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Regras monetárias e dinâmica macroeconômica no Brasil: uma abordagem de expectativas racionais

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  • Bonomo, Marco Antônio Cesar
  • Brito, Ricardo D.

Abstract

In this article, we estimate and simulate an open rational expectations macro model for the Erazilian economy. Our goal is to identify the features of optimal monetary rules and their consequences for the model's shortterm dynamics. We compare the performance of three parametrizations of the monetary rule that differ with respect to the infiation variable: a Taylor rule, which is based on past infiation; a rule that combines past infiation and real exchange rate (Eall[5]); and a rule based on infiation forecasts (Eank of England [3]). We solve the model numerically and we use stochastic simulations with iid and correlated shocks to construct efficient frontiers on the infiation variance and output variance space. The sets of optimaI ruIes for the two versions are qualitativeIy distinct. Since there is uncertainty about the economy's forward-Iookingness, we propose a ranking of ruIes based on an equaI weighted average of each modeI's objective function. The best ranked ruIes according to this criterion have performance moderateIy inferior to the optimaI ruIes, but prevent much Iarger Iosses which wouId occur when ruIes are chosen according to the wrong model.

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  • Bonomo, Marco Antônio Cesar & Brito, Ricardo D., 2001. "Regras monetárias e dinâmica macroeconômica no Brasil: uma abordagem de expectativas racionais," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 410, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    • Handle: RePEc:fgv:epgewp:410
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    Cited by:

    1. Charles Lima De Almeida & Marco Aur�LIO Peres & Geraldo Da Silva E Souza & Benjamin Miranda Tabak, 2003. "Optimal monetary rules: the case of Brazil," Applied Economics Letters, Taylor & Francis Journals, vol. 10(5), pages 299-302, April.
    2. Tito Nícias Teixeira da Silva Filho, 2001. "Estimando o Produto Potencial Brasileiro: Uma Abordagem de Função de Produção," Working Papers Series 17, Central Bank of Brazil, Research Department.
    3. Alexandre A. Tombini & Sergio A. Lago Alves, 2006. "The Recent Brazilian Disinflation Process and Costs," Working Papers Series 109, Central Bank of Brazil, Research Department.
    4. Arminio Fraga & Ilan Goldfajn & André Minella, 2004. "Inflation Targeting in Emerging Market Economies," NBER Chapters, in: NBER Macroeconomics Annual 2003, Volume 18, pages 365-416, National Bureau of Economic Research, Inc.
    5. Araújo, Aloísio Pessoa de & Leon, Márcia Saraiva, 2003. "Speculative attacks on debts and optimum currency area: a welfare analysis," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 514, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    6. Tarsila Segalla Afanasieff & Priscilla Maria Villa Lhacer & Márcio I. Nakane, 2002. "The Determinants of Bank Interest Spread in Brazil," Money Affairs, CEMLA, vol. 0(2), pages 183-207, July-Dece.
    7. Minella, Andre & de Freitas, Paulo Springer & Goldfajn, Ilan & Muinhos, Marcelo Kfoury, 2003. "Inflation targeting in Brazil: constructing credibility under exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 22(7), pages 1015-1040, December.
    8. Victorio Yi Tson Chu, 2002. "Credit Channel with Sovereign Credit Risk: an Empirical Test," Working Papers Series 51, Central Bank of Brazil, Research Department.
    9. Tito Nícias Teixeira da Silva Filho, 2001. "Uma Definição Operacional de Estabilidade de Preços," Working Papers Series 35, Central Bank of Brazil, Research Department.
    10. Marcelo Kfoury Muinhos & Márcio I. Nakane, 2006. "Comparing equilibrium real interest rates: different approaches to measure Brazilian rates," Working Papers Series 101, Central Bank of Brazil, Research Department.
    11. Leonardo Soriano de Alencar & Márcio I. Nakane, 2004. "Bank Competition, Agency Costs and the Performance of the Monetary Policy," Working Papers Series 81, Central Bank of Brazil, Research Department.
    12. Vicente da Gama Machado & Marcelo Savino Portugal, 2014. "Phillips curve in Brazil: an unobserved components approach," Working Papers Series 354, Central Bank of Brazil, Research Department.
    13. Aloísio P. Araújo & José Valentim M. Vicente, 2006. "Contagion, Bankruptcy and Social Welfare Analysis in a Financial Economy with Risk Regulation Constraint," Working Papers Series 118, Central Bank of Brazil, Research Department.
    14. Eui Jung Chang & Marcelo Kfoury Muinhos & Joanílio Rodolpho Teixeira, 2002. "Macroeconomic Coordination and Inflation Targeting in a Two-Country Model," Working Papers Series 50, Central Bank of Brazil, Research Department.
    15. Leonardo Soriano de Alencar & Márcio I. Nakane, 2003. "Real Balances in the Utility Function: Evidence for Brazil," Working Papers Series 68, Central Bank of Brazil, Research Department.
    16. Wilson Corrêa & Sidney Caetano, 2013. "Monetary policy and transmission mechanism in Brazil: an empirical model," Empirical Economics, Springer, vol. 45(1), pages 115-135, August.
    17. Benjamin Miranda Tabak, 2003. "Monetary Policy Surprises and the Brazilian Term Structure of Interest Rates," Working Papers Series 70, Central Bank of Brazil, Research Department.
    18. Gonçalves, Fernando M & Holland, Marcio & Spacov, Andrei, 2007. "Can Jurisdictional Uncertainty and Capital Controls Explain the High Level of Real Interest Rates in Brazil? Evidence from Panel Data," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 61(1), August.
    19. Paulo Coutinho & Benjamin Miranda Tabak, 2002. "Delegated Portfolio Management," Working Papers Series 60, Central Bank of Brazil, Research Department.
    20. Benjamin Miranda Tabak, 2003. "On the Information Content of Oil Future Prices," Working Papers Series 65, Central Bank of Brazil, Research Department.
    21. Benjamin Miranda Tabak. Solange Maria Guerra, 2002. "Stock Returns and Volatility," Working Papers Series 54, Central Bank of Brazil, Research Department.
    22. André Soares Loureiro & Fernando de Holanda Barbosa, 2004. "Risk Premia for Emerging Markets Bonds: Evidence from Brazilian Government Debt, 1996-2002," Working Papers Series 85, Central Bank of Brazil, Research Department.
    23. Paulo Rogério Faustino Matos & Jayme Andrade Neto, 2015. "Analyzing COPOM’s Decisions," Brazilian Business Review, Fucape Business School, vol. 12(6), pages 24-47, November.

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