Does the Central Bank of Brazil cares about expected inflation?
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Biblioteca Digital de Teses e Dissertações da USP |
Texto Completo: | https://www.teses.usp.br/teses/disponiveis/12/12138/tde-17022023-201641/ |
Resumo: | The purpose of this dissertation is to characterize Brazils monetary policy conduction under the inflation targeting regime that started in 1999 for different Central Bank of Brazil (BCB) chairman tenures. The methodology adopted consists in estimating a forward-looking Taylor rule with parameters that can vary through time using Kalman filter. Specifically, to handle with the endogeneity problem of forward-looking rules estimated with ex-post data under a time-varying parameters framework, we adopt a similar approach to the two-stage method originally suggested by Kim and Nelson (2006). Regarding results, using data from 2000 to 2020, estimates suggest that BCB chairmans were for the great majority of time for the analyzed period seeking a stabilizing monetary policy and following the guidelines of the inflation target framework. In this sense, given the results and what they suggest, we attribute the failure to meet the target in certain years much more to the fact that Brazil is a newly democratic emerging market economy subject to many domestic and external shocks than with a disregard of the BCB with monetary policy stabilization. |
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Does the Central Bank of Brazil cares about expected inflation?O Banco Central do Brasil se preocupa com a inflação esperada?Filtro de KalmanInflation targetingKalman filterMetas para inflaçãoParâmetros variantes no tempoRegra de TaylorTaylor ruleTime-varying parametersThe purpose of this dissertation is to characterize Brazils monetary policy conduction under the inflation targeting regime that started in 1999 for different Central Bank of Brazil (BCB) chairman tenures. The methodology adopted consists in estimating a forward-looking Taylor rule with parameters that can vary through time using Kalman filter. Specifically, to handle with the endogeneity problem of forward-looking rules estimated with ex-post data under a time-varying parameters framework, we adopt a similar approach to the two-stage method originally suggested by Kim and Nelson (2006). Regarding results, using data from 2000 to 2020, estimates suggest that BCB chairmans were for the great majority of time for the analyzed period seeking a stabilizing monetary policy and following the guidelines of the inflation target framework. In this sense, given the results and what they suggest, we attribute the failure to meet the target in certain years much more to the fact that Brazil is a newly democratic emerging market economy subject to many domestic and external shocks than with a disregard of the BCB with monetary policy stabilization.O objetivo desta dissertação é caracterizar a condução da política monetária do Brasil durante o regime de metas para inflação iniciado em 1999 para diferentes mandatos presidenciais do Banco Central do Brasil (BCB). A metodologia adotada consiste na estimação de uma Regra de Taylor forward-looking com parâmetros que podem variar ao longo do tempo utilizando Filtro de Kalman. Especificamente, para lidar com problemas de endogeneidade nos regressores quando dados ex-post são utilizados em um arcabouço de parâmetros variantes no tempo, adotamos um procedimento semelhante ao de dois estágios originalmente proposto por Kim e Nelson (2006). Em relação aos resultados, usando dados de 2000 a 2020, as estimativas sugerem que os presidentes do BCB estavam - para a grande maioria do período analisado - buscando tanto uma política monetária estabilizadora quanto seguindo o arcabouço do regime de metas para inflação. Nesse contexto, considerando os resultados e o que eles sugerem, nós atribuímos o não cumprimento com a meta em determinados anos muito mais ao fato de que o Brasil é uma economia emergente recém democratizada sujeita a muitos choques internos e externos do que ao descaso do BCB com a estabilidade monetária.Biblioteca Digitais de Teses e Dissertações da USPBueno, Rodrigo de Losso da SilveiraCrispim, Pedro2022-12-19info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttps://www.teses.usp.br/teses/disponiveis/12/12138/tde-17022023-201641/reponame:Biblioteca Digital de Teses e Dissertações da USPinstname:Universidade de São Paulo (USP)instacron:USPLiberar o conteúdo para acesso público.info:eu-repo/semantics/openAccesseng2023-03-09T18:15:42Zoai:teses.usp.br:tde-17022023-201641Biblioteca Digital de Teses e Dissertaçõeshttp://www.teses.usp.br/PUBhttp://www.teses.usp.br/cgi-bin/mtd2br.plvirginia@if.usp.br|| atendimento@aguia.usp.br||virginia@if.usp.bropendoar:27212023-03-09T18:15:42Biblioteca Digital de Teses e Dissertações da USP - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
Does the Central Bank of Brazil cares about expected inflation? O Banco Central do Brasil se preocupa com a inflação esperada? |
title |
Does the Central Bank of Brazil cares about expected inflation? |
spellingShingle |
Does the Central Bank of Brazil cares about expected inflation? Crispim, Pedro Filtro de Kalman Inflation targeting Kalman filter Metas para inflação Parâmetros variantes no tempo Regra de Taylor Taylor rule Time-varying parameters |
title_short |
Does the Central Bank of Brazil cares about expected inflation? |
title_full |
Does the Central Bank of Brazil cares about expected inflation? |
title_fullStr |
Does the Central Bank of Brazil cares about expected inflation? |
title_full_unstemmed |
Does the Central Bank of Brazil cares about expected inflation? |
title_sort |
Does the Central Bank of Brazil cares about expected inflation? |
author |
Crispim, Pedro |
author_facet |
Crispim, Pedro |
author_role |
author |
dc.contributor.none.fl_str_mv |
Bueno, Rodrigo de Losso da Silveira |
dc.contributor.author.fl_str_mv |
Crispim, Pedro |
dc.subject.por.fl_str_mv |
Filtro de Kalman Inflation targeting Kalman filter Metas para inflação Parâmetros variantes no tempo Regra de Taylor Taylor rule Time-varying parameters |
topic |
Filtro de Kalman Inflation targeting Kalman filter Metas para inflação Parâmetros variantes no tempo Regra de Taylor Taylor rule Time-varying parameters |
description |
The purpose of this dissertation is to characterize Brazils monetary policy conduction under the inflation targeting regime that started in 1999 for different Central Bank of Brazil (BCB) chairman tenures. The methodology adopted consists in estimating a forward-looking Taylor rule with parameters that can vary through time using Kalman filter. Specifically, to handle with the endogeneity problem of forward-looking rules estimated with ex-post data under a time-varying parameters framework, we adopt a similar approach to the two-stage method originally suggested by Kim and Nelson (2006). Regarding results, using data from 2000 to 2020, estimates suggest that BCB chairmans were for the great majority of time for the analyzed period seeking a stabilizing monetary policy and following the guidelines of the inflation target framework. In this sense, given the results and what they suggest, we attribute the failure to meet the target in certain years much more to the fact that Brazil is a newly democratic emerging market economy subject to many domestic and external shocks than with a disregard of the BCB with monetary policy stabilization. |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-12-19 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.teses.usp.br/teses/disponiveis/12/12138/tde-17022023-201641/ |
url |
https://www.teses.usp.br/teses/disponiveis/12/12138/tde-17022023-201641/ |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
|
dc.rights.driver.fl_str_mv |
Liberar o conteúdo para acesso público. info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Liberar o conteúdo para acesso público. |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.coverage.none.fl_str_mv |
|
dc.publisher.none.fl_str_mv |
Biblioteca Digitais de Teses e Dissertações da USP |
publisher.none.fl_str_mv |
Biblioteca Digitais de Teses e Dissertações da USP |
dc.source.none.fl_str_mv |
reponame:Biblioteca Digital de Teses e Dissertações da USP instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Biblioteca Digital de Teses e Dissertações da USP |
collection |
Biblioteca Digital de Teses e Dissertações da USP |
repository.name.fl_str_mv |
Biblioteca Digital de Teses e Dissertações da USP - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
virginia@if.usp.br|| atendimento@aguia.usp.br||virginia@if.usp.br |
_version_ |
1815257092227858432 |