THE NONLINEARITY OF BRAZILIAN MONETARY POLICY IN THE INFLATION-TARGETING PERIOD: AN ANALYSIS BASED ON AN MS-VAR MODEL
Palavras-chave:Nonlinearity, Inflation targeting, Brazilian economy
ResumoThis 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.
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Fonseca, M. R. R. da, Oreiro, J. L. da C., & Araújo, E. C. de. (2018). THE NONLINEARITY OF BRAZILIAN MONETARY POLICY IN THE INFLATION-TARGETING PERIOD: AN ANALYSIS BASED ON AN MS-VAR MODEL. Análise Econômica, 36(70). https://doi.org/10.22456/2176-5456.58567