Implementing Inflation Targeting in Brazil

Bogdanski, Joel; Tombini, Alexandre Antonio; Werlang, Sérgio Ribeiro da Costa

doi:10.2139/ssrn.247507

Cited by 95 publications

(69 citation statements)

References 7 publications

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“…Nessa linha cita-se, Alves & Areosa (2005), Bogdanski et al (2000), Carneiro et al (2002), Minella et al (2003) e Muinhos (2004), os quais procuraram estimar diferentes especificações de Curva de Phillips para o Brasil e avaliar quais são os principais determinantes da inflação e as ponderações associadas à inércia da inflação e às expectativas de inflação. Os resultados encontrados, por Alves & Areosa (2005), mostram que o coeficiente para meta de inflação foi de 0,68 e de -0,11 para o custo marginal.…”

Section: A Curva De Phillips E Evidências Para Economia Brasileiraunclassified

“…Essa herança, em alguma medida, pode estar refletida na formação das expectativas dos agentes e se realiza por intermédio de um componente inercial na inflação observada. Embora estudos como Alves & Areosa (2005), Bogdanski et al (2000), Carneiro et al (2002), Minella et al (2003), Muinhos & Alves (2003), Mazali & Divino (2010), Fonseca Neto (2010), Mendonça et al (2012) já tenham demonstrado que a persistência da inflação diminuiu após a adoção do regime de metas de inflação, é importante que se verifique quais as magnitudes dos componentes expectacionais da inflação brasileira para o período mais recente. Transcorridos quinze anos do regime de metas, qual terá sido a participação da inflação passada e da expectativa na dinâmica de formação de preços?…”

Section: Introductionunclassified

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An estimation of the hybrid Phillips curve for Brazil in the inflation targeting regime

Triches

Feijó

2017

Econ. Aplic.

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ResumoO objetivo deste artigo é investigar a dinâmica da inflação no Brasil no período entre 2000-IV e 2014-II, por meio da abordagem da Curva de Phillips híbrida. Essa especificação econométrica permite avaliar os termos forward looking ou expectativa de inflação e backward looking inflação defasada. Os modelos foram estimados pelo método ARDL e os resultados mostraram que a inclusão do custo unitário do trabalho como proxy para a atividade econômica gerou um melhor ajustamento na estimação da Curva de Phillips. A expectativa de inflação tem dominância determinação da dinâmica da inflação brasileira. Há ainda um componente inercial dado pela rigidez de preços proveniente da indexação de contratos e preços administrados.Palavras-chave: Curva de Phillips híbrida, meta de inflação, expectativa de inflação, inércia da inflação. AbstractThe aim of this paper is to investigate the dynamics of inflation in Brazil between 2000-IV to 2014-II, through the hybrid Phillips Curve approach. This econometric specification allows evaluating the forward looking and backward looking terms. The models were estimated by ARDL method and the results showed that the inclusion of unit labor cost as a proxy for economic activity generated a better fit in the estimation of the Phillips curve. The expectation of inflation has dominance in determining the dynamics of the Brazilian inflation. There is still an inertial component given by the rigidity of prices due to the indexation of several contracts and government managed prices.

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Section: A Curva De Phillips E Evidências Para Economia Brasileiraunclassified

Section: Introductionunclassified

An estimation of the hybrid Phillips curve for Brazil in the inflation targeting regime

Triches

Feijó

2017

Econ. Aplic.

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“…For example, volatility in the exchange rate had to be controlled since it is directly connected to inflation Minella et al (2003). Bogdanski et al (2000) argues that inflation targets may be a good alternative for monetary policies in emerging countries; however, they have to be handled carefully. In the Brazilian case, they have brought lower inflation rates and more stable prices Carraraa andCorreab (2012), De Pooter et al (2014).…”

Section: Introductionmentioning

confidence: 99%

Forecasting Brazilian Inflation with High-Dimensional Models

Medeiros

Vasconcelos²,

Freitas³

2016

Brazilian Review of Econometrics

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In this paper, we use high dimensional models, estimated by the least absolute shrinkage and selection operator (LASSO) to forecast Brazilian inflation. The models are compared to benchmark specifications such as linear autoregressive (AR) and the factor models based on principal components. Our results show that the LASSO-based specifications have the smallest errors for short-horizon forecasts. However, for long horizons, the AR benchmark is the best model with respect to point forecasts, even though there is no significant difference between them. The factor model also produces some good long-horizon forecasts in a few cases. We estimated all the models for the two most important Brazilian inflation measures, the IPCA and the IGP-M indexes. The results also show that there are differences in the selected variables for both measures. Finally, the most important variables selected by the LASSO-based models are, in general, related to government debt and money. On the other hand, variables such as unemployment and production are rarely selected by the LASSO. Therefore, our evidence is against the Phillips curve as the driving mechanism of Brazilian inflation.

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“…Such low credit-to-GDP ratio has been mentioned in the literature as a possible reason to ignore a potential credit channel in the monetary policy transmission mechanism for Brazil (Bogdanski et al, 2000). However, this topic has continued to receive great attention from researchers and policy-makers.…”

Section: Introductionmentioning

confidence: 99%

The reaction of bank lending to monetary policy in Brazil

Takeda¹,

Rocha

Nakane³

2005

Rev. Bras. Econ.

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This paper evaluates the relevance of the "bank lending channel'' of monetary policy transmission in Brazil. Disaggregated monthly data of the Brazilian banks balance sheets from December 1994 to December 2001 are analyzed. In addition to the short-term interest rate, we consider the effects of another monetary policy instrument frequently used in Brazil, represented by reserve requirements on overall banks deposits - demand, savings, and time deposits. Dynamic panel data techniques are employed. Our results suggest that the impact of reserve requirements is relevant and stronger for larger banks loans. This finding results from the progressive reserve rates required from banks, which affect to a greater extent banks with larger deposit volumes.
Este artigo avalia o canal de empréstimos bancários na transmissão da política monetária. A análise foca os dados mensais desagregados do balanço patrimonial dos bancos comerciais brasileiros de dezembro de 1994 a dezembro de 2001. Em adição à taxa básica de juros de curto prazo, este estudo considera também os efeitos de um outro instrumento de política monetária usado freqüentemente no Brasil, representado pelos recolhimentos compulsórios sobre os depósitos à vista, de poupança e a prazo. A partir de técnicas de análise de dados em painel dinâmico, os resultados dos testes sugerem que o impacto dos compulsórios é relevante e é mais forte sobre os empréstimos dos grandes bancos, conclusão que decorre de recolhimentos compulsórios de caráter progressivo, que afetam mais fortemente os bancos com maiores volumes de depósitos

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Implementing Inflation Targeting in Brazil

Cited by 95 publications

References 7 publications

An estimation of the hybrid Phillips curve for Brazil in the inflation targeting regime

An estimation of the hybrid Phillips curve for Brazil in the inflation targeting regime

Forecasting Brazilian Inflation with High-Dimensional Models

The reaction of bank lending to monetary policy in Brazil

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