This paper conducts a study of the pass-through from the exchange rate devaluation to inflation c... more This paper conducts a study of the pass-through from the exchange rate devaluation to inflation considering the recent change in the foreign exchange regime in Brazil. Econometric estimations were performed using the specifications of the pass-through suggested by Goldfajn and Werlang (2000). Some simulations of the augmented Taylor rule (with an added exchange rate term) have also been made to analyze the response from supply and external shocks in a simple Inflation Targeting model with trade balance equations. In contrast to Ball (2000), when the exchange rate is included in the Taylor rule, output volatility increases after a negative shock to the capital inflow.
Based on a 6 equation model by Haldane and Battini (1999), we estimated a Phillips and an IS equa... more 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
This paper deals with a macroeconomic coordination and its stabilization within a new Keynesian f... more This paper deals with a macroeconomic coordination and its stabilization within a new Keynesian framework. The dynamic treatment of a twocountry model is made by simulation, using the linear quadratic algorithm. We compare the optimal monetary policy rule for three types of equilibria: macroeconomic coordination, Nash and Stackelberg, using parameters that reflect the relative size and degree of openness of
The aim of the present research is to use a model economy built for Brazil, based on an optimizin... more The aim of the present research is to use a model economy built for Brazil, based on an optimizing dynamic general equilibrium model, in order to perform numerical simulations to derive the ability of the artificial economy to explain the impact of monetary policy interventions on Brazilian short run economic performance in terms of the inflation rate, output gap, interest
In the 1990s, several emerging market countries have faced a cycle of large capital inflows follo... more In the 1990s, several emerging market countries have faced a cycle of large capital inflows followed by sharp reversals. This cycle occurred almost simultaneously to groups of these economies. Studies on this issue have restricted mostly to reversals, while this paper includes the phase of inflows to study the behavior of affected economies related to them, concerning developments of macroeconomic
The purpose of this paper is to estimate the equilibrium real interest rate for Brazil using diff... more The purpose of this paper is to estimate the equilibrium real interest rate for Brazil using different approaches, in order to incorporate all the available information on the topic. The methods used are: historical interest rates, structural models, a long-run growth model, and through the exchange rate. For all these methods, the estimated equilibrium rates for Brazil were high relative to those found for the rest of the world. Also, a panel with 13 countries was estimated to examine the relationship between interest rates and the sovereign risk premium. A sub-panel of Latin-American countries was also examined.
The preliminary results suggest that the introduction of habit persistence into the consumption h... more The preliminary results suggest that the introduction of habit persistence into the consumption hypothesis does not make much difference. However the introduction of different monetary reaction functions does alter the impulse response of output, inflation ...
Downloadable! This paper presents a small-scale structural model to the Brazilian economy with an... more Downloadable! This paper presents a small-scale structural model to the Brazilian economy with an external block. The nominal exchange rate forecast is based on an uncovered interest rate, which is estimated in monthly terms since the switching of the exchange regime in 1999 ...
This paper conducts a study of the pass-through from the exchange rate devaluation to inflation c... more This paper conducts a study of the pass-through from the exchange rate devaluation to inflation considering the recent change in the foreign exchange regime in Brazil. Econometric estimations were performed using the specifications of the pass-through suggested by Goldfajn and Werlang (2000). Some simulations of the augmented Taylor rule (with an added exchange rate term) have also been made to analyze the response from supply and external shocks in a simple Inflation Targeting model with trade balance equations. In contrast to Ball (2000), when the exchange rate is included in the Taylor rule, output volatility increases after a negative shock to the capital inflow.
Based on a 6 equation model by Haldane and Battini (1999), we estimated a Phillips and an IS equa... more 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
This paper deals with a macroeconomic coordination and its stabilization within a new Keynesian f... more This paper deals with a macroeconomic coordination and its stabilization within a new Keynesian framework. The dynamic treatment of a twocountry model is made by simulation, using the linear quadratic algorithm. We compare the optimal monetary policy rule for three types of equilibria: macroeconomic coordination, Nash and Stackelberg, using parameters that reflect the relative size and degree of openness of
The aim of the present research is to use a model economy built for Brazil, based on an optimizin... more The aim of the present research is to use a model economy built for Brazil, based on an optimizing dynamic general equilibrium model, in order to perform numerical simulations to derive the ability of the artificial economy to explain the impact of monetary policy interventions on Brazilian short run economic performance in terms of the inflation rate, output gap, interest
In the 1990s, several emerging market countries have faced a cycle of large capital inflows follo... more In the 1990s, several emerging market countries have faced a cycle of large capital inflows followed by sharp reversals. This cycle occurred almost simultaneously to groups of these economies. Studies on this issue have restricted mostly to reversals, while this paper includes the phase of inflows to study the behavior of affected economies related to them, concerning developments of macroeconomic
The purpose of this paper is to estimate the equilibrium real interest rate for Brazil using diff... more The purpose of this paper is to estimate the equilibrium real interest rate for Brazil using different approaches, in order to incorporate all the available information on the topic. The methods used are: historical interest rates, structural models, a long-run growth model, and through the exchange rate. For all these methods, the estimated equilibrium rates for Brazil were high relative to those found for the rest of the world. Also, a panel with 13 countries was estimated to examine the relationship between interest rates and the sovereign risk premium. A sub-panel of Latin-American countries was also examined.
The preliminary results suggest that the introduction of habit persistence into the consumption h... more The preliminary results suggest that the introduction of habit persistence into the consumption hypothesis does not make much difference. However the introduction of different monetary reaction functions does alter the impulse response of output, inflation ...
Downloadable! This paper presents a small-scale structural model to the Brazilian economy with an... more Downloadable! This paper presents a small-scale structural model to the Brazilian economy with an external block. The nominal exchange rate forecast is based on an uncovered interest rate, which is estimated in monthly terms since the switching of the exchange regime in 1999 ...
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