Preferências assimétricas variantes no tempo na função perda do Banco Central do Brasil.

• Ano de defesa: 2012
• Autor(a) principal: Lopes, Kennedy Carvalho
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal da Paraí­ba; BR; Economia do Trabalho e Economia de Empresas; Programa de Pós Graduação em Economia; UFPB
• Palavras-chave em Português: regra de política monetária forward-looking; modelo com parâmetros variando no tempo; Brasil.; forward-looking monetary policy rule; time-varying parameter model; Brazil; CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
• Link de acesso: https://repositorio.ufpb.br/jspui/handle/tede/4998

This paper estimates a reaction function with forward-looking time-varying parameters for changes in the Brazilian monetary policy under inflation targeting regime. As the policy rule has endogenous regressors, the conventional Kalman filter can t be applied. Thus, a two-step procedure of the type Heckman (1976) is used to estimate the hyperparameters consistent model. The results show that: i) there is strong empirical evidence of endogeneity of the regressors of monetary policy rule, ii) the expected interest rate was above 10% throughout the analysis period to an average of 11%; iii) response the Selic rate to inflation varies considerably throughout the period and has shown a declining trend, iv) the response of interest rates relative to inflation deviation from the target with the principle of Taylor; v) the coefficient of smoothing rate interest has been constant throughout the period; vi) that the BCB had in much of the period analyzed an aversion recession by allowing inflation above target.