THE NONLINEARITY OF BRAZILIAN MONETARY POLICY IN THE INFLATION-TARGETING PERIOD: AN ANALYSIS BASED ON AN MS-VAR MODEL

Mateus Ramalho Ribeiro da Fonseca, José Luis da Costa Oreiro, Eliane Cristina de Araújo

Resumo


This article theoretically and empirically analyzes the hypothesis of the nonlinearity of Brazilian monetary policy following the implementation of inflation-targeting regime. At the theoretical level, it discusses growth and macroeconomic regimes and their effect over Brazilian economy according to the behavior of a number of variables. Empirically, it tests the hypothesis of the nonlinearity of monetary policy in Brazil, estimating a Markov-switching vector autoregressive (MS-VAR) model. The results identify two different monetary regimes: the first regime, which primarily occurred between 2000 and 2007, and the second regime, which primarily occurred between 2007 and 2013. In the case of the second regime, a contractionary monetary policy had more persistent effects on both the public debt and the exchange rate.

Palavras-chave


Nonlinearity; Inflation targeting; Brazilian economy

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DOI: https://doi.org/10.22456/2176-5456.58567



 
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Indexadores


 PROPESQ  PROPESQ PROPESQ   PROPESQ      PERIÓDICOS UFRGS


 
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Universidade Federal do Rio Grande do Sul
Faculdade de Ciências Econômicas
Revista Análise Econômica
ISSN 0102-9924 / e-ISSN 2176-5456