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

Autores

  • Mateus Ramalho Ribeiro da Fonseca Universidade Estadual de Maringá
  • José Luis da Costa Oreiro Associate Professor of Institute of Economics, Federal University of Rio de Janeiro, Rio de Janeiro, Brazil.
  • Eliane Cristina de Araújo Associate Professor of Department of Economics, Maringá State University, Maringá, Paraná, Brazil.

DOI:

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

Palavras-chave:

Nonlinearity, Inflation targeting, Brazilian economy

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.

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Biografia do Autor

Mateus Ramalho Ribeiro da Fonseca, Universidade Estadual de Maringá

Graduado em Ciências Econômicas pela Universidade Estadual de Maringá (2011). Atualmente é bolsista CAPES no Programa de Mestrado em Teoria Econômica da Universidade Estadual de Maringá.

José Luis da Costa Oreiro, Associate Professor of Institute of Economics, Federal University of Rio de Janeiro, Rio de Janeiro, Brazil.

Bachelor’s degree in economics from the Federal University of Rio de Janeiro (1992), MA in Economics from the Catholic University of Rio de Janeiro (1996) and PhD in Economics of Industry and Technology, Federal University of Rio de Janeiro (2000). Professor, Institute of Economics, Federal University of Rio de Janeiro (UFRJ), Researcher National Council for Scientific and Technological Development (CNPq). He has experience in economics, with an emphasis on Macroeconomic Dynamics, working mainly the following issues: capital accumulation, economic growth, monetary policy autonomy, interest rate and nonlinear dynamics.

Eliane Cristina de Araújo, Associate Professor of Department of Economics, Maringá State University, Maringá, Paraná, Brazil.

Bachelor’s degree in Economic Sciences, State University of Maringá (2002), MA in Economics from State University of Maringá (2004) with Technische Universität Ilmenau in exchange (Germany) and a PhD in Economics from the Federal University of Rio de Janeiro (2009). Associate professor at the State University of Maringá (UEM), researcher of the National Council for Scientific and Technological Development (CNPq) and Vice President of Brazilian Keynesian Association (AKB). Actually Eliane de Araujo maintains a standing interest in economic growth, international economics, exchange rate policy and monetary policy.

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Publicado

2018-07-10

Como Citar

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

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