THE NONLINEARITY OF BRAZILIAN MONETARY POLICY IN THE INFLATION-TARGETING PERIOD: AN ANALYSIS BASED ON AN MS-VAR MODEL

Detalhes bibliográficos
Autor(a) principal: Fonseca, Mateus Ramalho Ribeiro da
Data de Publicação: 2018
Outros Autores: Oreiro, José Luis da Costa, Araújo, Eliane Cristina de
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Análise Econômica (Online)
Texto Completo: https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/58567
Resumo: This article theoretically and empirically analyzes the hypothesis of the nonlinearity of Brazilian monetary policy following the implementation of inflation-targeting regime. At the theoretical level, it discusses growth and macroeconomic regimes and their effect over Brazilian economy according to the behavior of a number of variables. Empirically, it tests the hypothesis of the nonlinearity of monetary policy in Brazil, estimating a Markov-switching vector autoregressive (MS-VAR) model. The results identify two different monetary regimes: the first regime, which primarily occurred between 2000 and 2007, and the second regime, which primarily occurred between 2007 and 2013. In the case of the second regime, a contractionary monetary policy had more persistent effects on both the public debt and the exchange rate.  
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spelling THE NONLINEARITY OF BRAZILIAN MONETARY POLICY IN THE INFLATION-TARGETING PERIOD: AN ANALYSIS BASED ON AN MS-VAR MODELTHE NONLINEARITY OF BRAZILIAN MONETARY POLICY IN THE INFLATION-TARGETING PERIOD: AN ANALYSIS BASED ON AN MS-VAR MODELNonlinearityInflation targetingBrazilian economyC14E12E42NonlinearityInflation targetingBrazilian economyC14E12E42This article theoretically and empirically analyzes the hypothesis of the nonlinearity of Brazilian monetary policy following the implementation of inflation-targeting regime. At the theoretical level, it discusses growth and macroeconomic regimes and their effect over Brazilian economy according to the behavior of a number of variables. Empirically, it tests the hypothesis of the nonlinearity of monetary policy in Brazil, estimating a Markov-switching vector autoregressive (MS-VAR) model. The results identify two different monetary regimes: the first regime, which primarily occurred between 2000 and 2007, and the second regime, which primarily occurred between 2007 and 2013. In the case of the second regime, a contractionary monetary policy had more persistent effects on both the public debt and the exchange rate.  This article theoretically and empirically analyzes the hypothesis of the nonlinearity of Brazilian monetary policy following the implementation of inflation-targeting regime. At the theoretical level, it discusses growth and macroeconomic regimes and their effect over Brazilian economy according to the behavior of a number of variables. Empirically, it tests the hypothesis of the nonlinearity of monetary policy in Brazil, estimating a Markov-switching vector autoregressive (MS-VAR) model. The results identify two different monetary regimes: the first regime, which primarily occurred between 2000 and 2007, and the second regime, which primarily occurred between 2007 and 2013. In the case of the second regime, a contractionary monetary policy had more persistent effects on both the public debt and the exchange rate.UFRGS2018-07-10info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/5856710.22456/2176-5456.58567Análise Econômica; Vol. 36 No. 70 (2018): junho de 2018Análise Econômica; v. 36 n. 70 (2018): junho de 20182176-54560102-9924reponame:Análise Econômica (Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSenghttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/58567/48804Copyright (c) 2019 Análise Econômicainfo:eu-repo/semantics/openAccessFonseca, Mateus Ramalho Ribeiro daOreiro, José Luis da CostaAraújo, Eliane Cristina de2018-07-11T22:56:25Zoai:seer.ufrgs.br:article/58567Revistahttps://seer.ufrgs.br/index.php/AnaliseEconomicaPUBhttps://seer.ufrgs.br/index.php/AnaliseEconomica/oai||rae@ufrgs.br2176-54560102-9924opendoar:2018-07-11T22:56:25Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.none.fl_str_mv THE NONLINEARITY OF BRAZILIAN MONETARY POLICY IN THE INFLATION-TARGETING PERIOD: AN ANALYSIS BASED ON AN MS-VAR MODEL
THE NONLINEARITY OF BRAZILIAN MONETARY POLICY IN THE INFLATION-TARGETING PERIOD: AN ANALYSIS BASED ON AN MS-VAR MODEL
title THE NONLINEARITY OF BRAZILIAN MONETARY POLICY IN THE INFLATION-TARGETING PERIOD: AN ANALYSIS BASED ON AN MS-VAR MODEL
spellingShingle THE NONLINEARITY OF BRAZILIAN MONETARY POLICY IN THE INFLATION-TARGETING PERIOD: AN ANALYSIS BASED ON AN MS-VAR MODEL
Fonseca, Mateus Ramalho Ribeiro da
Nonlinearity
Inflation targeting
Brazilian economy
C14
E12
E42
Nonlinearity
Inflation targeting
Brazilian economy
C14
E12
E42
title_short THE NONLINEARITY OF BRAZILIAN MONETARY POLICY IN THE INFLATION-TARGETING PERIOD: AN ANALYSIS BASED ON AN MS-VAR MODEL
title_full THE NONLINEARITY OF BRAZILIAN MONETARY POLICY IN THE INFLATION-TARGETING PERIOD: AN ANALYSIS BASED ON AN MS-VAR MODEL
title_fullStr THE NONLINEARITY OF BRAZILIAN MONETARY POLICY IN THE INFLATION-TARGETING PERIOD: AN ANALYSIS BASED ON AN MS-VAR MODEL
title_full_unstemmed THE NONLINEARITY OF BRAZILIAN MONETARY POLICY IN THE INFLATION-TARGETING PERIOD: AN ANALYSIS BASED ON AN MS-VAR MODEL
title_sort THE NONLINEARITY OF BRAZILIAN MONETARY POLICY IN THE INFLATION-TARGETING PERIOD: AN ANALYSIS BASED ON AN MS-VAR MODEL
author Fonseca, Mateus Ramalho Ribeiro da
author_facet Fonseca, Mateus Ramalho Ribeiro da
Oreiro, José Luis da Costa
Araújo, Eliane Cristina de
author_role author
author2 Oreiro, José Luis da Costa
Araújo, Eliane Cristina de
author2_role author
author
dc.contributor.author.fl_str_mv Fonseca, Mateus Ramalho Ribeiro da
Oreiro, José Luis da Costa
Araújo, Eliane Cristina de
dc.subject.por.fl_str_mv Nonlinearity
Inflation targeting
Brazilian economy
C14
E12
E42
Nonlinearity
Inflation targeting
Brazilian economy
C14
E12
E42
topic Nonlinearity
Inflation targeting
Brazilian economy
C14
E12
E42
Nonlinearity
Inflation targeting
Brazilian economy
C14
E12
E42
description This article theoretically and empirically analyzes the hypothesis of the nonlinearity of Brazilian monetary policy following the implementation of inflation-targeting regime. At the theoretical level, it discusses growth and macroeconomic regimes and their effect over Brazilian economy according to the behavior of a number of variables. Empirically, it tests the hypothesis of the nonlinearity of monetary policy in Brazil, estimating a Markov-switching vector autoregressive (MS-VAR) model. The results identify two different monetary regimes: the first regime, which primarily occurred between 2000 and 2007, and the second regime, which primarily occurred between 2007 and 2013. In the case of the second regime, a contractionary monetary policy had more persistent effects on both the public debt and the exchange rate.  
publishDate 2018
dc.date.none.fl_str_mv 2018-07-10
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/58567
10.22456/2176-5456.58567
url https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/58567
identifier_str_mv 10.22456/2176-5456.58567
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/58567/48804
dc.rights.driver.fl_str_mv Copyright (c) 2019 Análise Econômica
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2019 Análise Econômica
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv UFRGS
publisher.none.fl_str_mv UFRGS
dc.source.none.fl_str_mv Análise Econômica; Vol. 36 No. 70 (2018): junho de 2018
Análise Econômica; v. 36 n. 70 (2018): junho de 2018
2176-5456
0102-9924
reponame:Análise Econômica (Online)
instname:Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS
instname_str Universidade Federal do Rio Grande do Sul (UFRGS)
instacron_str UFRGS
institution UFRGS
reponame_str Análise Econômica (Online)
collection Análise Econômica (Online)
repository.name.fl_str_mv Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)
repository.mail.fl_str_mv ||rae@ufrgs.br
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