• JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
 
  Bookmark and Share
 
 
Master's Dissertation
DOI
Document
Author
Full name
Fernando Moreira Couto de Lima
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2019
Supervisor
Committee
Bueno, Rodrigo de Losso da Silveira (President)
Sampaio, Joelson Oliveira
Santos, Jose Carlos de Souza
Tenani, Paulo Sergio
Title in English
Does brazilian monetary policy respond to financial stress ?
Keywords in English
Monetary policy. financial economics. financial stress. econometrics
Taylor
Abstract in English
Brazilian Monetary Policy and Financial Stress Taylor Rules are an easy alternative to parametric model the response function of monetary authority to inflation as interest rates are the most common instrument for monetary policy. Nonetheless, a lot of research has been done on the subject: for example, Clarida, Gali and Gertler (2000) have incorporated the role for forward looking behavior through condition expectation operators, and results suggest that it is a useful benchmark in different regions. Although, 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 Brazilian Central Bank did not respond to the FCI proposed in the literature using a vector of house prices, stock market returns and exchange rates. However, our regressions with Taylor Rule model setups augmented only by with stock market returns shows a modest response of the Brazilian Central Bank to financial stress.
Title in Portuguese
A política monetária brasileira responde a estress financeiro ?
Keywords in Portuguese
economia financeira
estresse financeiro. econometria
Política monetária
Regra de Taylor
Abstract in Portuguese
Política monetária brasileira e estresse financeiro As regras de Taylor são uma alternativa fácil ao modelo paramétrico da função de resposta da autoridade monetária à inflação, uma vez que as taxas de juros são o instrumento mais comum para a política monetária. No entanto, um grande número de pesquisas tem sido feito no assunto: Clarida, Gali e Gertler (2000) incorporam o papel para o comportamento prospectivo através de operadores de expectativa de condição, e os resultados sugerem que é uma referência útil em diferentes regiões. Embora essa relação paramétrica tenha sido primariamente adequada para a manutenção da baixa volatilidade e controle da inflação, alguns autores argumentam que essa configuração pode ser estendida para acomodar as tensões financeiras. Nesse sentido, estimamos uma Regra de Taylor aumentada para o Brasil de 2001 a 2018 por GMM, com condições de momento seguindo de perto Castro (2011). Nossos resultados sugerem que o Banco Central não respondeu ao índice de condições financeiras proposto. Contudo, nossas regressões com modelos de Regra de Taylor aumentado apenas por retorno de ações mostram uma modesta reação do Banco Central a estresse financeiro.
 
WARNING - Viewing this document is conditioned on your acceptance of the following terms of use:
This document is only for private use for research and teaching activities. Reproduction for commercial use is forbidden. This rights cover the whole data about this document as well as its contents. Any uses or copies of this document in whole or in part must include the author's name.
CorrigidoFernando.pdf (573.33 Kbytes)
Publishing Date
2019-08-19
 
WARNING: Learn what derived works are clicking here.
All rights of the thesis/dissertation are from the authors
CeTI-SC/STI
Digital Library of Theses and Dissertations of USP. Copyright © 2001-2020. All rights reserved.