A simple model for inflation targeting in Brazil
Autor(a) principal: | |
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Data de Publicação: | 2002 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Economia Aplicada |
Texto Completo: | https://www.revistas.usp.br/ecoa/article/view/219887 |
Resumo: | Based on a 6 equation model by Haldane and Battini (1999), we estimated a Phillips and an IS equations for Brazil after the Real Plan, in order to study the transmission mechanism of the monetary policy. The results show that interest rate affects output gap with a lag of one quarter and output is positively related to inflation with a one lag only. The devaluation of the nominal exchange rate has also a contemporaneous effect on inflation. We also made stochastic simulations in order to depict the inflation and output gap volatility loci under alternative Taylor-type rules and under an optimal rule, which minimizes a loss function that depends on a weighted average of inflation and output gap variances. The stochastic simulation showed that when compare to the variance in inflation, output gap variance appears to be more sensitive to the weights given in the loss function. It also showed that optimization procedures longer than 6 periods are inefficient and the most efficient frontier horizons are set within the range of 2 to 4 periods. Finally, sub-optimal but simple rules, like Taylor type rules can perform as well as the optimal ones, depending on the parameters chosen and on the preferences ofthe Central Bank. |
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Economia Aplicada |
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A simple model for inflation targeting in Brazilinflation targetingtransmission mechanismBased on a 6 equation model by Haldane and Battini (1999), we estimated a Phillips and an IS equations for Brazil after the Real Plan, in order to study the transmission mechanism of the monetary policy. The results show that interest rate affects output gap with a lag of one quarter and output is positively related to inflation with a one lag only. The devaluation of the nominal exchange rate has also a contemporaneous effect on inflation. We also made stochastic simulations in order to depict the inflation and output gap volatility loci under alternative Taylor-type rules and under an optimal rule, which minimizes a loss function that depends on a weighted average of inflation and output gap variances. The stochastic simulation showed that when compare to the variance in inflation, output gap variance appears to be more sensitive to the weights given in the loss function. It also showed that optimization procedures longer than 6 periods are inefficient and the most efficient frontier horizons are set within the range of 2 to 4 periods. Finally, sub-optimal but simple rules, like Taylor type rules can perform as well as the optimal ones, depending on the parameters chosen and on the preferences ofthe Central Bank.Universidade de São Paulo, FEA-RP/USP2002-02-10info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ecoa/article/view/21988710.11606/1413-8050/ea219887Economia Aplicada; Vol. 6 Núm. 1 (2002); 31-48Economia Aplicada; Vol. 6 No. 1 (2002); 31-48Economia Aplicada; v. 6 n. 1 (2002); 31-481980-53301413-8050reponame:Economia Aplicadainstname:Universidade de São Paulo (USP)instacron:USPenghttps://www.revistas.usp.br/ecoa/article/view/219887/200758Copyright (c) 2002 Economia Aplicadahttp://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessFreitas, Paulo Springer de Muinhos, Marcelo Kfoury 2023-12-08T13:52:26Zoai:revistas.usp.br:article/219887Revistahttps://www.revistas.usp.br/ecoaPUBhttps://www.revistas.usp.br/ecoa/oai||revecap@usp.br1980-53301413-8050opendoar:2023-12-08T13:52:26Economia Aplicada - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
A simple model for inflation targeting in Brazil |
title |
A simple model for inflation targeting in Brazil |
spellingShingle |
A simple model for inflation targeting in Brazil Freitas, Paulo Springer de inflation targeting transmission mechanism |
title_short |
A simple model for inflation targeting in Brazil |
title_full |
A simple model for inflation targeting in Brazil |
title_fullStr |
A simple model for inflation targeting in Brazil |
title_full_unstemmed |
A simple model for inflation targeting in Brazil |
title_sort |
A simple model for inflation targeting in Brazil |
author |
Freitas, Paulo Springer de |
author_facet |
Freitas, Paulo Springer de Muinhos, Marcelo Kfoury |
author_role |
author |
author2 |
Muinhos, Marcelo Kfoury |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Freitas, Paulo Springer de Muinhos, Marcelo Kfoury |
dc.subject.por.fl_str_mv |
inflation targeting transmission mechanism |
topic |
inflation targeting transmission mechanism |
description |
Based on a 6 equation model by Haldane and Battini (1999), we estimated a Phillips and an IS equations for Brazil after the Real Plan, in order to study the transmission mechanism of the monetary policy. The results show that interest rate affects output gap with a lag of one quarter and output is positively related to inflation with a one lag only. The devaluation of the nominal exchange rate has also a contemporaneous effect on inflation. We also made stochastic simulations in order to depict the inflation and output gap volatility loci under alternative Taylor-type rules and under an optimal rule, which minimizes a loss function that depends on a weighted average of inflation and output gap variances. The stochastic simulation showed that when compare to the variance in inflation, output gap variance appears to be more sensitive to the weights given in the loss function. It also showed that optimization procedures longer than 6 periods are inefficient and the most efficient frontier horizons are set within the range of 2 to 4 periods. Finally, sub-optimal but simple rules, like Taylor type rules can perform as well as the optimal ones, depending on the parameters chosen and on the preferences ofthe Central Bank. |
publishDate |
2002 |
dc.date.none.fl_str_mv |
2002-02-10 |
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://www.revistas.usp.br/ecoa/article/view/219887 10.11606/1413-8050/ea219887 |
url |
https://www.revistas.usp.br/ecoa/article/view/219887 |
identifier_str_mv |
10.11606/1413-8050/ea219887 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://www.revistas.usp.br/ecoa/article/view/219887/200758 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2002 Economia Aplicada http://creativecommons.org/licenses/by-nc/4.0 info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2002 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. 6 Núm. 1 (2002); 31-48 Economia Aplicada; Vol. 6 No. 1 (2002); 31-48 Economia Aplicada; v. 6 n. 1 (2002); 31-48 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_ |
1800221693555245056 |