Mudanças nas preferências do Banco Central: um estudo empírico para o Brasil

• Autor(a) principal: Medeiros, Rennan Kertlly de
• Data de Publicação: 2018
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações da UFPB
• Texto Completo: https://repositorio.ufpb.br/jspui/handle/123456789/15200
• topic: Preferências do Banco Central; Política monetária; Parâmetro variante no tempo; Filtro de Kalman estendido; Central Bank preferences; Monetary policy; Time-varying parameter; Extended Kalman filter; CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA

This dissertation aims to study the behavior of the preferences parameters of the Central Bank of Brazil (BCB), in the period between 2000.T1 and 2017.T4. To accomplish this purpose, we assume that Brazil’s monetary policy is defined in an optimized way, then we obtain the parameters of the political function from the estimation of the macroeconomic model with expectations backward-looking and the preferences of the Central Bank. The econometric approach used is based on Bayesian MCMC estimation supported by the Kalman filter. Our results indicate that Central Bank’s preferences have been unstable over time, with fluctuations after the ending of the term of BCB’s chairman and during the 2008 international crisis.