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|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.insper.edu.br/
More information through EDIRC
References listed on IDEAS
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.:
- Bennett T. McCallum, 1997.
"Issues in the Design of Monetary Policy Rules,"
NBER Working Papers
6016, National Bureau of Economic Research, Inc.
- Bonomo, Marco Antonio Cesar & Carrasco, Vinícius & Moreira, Humberto, 2003.
"Aprendizado Evolucionário, Inércia Inflacionária e Recessão em Desinflações Monetárias,"
Revista Brasileira de Economia,
FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 57(4), October.
- Moreira, Humberto Ataíde & Bonomo, Marco Antônio Cesar & Carrasco, Vinícius, 2000. "Aprendizado Evolucionário, Inércia Inflacionária e Recessão em Desinflações Monetárias," Economics Working Papers (Ensaios Economicos da EPGE) 403, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- 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).
- Amato, Jeffery D. & Laubach, Thomas, 2003.
"Rule-of-thumb behaviour and monetary policy,"
European Economic Review,
Elsevier, vol. 47(5), pages 791-831, October.
- Nicoletta Batini & Andrew G Haldane, 1999.
"Forward-looking rules for monetary policy,"
Bank of England working papers
91, Bank of England.
- McCallum, Bennett T, 1976. "Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates," Econometrica, Econometric Society, vol. 44(1), pages 43-52, January.
- John B. Taylor, 1999. "Monetary Policy Rules," NBER Books, National Bureau of Economic Research, Inc, number tayl99-1, October.
- 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.
- 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.
- 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.
- 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, 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.
- 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.
- Wallis, Kenneth F, 1980. "Econometric Implications of the Rational Expectations Hypothesis," Econometrica, Econometric Society, vol. 48(1), pages 49-73, January.
- 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, 1998.
"An Historical Analysis of Monetary Policy Rules,"
NBER Working Papers
6768, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Wickens, Michael R, 1982. "The Efficient Estimation of Econometric Models with Rational Expectations," Review of Economic Studies, Wiley Blackwell, vol. 49(1), pages 55-67, January.
- 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.
- John B. Taylor, 1999. "Introduction to "Monetary Policy Rules"," NBER Chapters, in: Monetary Policy Rules, pages 1-14 National Bureau of Economic Research, Inc.
- Taylor, John B, 1979. "Staggered Wage Setting in a Macro Model," American Economic Review, American Economic Association, vol. 69(2), pages 108-13, May.
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.