IDEAS home Printed from https://ideas.repec.org/p/fgv/epgewp/410.html
   My bibliography  Save this paper

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

Author

Listed:
  • 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.

Suggested Citation

  • 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, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    • Handle: RePEc:fgv:epgewp:410
    as

    Download full text from publisher

    File URL: http://bibliotecadigital.fgv.br/dspace/bitstream/10438/477/2/1259.pdf
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Taylor, John B, 1979. "Staggered Wage Setting in a Macro Model," American Economic Review, American Economic Association, vol. 69(2), pages 108-113, May.
    2. Bonomo, Marco Antonio Cesar & Carrasco, Vinícius & Moreira, Humberto, 2003. "Aprendizado Evolucionário, Inércia Inflacionária e Recessão em Desinflações Monetárias," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 57(4), October.
    3. M. R. Wickens, 1982. "The Efficient Estimation of Econometric Models with Rational Expectations," Review of Economic Studies, Oxford University Press, vol. 49(1), pages 55-67.
    4. McCallum, Bennett T, 1976. "Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates," Econometrica, Econometric Society, vol. 44(1), pages 43-52, January.
    5. John B. Taylor, 1999. "Introduction to "Monetary Policy Rules"," NBER Chapters,in: Monetary Policy Rules, pages 1-14 National Bureau of Economic Research, Inc.
    6. Bennett T. McCallum, 1999. "Recent developments in the analysis of monetary policy rules," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 3-12.
    7. Mark Gertler & Jordi Gali & Richard Clarida, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," Journal of Economic Literature, American Economic Association, vol. 37(4), pages 1661-1707, December.
    8. Wallis, Kenneth F, 1980. "Econometric Implications of the Rational Expectations Hypothesis," Econometrica, Econometric Society, vol. 48(1), pages 49-73, January.
    9. Joaquim Pinto de Andrade & José Angelo C. A. Divino, 2015. "Optimal Rules for Monetary Policy in Brazil," Discussion Papers 0101, Instituto de Pesquisa Econômica Aplicada - IPEA.
    10. John B. Taylor, 1999. "A Historical Analysis of Monetary Policy Rules," NBER Chapters,in: Monetary Policy Rules, pages 319-348 National Bureau of Economic Research, Inc.
    11. Nicoletta Batini & Andrew Haldane, 1999. "Forward-Looking Rules for Monetary Policy," NBER Chapters,in: Monetary Policy Rules, pages 157-202 National Bureau of Economic Research, Inc.
    12. Amato, Jeffery D. & Laubach, Thomas, 2003. "Rule-of-thumb behaviour and monetary policy," European Economic Review, Elsevier, vol. 47(5), pages 791-831, October.
    13. McCallum, Bennett T., 1999. "Issues in the design of monetary policy rules," Handbook of Macroeconomics,in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 23, pages 1483-1530 Elsevier.
    14. Klein, Paul, 2000. "Using the generalized Schur form to solve a multivariate linear rational expectations model," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1405-1423, September.
    15. Taylor, John B., 1999. "The robustness and efficiency of monetary policy rules as guidelines for interest rate setting by the European central bank," Journal of Monetary Economics, Elsevier, vol. 43(3), pages 655-679, June.
    16. John B. Taylor, 1999. "Monetary Policy Rules," NBER Books, National Bureau of Economic Research, Inc, number tayl99-1.
    17. Binder,M. & Pesaran,H.M., 1995. "Multivariate Rational Expectations Models and Macroeconomic Modelling: A Review and Some New Results," Cambridge Working Papers in Economics 9415, Faculty of Economics, University of Cambridge.
    18. David Blake, 1991. "The Estimation of Rational Expectations Models: A Survey," Journal of Economic Studies, Emerald Group Publishing, vol. 18(3), pages 31-70, September.
    19. Simon Hall & Chris Salmon & Tony Yates & Nicoletta Batini, 1999. "Uncertainty and Simple Monetary Policy Rules - An illustration for the United Kingdom," Bank of England working papers 96, Bank of England.
    Full references (including those not matched with items on IDEAS)

    More about this item

    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:fgv:epgewp:410. 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: (Núcleo de Computação da FGV/EPGE). General contact details of provider: http://edirc.repec.org/data/epgvfbr.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.