Monetary Policy and Inflation in Brazil (1975-2000): a VAR Estimation
This paper investigates monetary policy and basic macroeconomic relation-ships involving output, inflation rate, interest rate, and money in Brazil. Based on a vector autoregressive (VAR) estimation, it compares three different periods: moderately increasing inflation (1975-1985), high inflation (1985-1994), and low inflation (1994-2000). The main results are the following: (1) monetary policy shocks have significant effects on output; (2) monetary policy shocks do not induce a reduction in the inflation rate in the first two periods, but there are indications that they have gained power to affect prices after the Real Plan was launched; (3) monetary policy does not usually respond rapidly or actively to inflation-rate and output innovations; (4) in the recent period, the interest rate responds intensely to financial crises; (5) positive interest-rate shocks are accompanied by a decline in money in all the three periods; (6) the degree of inflation persistence is substantially lower in the recent period.
|Date of creation:||Nov 2001|
|Date of revision:|
|Publication status:||Published in Revista Brasileira de Economia, Vol. 57, no.3, pp. 605-635 (Jul-Sep 2003)|
|Contact details of provider:|| Web page: http://www.bcb.gov.br/?english|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Benjamin M. Friedman & Kenneth N. Kuttner, 1996.
"A Price Target for U.S. Monetary Policy? Lessons from the Experience with Money Growth Targets,"
Brookings Papers on Economic Activity,
Economic Studies Program, The Brookings Institution, vol. 27(1), pages 77-146.
- Benjamin M. Friedman & Kenneth N. Kuttner, 1996. "A price target for U.S. monetary policy? Lessons from the experience with money growth targets," Working Paper Series, Macroeconomic Issues WP-96-14, Federal Reserve Bank of Chicago.
- Kim, Soyoung, 1999. "Do monetary policy shocks matter in the G-7 countries? Using common identifying assumptions about monetary policy across countries," Journal of International Economics, Elsevier, vol. 48(2), pages 387-412, August.
- Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000.
"Cointegration analysis in the presence of structural breaks in the deterministic trend,"
Royal Economic Society, vol. 3(2), pages 216-249.
- Bent Nielsen, 2000. "Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend," Econometric Society World Congress 2000 Contributed Papers 1494, Econometric Society.
- Bent Nielsen & Soren Johansen and Rocco Mosconi, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Economics Series Working Papers 2000-W22, University of Oxford, Department of Economics.
- Cati, Regina Celia & Garcia, Marcio G P & Perron, Pierre, 1999. "Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(1), pages 27-56, Jan.-Feb..
- Friedman, Benjamin M & Kuttner, Kenneth N, 1992. "Money, Income, Prices, and Interest Rates," American Economic Review, American Economic Association, vol. 82(3), pages 472-92, June.
When requesting a correction, please mention this item's handle: RePEc:bcb:wpaper:33. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Francisco Marcos Rodrigues Figueiredo)
If references are entirely missing, you can add them using this form.