Monetary Policy, Inflation and the Level of Economic Activity in Brasil After the Real Plan: Stylized Facts From SVAR Models
This article investigates the stochastic and dynamic relationship of a group ofBrazilian macroeconomic variables (price and industrial production indexes, nominalexchange rate, short and medium-run nominal interest rates) for the period after theReal Plan (1996-2004). We adopt, as has become usual in the literature, severalSVAR (structural VAR) models to uncover stylized facts for the short-run impacts ofthe identified exogenous sources of fluctuations of this selected set of variables.A distinctive feature of this article is the employment of Directed Acyclic Graphs(DAG) to obtain the contemporaneous causal order of the variables used to identifythe SVAR models. Another distinguishing characteristic is the careful attention paidto monetary policy developments after the Real Plan when splitting our sample intwo subsamples (1996/07-1998/08 and 1999/03-2004/12).The main results are: a) in response to a positive short run interest rate innovation,during the 1999-2004 subperiod, the output and the price level decrease?however, theoutput response is faster and the price level responds with a lag of near four months; b)for the 1996-1998 subperiod, the most likely effect of a positive short run interest rateinnovation is the reduction of the price level (also with a four months lag), even thoughthere is a large uncertainty in this response, and the reduction of output; c)short runinterest rate innovations are one of the most important sources of temporary fluctuationsin the level of economic activity for both subsamples; and d) exogenous shocks to theexchange rate and to the medium term interest rate are for the 1999-2004 period, themost important sources of inflation rate fluctuation.
|Date of creation:||Jun 2005|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.ipea.gov.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.:
- Peter J. Montiel, 1989. "Empirical Analysis of High-Inflation Episodes in Argentina, Brazil, and Israel," IMF Staff Papers, Palgrave Macmillan, vol. 36(3), pages 527-549, September.
- Sims, Christopher A & Uhlig, Harald, 1991.
"Understanding Unit Rooters: A Helicopter Tour,"
Econometric Society, vol. 59(6), pages 1591-99, November.
- Christopher A. Sims & Harald Uhlig, 1988. "Understanding unit rooters: a helicopter tour," Discussion Paper / Institute for Empirical Macroeconomics 4, Federal Reserve Bank of Minneapolis.
- Ben S. Bernanke & Ilian Mihov, 1995.
"Measuring monetary policy,"
Working Papers in Applied Economic Theory
95-09, Federal Reserve Bank of San Francisco.
- Lílian Carla dos Reis Arquete & Frederico Gonzaga Jayme Júnior, 2003. "Política Monetária, Preços e Produto no Brasil (1994-2002): uma Aplicação de Vetores Auto-regressivos," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31th Brazilian Economics Meeting] b45, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Kadiyala, K Rao & Karlsson, Sune, 1997.
"Numerical Methods for Estimation and Inference in Bayesian VAR-Models,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 12(2), pages 99-132, March-Apr.
- Kadiyala, K. Rao & Karlsson, Sune, 1994. "Numerical Aspects of Bayesian VAR-modeling," SSE/EFI Working Paper Series in Economics and Finance 12, Stockholm School of Economics.
- James M. Robins, 2003. "Uniform consistency in causal inference," Biometrika, Biometrika Trust, vol. 90(3), pages 491-515, September.
- Uhlig, Harald, 1999.
"What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure,"
CEPR Discussion Papers
2137, C.E.P.R. Discussion Papers.
- Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
- Titus O. Awokuse & David A. Bessler, 2003. "Vector Autoregressions, Policy Analysis, and Directed Acyclic Graphs: An Application to the U.S. Economy," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 1-24, May.
- Rothenberg, Thomas J, 1971. "Identification in Parametric Models," Econometrica, Econometric Society, vol. 39(3), pages 577-91, May.
- Hoover, Kevin D., 2005. "Automatic Inference Of The Contemporaneous Causal Order Of A System Of Equations," Econometric Theory, Cambridge University Press, vol. 21(01), pages 69-77, February.
- Marques, Maria Silvia Bastos, 1985. "A aceleração inflacionária no Brasil: 1973-83," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 39(4), October.
- David A. Bessler & Seongpyo Lee, 2002. "Money and prices: U.S. Data 1869-1914 (A study with directed graphs)," Empirical Economics, Springer, vol. 27(3), pages 427-446.
When requesting a correction, please mention this item's handle: RePEc:ipe:ipetds:1101. 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: (Fabio Schiavinatto)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 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.