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Dynamic Structural Models and the High Ination Period in Brazil: Modelling the Monetary System

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  • Wilson Luiz Rotatori Correa

    (Universidade Federal de São João del Rei)

Abstract

In this paper we develop a linear, structural, dynamic, econometric model for the high ination period in Brazil. The main goal is to obtain a parsimonious model that accounts for a complex dynamic present in the monetary system during the period describing therelationships among output, ination rate, interest rates and real money. We start the analysis after the Cruzado plan cast in 1986 following a progressive strategy in deriving the econometric model. The results show that we can identify a long run money demand equation and the model describes parsimoniously and in detail the relationship among the variables despite all the instability present in the second half of the 1980's in Brazil with special attention to the role played by nominal wage ination in determining the dynamics observed in price ination.

Suggested Citation

  • Wilson Luiz Rotatori Correa, 2009. "Dynamic Structural Models and the High Ination Period in Brazil: Modelling the Monetary System," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 10(1), pages 69-100.
    • Handle: RePEc:anp:econom:v:10:y:2009:i:1:p69-100
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    References listed on IDEAS

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    More about this item

    Keywords

    VAR; Cointegration; Money Demand; Simultaneous Equation Models;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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