Work

The Nonlinearity of Brazilian Monetary Policy in the Inflation-targeting Period: an Analysis Based on an Ms-var Model

Year: 2018

Type: article

Abstract: 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.

Source: Análise Econômica

DOI: 10.22456/2176-5456.58567

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

Institutions: Universidade Federal do Rio Grande do Sul, Universidade Federal do Rio de Janeiro, Universidade Estadual de Maringá

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

Funders: Coordenação de Aperfeiçoamento de Pessoal de Nível Superior, Conselho Nacional de Desenvolvimento Científico e Tecnológico, Universidade Federal do Rio Grande do Sul

OpenAlex ID: W2862056972

FWCI: 0.959

Cites: 17

Cited by: 4

Related to: 10