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ExpectativasDesagregadas, Credibilidade do Banco Central e Cadeias de Markov

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  • Diogo Abry Guillén
  • Márcio Garcia

Abstract

Propomos e implementamos uma medida da credibilidade do Banco Central do Brasil, fazendo uso de uma base de dados com expectativas desagregadas. A hipótese é de que a heterogeneidade das expectativas de longo prazo advenha de crenças distintas com relação à aversão do Banco Central à inflação. Desse modo, a existência de agentes persistentemente otimistas ou pessimistas indicaria falta de credibilidade. Com base neste argumento, construímos um índice utilizando Cadeias de Markov. Nosso índice inova em relação aos disponíveis na literatura por considerar a dispersão das expectativas. Nossos resultados são comparados com os de outros artigos, corroborando o aprimoramento advindo da nova medida da credibilidade.
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Suggested Citation

  • Diogo Abry Guillén & Márcio Garcia, 2011. "ExpectativasDesagregadas, Credibilidade do Banco Central e Cadeias de Markov," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 35, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    • Handle: RePEc:anp:en2009:35
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    References listed on IDEAS

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    1. Lars E.O. Svensson, 1993. "The Simplest Test of Inflation Target Credibility," NBER Working Papers 4604, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Issler, João Victor & Soares, Ana Flávia, 2019. "Central Bank credibility and inflation expectations: a microfounded forecasting approach," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 812, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    2. Fernando Nascimento de Oliveira & Wagner Piazza Gaglianone, 2020. "Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term," International Economics, CEPII research center, issue 163, pages 72-91.
    3. Wagner Piazza Gaglianone, 2017. "Empirical Findings on Inflation Expectations in Brazil: a survey," Working Papers Series 464, Central Bank of Brazil, Research Department.

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