Rational expectations and optimal monetary policy: estimates for Brazil and the U.S.

Detalhes bibliográficos
Autor(a) principal: Dias, Maria Helena Ambrosio
Data de Publicação: 1997
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Economia Aplicada
Texto Completo: https://www.revistas.usp.br/ecoa/article/view/217554
Resumo: This paper uses Taylor's macroeconomic model with rational agents. The model is designed to allow the researcher to estimate aggregate demand and price equations under rational expectations and some inflexibility in wage adjustment arising from contracts. The generalized method ofmoments is applied to estimate the model for the Brazilian and U.S. economies in the period 1973-85. Government monetary policy functions based on losses arising from inflation and unemployment are then used to construct a second-order Phillips curve, which shows the different variances of inflation and unemployment that are optimal depending on loss function weights. The main conclusions are that there is a tradeoff between the variabilities of inflation and output in both economies, and that monetary policies were not optimal in either economy during the period.
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spelling Rational expectations and optimal monetary policy: estimates for Brazil and the U.S.Rational expectations and optimal monetary policy: estimates for Brazil and the U.S.curva de Phillips de segunda ordemexpectativas racionaismétodo generalizado dos momentospolítica monetária ótimasecond-order Phillips curverational expectationsgeneralized methods of momentsoptimal monetary policyThis paper uses Taylor's macroeconomic model with rational agents. The model is designed to allow the researcher to estimate aggregate demand and price equations under rational expectations and some inflexibility in wage adjustment arising from contracts. The generalized method ofmoments is applied to estimate the model for the Brazilian and U.S. economies in the period 1973-85. Government monetary policy functions based on losses arising from inflation and unemployment are then used to construct a second-order Phillips curve, which shows the different variances of inflation and unemployment that are optimal depending on loss function weights. The main conclusions are that there is a tradeoff between the variabilities of inflation and output in both economies, and that monetary policies were not optimal in either economy during the period.A base teórica deste trabalho e o modelo macroeconômico de Taylor com contratos salariais justapostos, o qual permite estimar equações de preço e demanda agregada sob a hipótese de expectativas racionais. Utilizando o método generalizado dos momentos, o modelo é aplicado para as economias do Brasil e do Estados Unidos da América, para o período de 1973 a 1985. Então, a regra de política monetária ótima de Taylor é aplicada para as duas economias com o intuito de minimizar uma função de perdas advindas de inflação e desemprego, através da qual deriva-se uma curva de Phillips de segunda ordem, mostrando as diferentes variâncias de inflação e desemprego que são ótimas, dependendo dos pesos que cada variância representa nesta função de perdas. Os principais resultados são: existe uma interrelação entre as variabilidades da inflação e do produto; e, em ambas economias, as políticas monetárias não foram ótimas no período analisado.Universidade de São Paulo, FEA-RP/USP1997-06-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ecoa/article/view/21755410.11606/1443-8050/ea217554Economia Aplicada; Vol. 1 Núm. 2 (1997); 199-226Economia Aplicada; Vol. 1 No. 2 (1997); 199-226Economia Aplicada; v. 1 n. 2 (1997); 199-2261980-53301413-8050reponame:Economia Aplicadainstname:Universidade de São Paulo (USP)instacron:USPenghttps://www.revistas.usp.br/ecoa/article/view/217554/198941Copyright (c) 1997 Economia Aplicadahttp://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessDias, Maria Helena Ambrosio 2023-10-24T22:26:08Zoai:revistas.usp.br:article/217554Revistahttps://www.revistas.usp.br/ecoaPUBhttps://www.revistas.usp.br/ecoa/oai||revecap@usp.br1980-53301413-8050opendoar:2023-10-24T22:26:08Economia Aplicada - Universidade de São Paulo (USP)false
dc.title.none.fl_str_mv Rational expectations and optimal monetary policy: estimates for Brazil and the U.S.
Rational expectations and optimal monetary policy: estimates for Brazil and the U.S.
title Rational expectations and optimal monetary policy: estimates for Brazil and the U.S.
spellingShingle Rational expectations and optimal monetary policy: estimates for Brazil and the U.S.
Dias, Maria Helena Ambrosio
curva de Phillips de segunda ordem
expectativas racionais
método generalizado dos momentos
política monetária ótima
second-order Phillips curve
rational expectations
generalized methods of moments
optimal monetary policy
title_short Rational expectations and optimal monetary policy: estimates for Brazil and the U.S.
title_full Rational expectations and optimal monetary policy: estimates for Brazil and the U.S.
title_fullStr Rational expectations and optimal monetary policy: estimates for Brazil and the U.S.
title_full_unstemmed Rational expectations and optimal monetary policy: estimates for Brazil and the U.S.
title_sort Rational expectations and optimal monetary policy: estimates for Brazil and the U.S.
author Dias, Maria Helena Ambrosio
author_facet Dias, Maria Helena Ambrosio
author_role author
dc.contributor.author.fl_str_mv Dias, Maria Helena Ambrosio
dc.subject.por.fl_str_mv curva de Phillips de segunda ordem
expectativas racionais
método generalizado dos momentos
política monetária ótima
second-order Phillips curve
rational expectations
generalized methods of moments
optimal monetary policy
topic curva de Phillips de segunda ordem
expectativas racionais
método generalizado dos momentos
política monetária ótima
second-order Phillips curve
rational expectations
generalized methods of moments
optimal monetary policy
description This paper uses Taylor's macroeconomic model with rational agents. The model is designed to allow the researcher to estimate aggregate demand and price equations under rational expectations and some inflexibility in wage adjustment arising from contracts. The generalized method ofmoments is applied to estimate the model for the Brazilian and U.S. economies in the period 1973-85. Government monetary policy functions based on losses arising from inflation and unemployment are then used to construct a second-order Phillips curve, which shows the different variances of inflation and unemployment that are optimal depending on loss function weights. The main conclusions are that there is a tradeoff between the variabilities of inflation and output in both economies, and that monetary policies were not optimal in either economy during the period.
publishDate 1997
dc.date.none.fl_str_mv 1997-06-01
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://www.revistas.usp.br/ecoa/article/view/217554
10.11606/1443-8050/ea217554
url https://www.revistas.usp.br/ecoa/article/view/217554
identifier_str_mv 10.11606/1443-8050/ea217554
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://www.revistas.usp.br/ecoa/article/view/217554/198941
dc.rights.driver.fl_str_mv Copyright (c) 1997 Economia Aplicada
http://creativecommons.org/licenses/by-nc/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 1997 Economia Aplicada
http://creativecommons.org/licenses/by-nc/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
dc.source.none.fl_str_mv Economia Aplicada; Vol. 1 Núm. 2 (1997); 199-226
Economia Aplicada; Vol. 1 No. 2 (1997); 199-226
Economia Aplicada; v. 1 n. 2 (1997); 199-226
1980-5330
1413-8050
reponame:Economia Aplicada
instname:Universidade de São Paulo (USP)
instacron:USP
instname_str Universidade de São Paulo (USP)
instacron_str USP
institution USP
reponame_str Economia Aplicada
collection Economia Aplicada
repository.name.fl_str_mv Economia Aplicada - Universidade de São Paulo (USP)
repository.mail.fl_str_mv ||revecap@usp.br
_version_ 1800221692822290432

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