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

Autores/as

  • Mateus Ramalho Ribeiro da Fonseca Graduate student of graduate program in economics, Federal University of Rio Grande Do Sul (UFRGS), Porto Alegre, Rio Grande do Sul, Brazil.
    • 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

        Palabras clave:

        Nonlinearity, Inflation targeting, Brazilian economy

        Resumen

        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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        Biografía del autor/a

        Mateus Ramalho Ribeiro da Fonseca, Graduate student of graduate program in economics, Federal University of Rio Grande Do Sul (UFRGS), Porto Alegre, Rio Grande do Sul, Brazil.

        Bachelor’s degree in Economic Sciences, State University of Maringá (2011), MA in Economics, State University of Maringá (2014). Graduate student in Economics from the Federal University of Rio Grande do Sul. Higher Education Personnel Training Coordination (CAPES) scholarship recipient. Actually maintains a standing interest in the Monetary Economics and Development Economics, in special, about Brazil.

        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

        Cómo 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

        Número

        Vol. 36 Núm. 70 (2018): junho de 2018

        Sección

        Artigos

        Licencia

        Os autores mantêm os direitos autorais sobre o trabalho, concedendo à revista apenas o direito de sua primeira publicação. Além disso, têm autorização para assumir contratos adicionais separadamente para a versão do trabalho publicada nesta revista, desde que reconhecida a publicação inicial neste periódico.