Dois ensaios em macroeconomia

• Ano de defesa: 2014
• Autor(a) principal: Silva, Marcus Vinícius Amaral e
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal da Paraíba; Brasil; Economia; Programa de Pós-Graduação em Economia; UFPB
• Palavras-chave em Português: Regra de positiva monetária; Monetary policy rule; Regressores endógenos; Quebras estruturais - Brasil; Endogenous Regressors; Multiple structural breaks -Brazil; CIENCIAS SOCIAIS APLICADAS::ECONOMIA
• Link de acesso: https://repositorio.ufpb.br/jspui/handle/tede/8113

This paper conducts tests for structural breaks in the reaction function of the Central Bank of Brazil to evaluate possible changes in the conduct of monetary policy in Brazil, taking into account the reaction function of the regressors are potentially endogenous variables. For this, we uses the methodology developed by Hall et al. (2012) who, using an extension of the framework developed by Bai and Perron (1998), develops a method capable of identifying multiple structural breaks at unknown periods. The main results indicate presence of structural breaks in the three reaction functions studied. Furthermore, the actions of monetary policy through interest rate Selic seem to suffer greater influence of deviations of inflation around its target, compared to changes in the output gap and the exchange rate.