a monetary policy rule," CFS Working Paper Series 1998/16, Center for Financial Studies (CFS).
  3. Richard Clarida & Jordi Gali & Mark Gertler, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," NBER Working Papers 7147, National Bureau of Economic Research, Inc.
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  8. Julio J. Rotemberg & Michael Woodford, 1998. "An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy: Expanded Version," NBER Technical Working Papers 0233, National Bureau of Economic Research, Inc.
  9. Dionísio Dias Carneiro & Thomas Yen Hon Wu, 2001. "Contas externas e política monetária," Textos para discussão 442, Department of Economics PUC-Rio (Brazil).
  10. Sheshinski, Eytan & Weiss, Yoram, 1977. "Inflation and Costs of Price Adjustment," Review of Economic Studies, Wiley Blackwell, vol. 44(2), pages 287-303, June.
  11. King, Robert G. & Wolman, Alexander L., 2013. "Inflation Targeting in a St. Louis Model of the 21st Century," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 543-574.
  12. Dixit, Avinash K & Stiglitz, Joseph E, 1975. "Monopolistic Competition and Optimum Product Diversity," The Warwick Economics Research Paper Series (TWERPS) 64, University of Warwick, Department of Economics.
  13. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
  14. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-11, July.
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  17. Leeper, Eric M., 1991. "Equilibria under 'active' and 'passive' monetary and fiscal policies," Journal of Monetary Economics, Elsevier, vol. 27(1), pages 129-147, February.
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Cited by:
  1. Costa Junior, Celso Jose & Sampaio, Armando Vaz & Gonçalves, Flávio de Oliveria, 2012. "Income Transfer as Model of Economic Growth," MPRA Paper 45494, University Library of Munich, Germany.
  2. Marcelo de Paiva Abreu, 2003. "The political economy of economic integration in the Americas: Latin American interests," Textos para discussão 468, Department of Economics PUC-Rio (Brazil).

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