Regras Monetárias e Dinâmica Macroeconomica no Brasil: uma abordagem de expectativas racionais
In this article, we estimate and simulate an open rational expectations macro model for the Brazilian economy. Our goal is to identify the features of optimal monetary rules and their consequences for the model's short-term dynamics. We compare the performance of three parametrizations of the monetary rule that differ with respect to the inflation variable: a Taylor rule, which is based on past inflation; a rule that combines past inflation and real exchange rate (Ball ); and a rule based on inflation forecasts (Bank of England ). We solve the model numerically and we use stochastic simulations to construct efficient frontiers on the inflation variance and output variance space. The sets of optimal rules for the two versions are qualitatively distinct. Since there is uncertainty about the economy's forward-lookingness, we propose a ranking of rules based on an equal weighted average of each model's objective function. The best-ranked rules according to this criterion have performance moderately inferior to the optimal rules, but prevent much larger losses that would occur when rules are chosen according to the wrong model.
(This abstract was borrowed from another version of this item.)
|Date of creation:||Oct 2001|
|Contact details of provider:|| Postal: Rua Quatá 300, São Paulo, SP 04546-042|
Web page: http://www.insper.edu.br/
More information through EDIRC
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.:
- Taylor, John B, 1979. "Staggered Wage Setting in a Macro Model," American Economic Review, American Economic Association, vol. 69(2), pages 108-113, May.
- 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.
- Marco Antonio Bonomo & Vinicius Carrasco & Humberto Moreira, 2000. "Aprendizado evolucionário, inércia inflacionária e recessão em desinflações monetárias," Textos para discussão 437, Department of Economics PUC-Rio (Brazil).
- Moreira, Humberto Ataíde & Bonomo, Marco Antônio Cesar & Carrasco, Vinícius, 2000. "Aprendizado Evolucionário, Inércia Inflacionária e Recessão em Desinflações Monetárias," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 403, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- McCallum, Bennett T, 1976. "Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates," Econometrica, Econometric Society, vol. 44(1), pages 43-52, January.
- 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.
- John B. Taylor, 1999. "Introduction to "Monetary Policy Rules"," NBER Chapters,in: Monetary Policy Rules, pages 1-14 National Bureau of Economic Research, Inc.
- 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.
- 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.
- Richard Clarida & Jordi Galí & Mark Gertler, 1997. "The science of monetary policy: A new Keynesian perspective," Economics Working Papers 356, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 1999.
- Clarida, Richard & Galí, Jordi & Gertler, Mark, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," CEPR Discussion Papers 2139, C.E.P.R. Discussion Papers.
- Clarida, R. & Gali, J. & Gertler, M., 1999. "The Science of Monetary Policy: A New Keynesian Perspective," Working Papers 99-13, C.V. Starr Center for Applied Economics, New York University.
- Richard Clarida & Jordi Gali & Mark Gertler, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," NBER Working Papers 7147, National Bureau of Economic Research, Inc.
- Wallis, Kenneth F, 1980. "Econometric Implications of the Rational Expectations Hypothesis," Econometrica, Econometric Society, vol. 48(1), pages 49-73, January.
- 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.
- 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.
- John B. Taylor, 1998. "An Historical Analysis of Monetary Policy Rules," NBER Working Papers 6768, National Bureau of Economic Research, Inc.
- 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.
- Andrew G. Haldane & Nicoletta Batini, 1998. "Forward-Looking Rules for Monetary Policy," NBER Working Papers 6543, National Bureau of Economic Research, Inc.
- Nicoletta Batini & Andrew G Haldane, 1999. "Forward-looking rules for monetary policy," Bank of England working papers 91, Bank of England.
- Amato, Jeffery D. & Laubach, Thomas, 2003. "Rule-of-thumb behaviour and monetary policy," European Economic Review, Elsevier, vol. 47(5), pages 791-831, October.
- Jeffery D. Amato & Thomas Laubach, 2002. "Rule-of-thumb behaviour and monetary policy," Finance and Economics Discussion Series 2002-5, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- Bennett T. McCallum, 1997. "Issues in the Design of Monetary Policy Rules," NBER Working Papers 6016, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Taylor, John B., 1998. "The Robustness and Efficiency of Monetary Policy Rules as Guidelines for Interest Rate Setting by the European Central Bank," Seminar Papers 649, Stockholm University, Institute for International Economic Studies.
- John B. Taylor, 1999. "Monetary Policy Rules," NBER Books, National Bureau of Economic Research, Inc, number tayl99-1.
- 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.
- Michael Binder & M. Hashem Pesaran, 1994. "GAUSS and Matlab codes for Multivariate Rational Expectations Models and Macroeconometric Modelling: A Review and Some New Results," QM&RBC Codes 74, Quantitative Macroeconomics & Real Business Cycles.
- 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.
- 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)
When requesting a correction, please mention this item's handle: RePEc:ibm:ibmecp:wpe_11. 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: (Naercio Menezes)
If references are entirely missing, you can add them using this form.