Taylor rule with hidden states
Autor(a) principal: | |
---|---|
Data de Publicação: | 2004 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/12447 |
Resumo: | This work evaluates empirically the Taylor rule for the US and Brazil using Kalman Filter and Markov-Switching Regimes. We show that the parameters of the rule change significantly with variations in both output and output gap proxies, considering hidden variables and states. Such conclusions call naturally for robust optimal monetary rules. We also show that Brazil and US have very contrasting parameters, first because Brazil presents time-varying intercept, second because of the rigidity in the parameters of the Brazilian Taylor rule, regardless the output gap proxy, data frequency or sample data. Finally, we show that the long-run inflation parameter of the US Taylor rule is less than one in many periods, contrasting strongly with Orphanides (forthcoming) and Clarida, Gal´i and Gertler (2000), and the same happens with Brazilian monthly data. |
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Bueno, Rodrigo de Losso da SilveiraEscolas::EPGEFGV2014-11-17T12:09:30Z2014-11-17T12:09:30Z2004-10-28http://hdl.handle.net/10438/12447This work evaluates empirically the Taylor rule for the US and Brazil using Kalman Filter and Markov-Switching Regimes. We show that the parameters of the rule change significantly with variations in both output and output gap proxies, considering hidden variables and states. Such conclusions call naturally for robust optimal monetary rules. We also show that Brazil and US have very contrasting parameters, first because Brazil presents time-varying intercept, second because of the rigidity in the parameters of the Brazilian Taylor rule, regardless the output gap proxy, data frequency or sample data. Finally, we show that the long-run inflation parameter of the US Taylor rule is less than one in many periods, contrasting strongly with Orphanides (forthcoming) and Clarida, Gal´i and Gertler (2000), and the same happens with Brazilian monthly data.engEscola de Pós-Graduação em Economia da FGVSeminários de pesquisa econômica da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessKalman filterMarkov switching regimesHidden statesHidden variablesEconomiaPolítica monetáriaTaylor rule with hidden statesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL1732.pdf1732.pdfapplication/pdf482496https://repositorio.fgv.br/bitstreams/3d7429ec-6515-4361-9d3b-f41f445f516c/download238a45b55ab817baf2c7d94f1bdc8b3cMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/5de69b4b-e13f-4be9-86fb-6a172a0d5c7b/downloaddfb340242cced38a6cca06c627998fa1MD52TEXT1732.pdf.txt1732.pdf.txtExtracted 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dc.title.eng.fl_str_mv |
Taylor rule with hidden states |
title |
Taylor rule with hidden states |
spellingShingle |
Taylor rule with hidden states Bueno, Rodrigo de Losso da Silveira Kalman filter Markov switching regimes Hidden states Hidden variables Economia Política monetária |
title_short |
Taylor rule with hidden states |
title_full |
Taylor rule with hidden states |
title_fullStr |
Taylor rule with hidden states |
title_full_unstemmed |
Taylor rule with hidden states |
title_sort |
Taylor rule with hidden states |
author |
Bueno, Rodrigo de Losso da Silveira |
author_facet |
Bueno, Rodrigo de Losso da Silveira |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Bueno, Rodrigo de Losso da Silveira |
dc.subject.eng.fl_str_mv |
Kalman filter Markov switching regimes Hidden states Hidden variables |
topic |
Kalman filter Markov switching regimes Hidden states Hidden variables Economia Política monetária |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Política monetária |
description |
This work evaluates empirically the Taylor rule for the US and Brazil using Kalman Filter and Markov-Switching Regimes. We show that the parameters of the rule change significantly with variations in both output and output gap proxies, considering hidden variables and states. Such conclusions call naturally for robust optimal monetary rules. We also show that Brazil and US have very contrasting parameters, first because Brazil presents time-varying intercept, second because of the rigidity in the parameters of the Brazilian Taylor rule, regardless the output gap proxy, data frequency or sample data. Finally, we show that the long-run inflation parameter of the US Taylor rule is less than one in many periods, contrasting strongly with Orphanides (forthcoming) and Clarida, Gal´i and Gertler (2000), and the same happens with Brazilian monthly data. |
publishDate |
2004 |
dc.date.issued.fl_str_mv |
2004-10-28 |
dc.date.accessioned.fl_str_mv |
2014-11-17T12:09:30Z |
dc.date.available.fl_str_mv |
2014-11-17T12:09:30Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/12447 |
url |
http://hdl.handle.net/10438/12447 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
Seminários de pesquisa econômica da EPGE |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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