Edilean Kleber da Silva Bejarano Aragón

Nonlinearities in Central Bank of Brazil's reaction function: the case of asymmetric preferences

This paper investigates the existence of possible asymmetries in the Central Bank of Brazils objectives. By assuming that the loss function is asymmetric with regard to positive and negative deviations of the output gap and of the inflation rate from its target, we estimated a nonlinear reaction function which allows identifying and checking the statistical significance of asymmetric parameters in the monetary authoritys preferences. For years 2000 to 2007, results indicate that the Central Bank of Brazil showed asymmetric preference over an above-target inflation rate. Given that this behavior may stem from policy decisions in periods of severe crises (e.g., in 2001 and in 2002), we restricted our sample to the 2004-2007 period. We did not find any empirical evidence of any type of asymmetry in the preferences over the stabilization of inflation and of the output gap for this period.

Asymmetric effects of monetary policy in Brazil

In this paper, we check whether the effects of monetary policy actions on output in Brazil are asymmetric. Therefore, we estimate Markov-switching models that allow positive and negative shocks to affect the growth rate of output in an asymmetric fashion in expansion and recession states. In general, results show that: i) the real effects of negative monetary shocks are larger than those of positive shocks in an expansion; ii) in a recession, the real effects of positive and negative shocks are the same; iii) there is no evidence of asymmetry between the effects of countercyclical monetary policies; and iv) it is not possible to assert that the effects of a positive (or negative) shock are dependent upon the phase of the business cycle.

PREFERÊNCIAS ASSIMÉTRICAS VARIANTES NO TEMPO NA FUNÇÃO PERDA DO BANCO CENTRAL DO BRASIL

This paper estimates a forward-looking reaction function with time-varying parameters to examine changes in the coefficients measuring asymmetries in the preferences of the Central Bank of Brazil (CBB) and verify nonlinearities in the monetary rule arising from the convexity of the Phillips curve. To consider the problem of the endogeneity in the regressors, the two-step procedure proposed by Kim (2006) and Kim and Nelson (2006) is used. The results indicate that: a) the reaction of the Selic rate to the interaction between deviation of inflation and the output gap is not statistically different from zero, suggesting that the nonlinear response of the CBB to inflation and/or output does not follow the convexity Phillips curve; b) in general, the CBB showed an asymmetric preference in favor of an above-target inflation over the period 2002-2005; c) the coefficient measuring the preference asymmetric with respect to the output gap shows a decreasing trend, but it is not statistically significant.

POLÍTICA MONETÁRIA E PREÇOS DE ATIVOS NO BRASIL: UMA AVALIAÇÃO EMPÍRICA PARA O PERÍODO DE METAS PARA A INFLAÇÃO

This paper investigates the reaction of the Central Bank of Brazil (CBB)’s monetary policy to stock and exchange rate price movements during the inflation-targeting period. In addition, it verifies whether the Selic rate has responded asymmetrically to the positive and negative deviations of asset price gaps. Therefore, different specifications of the CBB’s forward-looking reaction function are estimated by the Generalized Method of Moments. Results show that, in the short term, the CBB has responded asymmetrically to positive and negative exchange rate gaps, but that it has not reacted to stock price gaps. Moreover, the estimates of the implicit parameters of the reaction function indicate that only the long-term response of the Selic rate to expected inflation gap is significant. This is consistent with the theoretical analysis that the monetary authority should respond only indirectly to asset prices whenever such prices indicate changes in expected inflation.

Multiplicador dos gastos do governo em períodos de expansão e recessão: evidências empíricas para o Brasil

Neste trabalho, nos estimamos um vetor autorregressivo de transicao nao-linear com a finalidade de verificar se o multiplicador dos gastos do governo brasileiro sao dependentes do ciclo economico. O periodo de analise vai do primeiro trimestre de 1999 ao quatro de 2015. Alem dos gastos consolidados do governo, calculamos o multiplicador de consumo, investimento e salarios pagos pelo governo aos servidores publicos. Os resultados mostram que os multiplicadores dos gastos do governo se comportam da mesma maneira em periodos de recessao e expansao. Esse resultado e robusto a choques nos gastos do governo dados em periodos de expansao forte e recessao profunda, ao multiplicador de gastos do governo controlado pelo investimento, a razao divida/PIB e ao grau de abertura economica e taxa de câmbio.

QUEBRAS ESTRUTURAIS E ESTACIONARIEDADE DA RAZÃO CONSUMO-RENDA: NOVAS EVIDÊNCIAS PARA AMÉRICA LATINA E ESTADOS UNIDOS

This paper investigates the stationarity of the consumption-income ratio for 11 countries in Latin America and the United States in the period 1951-2010. Initially, it is tested the existence of multiple structural breaks at unknown dates in the trend function of consumption-income ratio. The test used, suggested by Perron and Yabu (2009) and Kejriwal and Perron (2010), is robust to the fact that the noise component of the time series is stationary or integrated. Then, it is employed the unit root tests proposed by Carrion-i-Silvestre et al . (2009), which allows for multiple breaks in the level and slope of the trend function. The results indicate the presence of two breaks in the trend function of the consumption-income ratio for most of the economies analyzed. The exceptions are Colombia and Paraguay, which have only one break. In the US case, the hypothesis of no structural break in the trend function of the parameters of the average propensity to consume cannot be rejected. Regarding the order of integration of consumption-income ratio, the results indicate that this variable is not stationary for all countries in the sample, with the exception of Peru.