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

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Listed author(s):
  • 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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Paper provided by FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) in its series FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) with number 410.

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Date of creation: 01 Feb 2001
Handle: RePEc:fgv:epgewp:410
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  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. McCallum, Bennett T, 1976. "Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates," Econometrica, Econometric Society, vol. 44(1), pages 43-52, January.
  4. 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.
  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, June.
  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.
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