IDEAS home Printed from https://ideas.repec.org/a/cvv/journ1/v2y2015i2p276-289.html

Reviewing Taylor rules for Brazil: was there a turning-point?

Author

Listed:
  • Ricardo Ramalhete MOREIRA

    (Federal University of Esp rito Santo, BRAZIL)

Abstract

This article finds evidences highlighting that the Brazilian monetary policy is divergent from Taylor principles, from data over January 2005 to May 2013, and using regressions estimated by OLS and GMM. Especially, the inflationary expectations do not show robust effects on the Selic rate, while the inertial degree of the latter denotes a current pro-cyclical bias. Furthermore, the article tested for the effects of the Subprime crisis and the domestic currency undervaluation on the Selic level. The empirical results suggest that the Subprime crisis monetary authorities have preferred to stabilize or expand output, against the inflation stabilization, despite the Brazilian inflation target regime since 1999.

Suggested Citation

  • Ricardo Ramalhete MOREIRA, 2015. "Reviewing Taylor rules for Brazil: was there a turning-point?," Journal of Economics and Political Economy, EconSciences Journals, vol. 2(2), pages 276-289, June.
    • Handle: RePEc:cvv:journ1:v:2:y:2015:i:2:p:276-289
    as

    Download full text from publisher

    File URL: http://journals.econsciences.com/index.php/JEPE/article/download/252/388
    Download Restriction: no
    File URL: http://journals.econsciences.com/index.php/JEPE/article/view/252
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Whitney Newey & Kenneth West, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    3. Robert Engle & Clive Granger, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    4. Laurence Ball, 1999. "Efficient Rules for Monetary Policy," International Finance, Wiley Blackwell, vol. 2(1), pages 63-83, April.
    5. Sebastian Edwards, 2006. "The Relationship Between Exchange Rates and Inflation Targeting Revisited," Working Papers Central Bank of Chile 409, Central Bank of Chile.
    6. Ben S. Bernanke & Frederic S. Mishkin, 1997. "Inflation Targeting: A New Framework for Monetary Policy?," Journal of Economic Perspectives, American Economic Association, vol. 11(2), pages 97-116, Spring.
    7. Maurice Obstfeld & Kenneth Rogoff, 1995. "The Mirage of Fixed Exchange Rates," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 73-96, Fall.
    8. Svensson, Lars E. O., 1997. "Inflation forecast targeting: Implementing and monitoring inflation targets," European Economic Review, Elsevier, vol. 41(6), pages 1111-1146, June.
    9. Alan S. Blinder, 2006. "Monetary Policy Today: Sixteen Questions and about Twelve Answers," Working Papers 73, Princeton University, Department of Economics, Center for Economic Policy Studies..
    10. André Minella & Paulo Springer de Freitas & Ilan Goldfajn & Marcelo Kfoury Muinhos, 2003. "Inflation targeting in Brazil: lessons and challenges," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy in a changing environment, volume 19, pages 106-133, Bank for International Settlements.
    11. Alan S. Blinder, 2006. "Monetary Policy Today: Sixteen Questions and about Twelve Answers," Working Papers 73, Princeton University, Department of Economics, Center for Economic Policy Studies..
    12. Cragg, John G, 1983. "More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form," Econometrica, Econometric Society, vol. 51(3), pages 751-763, May.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ricardo Ramalhete MOREIRA, 2015. "Reviewing Taylor rules for Brazil: was there a turning-point?," Journal of Economics and Political Economy, KSP Journals, vol. 2(2), pages 276-289, June.
    2. Jagjit S. Chadha & Lucio Sarno & Giorgio Valente, 2004. "Monetary Policy Rules, Asset Prices, and Exchange Rates," IMF Staff Papers, Palgrave Macmillan, vol. 51(3), pages 529-552, November.
    3. Luis Miguel Galindo & Horacio Catalán, 2005. "The Taylor Rule And The Exchange Rate In Mexico (An Empirical Appraisal)," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 4(2), pages 115-125, Junio 200.
    4. Nejla Adanur Aklan & Mehmet Nargelecekenler, 2008. "Taylor Rule in Practice: Evidence from Turkey," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(2), pages 156-166, May.
    5. Moreira, Ricardo Ramalhete, 2016. "Measuring the Monetary Policy’s Structural Credibility by the Expected Inflation Determinants: a Kalman Filter Approach for Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(2), November.
    6. Kohei Hasui & Teruyoshi Kobayashi & Tomohiro Sugo, 2019. "Irreversible monetary policy at the zero lower bound," Discussion Papers 1906, Graduate School of Economics, Kobe University.
    7. Hasui, Kohei & Kobayashi, Teruyoshi & Sugo, Tomohiro, 2021. "Optimal irreversible monetary policy," European Economic Review, Elsevier, vol. 134(C).
    8. Stephan Sauer & Jan-Egbert Sturm, 2003. "Using Taylor Rules to Understand ECB Monetary Policy," CESifo Working Paper Series 1110, CESifo.
    9. repec:kap:iaecre:v:14:y:2008:i:2:p:156-166 is not listed on IDEAS
    10. Q. Akram, 2010. "What horizon for targeting inflation?," Empirical Economics, Springer, vol. 39(3), pages 675-702, December.
    11. Robert Amano & Tony S. Wirjanto, "undated". "A Further Analysis of Exchange Rate Targeting in Canada," Staff Working Papers 94-2, Bank of Canada.
    12. Akbar, Muhammad & Ahmad, Eatzaz, 2021. "Repercussions of exchange rate depreciation on the economy of Pakistan: Simulation analysis using macroeconometric model," Journal of Policy Modeling, Elsevier, vol. 43(3), pages 574-600.
    13. Aleksejs Krecetovs & Pasquale Della Corte, 2016. "Macro uncertainty and currency premia," 2016 Meeting Papers 624, Society for Economic Dynamics.
    14. Svensson, Lars E. O., 1999. "Inflation targeting as a monetary policy rule," Journal of Monetary Economics, Elsevier, vol. 43(3), pages 607-654, June.
    15. Kristian Jönsson, 2011. "Testing Stationarity in Small‐ and Medium‐Sized Samples when Disturbances are Serially Correlated," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 669-690, October.
    16. Marjan Petreski, 2010. "An Overhaul of a Doctrine: Has Inflation Targeting Opened a New Era in Developing-country Peggers?," FIW Working Paper series 057, FIW.
    17. Bernd Hayo & Boris Hofmann, 2006. "Comparing monetary policy reaction functions: ECB versus Bundesbank," Empirical Economics, Springer, vol. 31(3), pages 645-662, September.
    18. Ioannis Tsamourgelis & Persa Paflioti & Thomas Vitsounis, 2013. "Seaports Activity (A)synchronicity, Trade Intensity and Business Cycle Convergence: A Panel Data Analysis," International Journal of Maritime, Trade & Economic Issues (IJMTEI), International Journal of Maritime, Trade & Economic Issues (IJMTEI), vol. 0(1), pages 67-92.
    19. Tachibana, Minoru, 2008. "Inflation zone targeting and the Federal Reserve," Journal of the Japanese and International Economies, Elsevier, vol. 22(1), pages 68-84, March.
    20. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    21. Galindo, Luis M., 1995. "La hipótesis de expectativas en el mercado de Cetes en México," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 10(1), pages 67-88.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cvv:journ1:v:2:y:2015:i:2:p:276-289. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Bilal KARGI (email available below). General contact details of provider: https://journals.econsciences.com/index.php/JEPE .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.