The Central Bank of Brazil's Time-Varying Taylor Rule
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Revista Brasileira de Economia (Online) |
Texto Completo: | https://periodicos.fgv.br/rbe/article/view/84959 |
Resumo: | We estimate the Central Bank of Brazil’s (BCB) monetary policy preferences over time by estimating a forward-looking Taylor-type rule through a state-space model with time varying parameters. We estimate two key parameters over time: the inflation parameter and the implicit inflation target. Our findings are: first, the BCB has over time taken a hawkish approach to inflation, over the 2003-2011 sample period, though since 2011 it has become more dovish. Second, BCB’s implicit inflation target was largely on target, though until 2011 were below the center of the official target but have since stayed between the center and the upper band. |
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The Central Bank of Brazil's Time-Varying Taylor RuleThe Central Bank of Brazil’s time-varying Taylor ruleRegra de TaylorFiltro de KalmanRegra de TaylorFiltro de KalmanBanco Central do BrasilPortuguês (Brasil)Português (Brasil)We estimate the Central Bank of Brazil’s (BCB) monetary policy preferences over time by estimating a forward-looking Taylor-type rule through a state-space model with time varying parameters. We estimate two key parameters over time: the inflation parameter and the implicit inflation target. Our findings are: first, the BCB has over time taken a hawkish approach to inflation, over the 2003-2011 sample period, though since 2011 it has become more dovish. Second, BCB’s implicit inflation target was largely on target, though until 2011 were below the center of the official target but have since stayed between the center and the upper band.We estimate the Central Bank of Brazil’s (BCB) monetary policy preferences over time by estimating a forwardlookingTaylor-type rule through a state-space model with time varying parameters. We estimate two key parameters over time: the inflation parameter and the implicit inflation target. Our findings are: first, the BCB has over time taken a hawkish approach to inflation,over the 2003–2011 sample period, though since 2011 it has become more dovish. Second, BCB’s implicit inflation target was largely on target, though until 2011 were below the center of the official target but have since stayed between the center and the upper band.EGV EPGE2023-03-24info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticlesTextoArtigosPortugues (Brasil)application/pdfhttps://periodicos.fgv.br/rbe/article/view/84959Revista Brasileira de Economia; Vol. 76 No. 4 (2022): OUT - DEZRevista Brasileira de Economia; v. 76 n. 4 (2022): OUT - DEZ1806-91340034-7140reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGVporhttps://periodicos.fgv.br/rbe/article/view/84959/83758Brasil 2003-2020Português (Brasil)Copyright (c) 2023 Revista Brasileira de Economiainfo:eu-repo/semantics/openAccessGropelli Carvalho, FilipeKfoury Muinhos, Marcelo2023-03-24T22:12:32Zoai:ojs.periodicos.fgv.br:article/84959Revistahttps://periodicos.fgv.br/rbe/https://periodicos.fgv.br/rbe/oai||rbe@fgv.br1806-91340034-7140opendoar:2024-03-06T13:03:53.538064Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)true |
dc.title.none.fl_str_mv |
The Central Bank of Brazil's Time-Varying Taylor Rule The Central Bank of Brazil’s time-varying Taylor rule |
title |
The Central Bank of Brazil's Time-Varying Taylor Rule |
spellingShingle |
The Central Bank of Brazil's Time-Varying Taylor Rule Gropelli Carvalho, Filipe Regra de Taylor Filtro de Kalman Regra de Taylor Filtro de Kalman Banco Central do Brasil Português (Brasil) Português (Brasil) |
title_short |
The Central Bank of Brazil's Time-Varying Taylor Rule |
title_full |
The Central Bank of Brazil's Time-Varying Taylor Rule |
title_fullStr |
The Central Bank of Brazil's Time-Varying Taylor Rule |
title_full_unstemmed |
The Central Bank of Brazil's Time-Varying Taylor Rule |
title_sort |
The Central Bank of Brazil's Time-Varying Taylor Rule |
author |
Gropelli Carvalho, Filipe |
author_facet |
Gropelli Carvalho, Filipe Kfoury Muinhos, Marcelo |
author_role |
author |
author2 |
Kfoury Muinhos, Marcelo |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Gropelli Carvalho, Filipe Kfoury Muinhos, Marcelo |
dc.subject.por.fl_str_mv |
Regra de Taylor Filtro de Kalman Regra de Taylor Filtro de Kalman Banco Central do Brasil Português (Brasil) Português (Brasil) |
topic |
Regra de Taylor Filtro de Kalman Regra de Taylor Filtro de Kalman Banco Central do Brasil Português (Brasil) Português (Brasil) |
description |
We estimate the Central Bank of Brazil’s (BCB) monetary policy preferences over time by estimating a forward-looking Taylor-type rule through a state-space model with time varying parameters. We estimate two key parameters over time: the inflation parameter and the implicit inflation target. Our findings are: first, the BCB has over time taken a hawkish approach to inflation, over the 2003-2011 sample period, though since 2011 it has become more dovish. Second, BCB’s implicit inflation target was largely on target, though until 2011 were below the center of the official target but have since stayed between the center and the upper band. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-03-24 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Articles Texto Artigos Portugues (Brasil) |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://periodicos.fgv.br/rbe/article/view/84959 |
url |
https://periodicos.fgv.br/rbe/article/view/84959 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://periodicos.fgv.br/rbe/article/view/84959/83758 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2023 Revista Brasileira de Economia info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2023 Revista Brasileira de Economia |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.coverage.none.fl_str_mv |
Brasil 2003-2020 Português (Brasil) |
dc.publisher.none.fl_str_mv |
EGV EPGE |
publisher.none.fl_str_mv |
EGV EPGE |
dc.source.none.fl_str_mv |
Revista Brasileira de Economia; Vol. 76 No. 4 (2022): OUT - DEZ Revista Brasileira de Economia; v. 76 n. 4 (2022): OUT - DEZ 1806-9134 0034-7140 reponame:Revista Brasileira de Economia (Online) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Revista Brasileira de Economia (Online) |
collection |
Revista Brasileira de Economia (Online) |
repository.name.fl_str_mv |
Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
||rbe@fgv.br |
_version_ |
1798943115769282560 |