The Central Bank of Brazil's Time-Varying Taylor Rule

Detalhes bibliográficos
Autor(a) principal: Gropelli Carvalho, Filipe
Data de Publicação: 2023
Outros Autores: Kfoury Muinhos, Marcelo
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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spelling 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
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