Ricardo Ramalhete Moreira

Relationships between Effective and Expected Interest Rates as a Transmission Mechanism for Monetary Policy: Evidence on the Brazilian Economy using MS-models and a Bayesian VAR

This work applies Markov-switching models and a Bayesian VAR in order to verify empirical relationships between expected and effective short term interest rates in Brazil. The main results corroborate the theoretical idea according to which the Central Bank can smooth adjustments of effective short term interest rates, given that these last ones have effects on expected short term rates, thereby influencing long term interest rates, which are fundamental for controlling output activity and price changes. Besides, the MS-models show that these empirical relationships are more significant under a “higher response regime”. At last, the BVAR test yields impulse-response functions showing that shocks in expected rates have more persistent impacts on effective rates than what is observed from the opposite direction. This evidence gives support for the idea of a transparent and predictable monetary policy in Brazil.

Interest Rate Shocks, Central Bank's Credibility and Inflation Targeting Regime: Simulations in a Dynamic Stochastic General Equilibrium Model

Abstract This article analyzes the Central Banks endogenous and nonlinear credibility, under shocks and inflation targeting regime. Monetary policy regimes are compared, which are different in terms of endogenous credibility levels and their nonlinear sensibility to the observed economic deviations. It shows that the higher the credibility level, the lower its sensibility to the observed deviations and, as a consequence, the higher the flexibility power for the central bank to stimulate the economy without expressive unstable results. This proposition is verified through a stochastic autoregressive dynamic model and a small numeric simulation.

Monetary Policy's Structural Credibility and the Role of the Expected Inflation: A Kalman Filter Investigation

Abstract This work proposes an alternative method for measuring monetary policys structural credibility under inflation targeting regimes by the main determinants of the expected inflation, and using a Kalman approach. It shows that such a method does not present some restrictions found in the existing credibility indexes, such as in Cecchetti and Krause (2002) . It applies the new model and approach on the Brazilian case as an illustration and obtains robust results demonstrating that there exists a mutual dynamic relationship between expected inflation, observed inflation and the credibility behavior over time.

Weak dependence between the Brazilian consumer inflation and expected inflation: non–linear and Copulas methods and a note on the Central Bank's credibility

By implementing the Copulas method, this work analyses the dependence relationship or structure between the Brazilian consumer observed inflation and the expected inflation, from January 2005 to June 2011. Its results are consistent with some works for the Brazilian case, as the dependence structure measures showed that there exists a weak relationship between those variables, thereby confirming the hypothesis of high credibility for the Brazilian monetary policy under the inflation targeting period.

O impacto das commodities sobre a dinâmica da inflação no Brasil e o papel amortecedor do câmbio: evidências para o CRB Índex e Índice de Commodities Brasil

O presente trabalho investiga os impactos de choques de commodities, medidos pelo CRB index e pelo indice IC-Br, sobre a dinâmica inflacionaria no Brasil, de janeiro de 2005 a dezembro de 2013, por meio de modelos vetoriais autoregressivos (VAR). Em especial, testou-se o papel da taxa de câmbio nominal enquanto mecanismo de amortecimento das pressoes inflacionarias advindas daqueles choques. Os principais resultados foram os seguintes: (i) ambos os indices utilizados sao robustos para antecipar variacoes de precos ao consumidor no Brasil; (ii) o CRB index e mais indicado para revelar a correlacao inversa entre precos de commodities e a taxa nominal de câmbio no Brasil; (iii) as variacoes cambiais advindas dos choques nos precos de commodities sao, como previsto pela literatura, um mecanismo importante de amortecimento das pressoes inflacionarias resultantes.

Performing a Bayesian VAR to Analyze how Monetary Policy's Credibility is Affected and Affects Over Time: The Brazilian Experience☆

Abstract This article measures and analyzes how the monetary policys credibility is dynamically related to macroeconomic performance in Brazil. Performing a Bayesian VAR with Litterman/Minnesota priors, we obtain results highlighting that monetary policys credibility gains (and losses) are affected by inflation rate shocks, while the higher such credibility the easier the control of inflationary expectations and thereby taming effective inflation rates becomes a natural result over time. Furthermore, we verified other important new-keynesian predictions for Brazil, such as the pass-through effect, the output-inflation relation (Phillips curve), the interest rate-output one (IS curve), as well as the reaction of such a rate to inflation shocks (Taylor rule). At last, the monetary policys credibility is negatively affected by an undervaluated domestic currency.

Commodities Prices Volatility, Expected Inflation and GDP Levels: An Application for a Net-exporting Economy☆

Abstract This work applies time series methods, such as VAR, ARMA-GARCH and Cointegration/VEC, in order to test for short and long term relationships between commodities prices changes and relevant macroeconomic variables in Brazil, from January/2005 to May/2013. The main evidences have shown the existence of short term effects of commodities prices shocks on the expected and current consumer inflation, as well as on GDP and exchange rate levels; in turn, the long term relationships have been verified through changes in commodities prices volatility: in long term, an increase of the latter means a context of higher expected inflation and lower GDP levels, thereby showing that economic authorities have scientific reasons to concern with abrupt fluctuations in commodities markets. In this sense, volatility in commodity markets is not neutral.

EFEITOS REGIONAIS DA POLÍTICA MONETÁRIA: O CASO DO ESTADO DO ESPÍRITO SANTO

Este artigo se propoe a estimar os impactos da politica monetaria na economia do estado do Espirito Santo, no periodo 2000-2010, usando a tecnica de vetores autorregressivos (VAR). A base de dados utilizada e mensal e as variaveis analisadas sao, a grosso modo, de cunho monetario, cambial, de atividade economica, de precos e de arrecadacao tributaria, tanto para o Espirito Santo quanto para o Brasil. A contribuicao do artigo reside na analise especifica de uma economia com caracteristicas peculiares, como a participacao substancial de empresas de pequeno porte, a baixa participacao no credito nacional e o elevado grau de abertura externa, o que resultou num impacto maior em alguns indicadores estudados para a economia local do que para a economia nacional.

Harrod sob análise: path-dependence, tempo histórico e mudança estrutural endógena

Harrod under analysis: path-dependence, historic time and endogenous structural change. The article aims to demonstrate how the Harrods approach (1937, 1938, 1948) can offer theoretical elements to form a complex, historicists and non-determinist view of the economic system. The relaxation of the constant warranty rate hypothesis make possible the system suffers endogenous qualitative change. It results in the notion of path-dependence and historic time. By the endogenization of the expectations and the existence of turn-points mechanisms, this approach allows a synthesis between non-convergency and economic regulation.