Master's – Brazilian Monetary Politcy And Financial Stress

Tipo de evento: 
Defesa
Data e hora: 
09/05/2019 - 14:00 to 17:00

 

Fernando M. Couto De Lima  

Master's – Brazilian Monetary Politcy And Financial Stress  

Advisor: Prof. Dr. Rodrigo de Losso da Silveira Bueno   

Comission: Profs. Drs. Joelson Oliveira Sampaio, Paulo Sergio Tenani and Jose Carlos de Souza Santos  

 Class: 217, FEA-5  

 ABSTRACT*

 Taylor Rules are an easy alternative to parametric model the response function of monetary authority to inflation since interest rates are the most common instrument for monetary policy. Nonetheless, a wide number of research mas been done in the subject:  Clarida, Gali and Gertler (2000) has incorporated the role for for forward looking behavior through condition expectation operators, and results suggest that it is a useful benchmark in different regions.
Even though this parametric relation was primarily suited for maintenance of low volatility and control of inflation, some authors argue that this setup can be extended to accommodate  financial stresses. In this sense, we estimate an augmented Taylor Rule for Brazil from 2001 to 2018 by GMM, with moment conditions following closely  (CASTRO, 2011). Our results suggest that the Central Bank did not respond to the FCI proposed but it does when the model is augmented with stock market returns.

*Abstract provided by the author

 

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