Arbeitspapier

Inércia de juros e regras de Taylor: Explorando as funções de resposta a impulso em um modelo de equilíbrio geral com parâmetros estilizados para o Brazil

The fit of empirical Taylor Rules to Brazilian data improves if we consider the hypothesis of interest rate inertia. Inertia seems to be part of monetary policy of several countries and reflects the action of Central Banks of not adjusting once-for-all to changing conditions. This article extends the concept of inertia considered by Duarte (2001) in the general intertemporal equilibrium model developed by Woodford (2000(b)), which corresponds to the monetary shock first-order autoregressive coefficient. We explore here the concept of inertia related to the presence of first lag of interest rate in the three Taylor rules examined in characterization of impulse response functions of variables to a monetary shock. The short run response of variables and the time it takes for their return to equilibrium depend more on the autoregressive coefficient of the shock than on the interest rate inertia. But this inertia is important when the Taylor Rule includes lagged inflation and output, because in this case, a smaller oscillation of the response of variables to shocks is obtained. It is also important in the case of forward looking Taylor Rule.

Sprache
Portugiesisch

Erschienen in
Series: Texto para discussão ; No. 450

Klassifikation
Wirtschaft
General Aggregative Models: Forecasting and Simulation: Models and Applications
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Monetary Policy

Ereignis
Geistige Schöpfung
(wer)
Carneiro, Dionisio Dias
Duarte, Pedro Garcia
Ereignis
Veröffentlichung
(wer)
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
(wo)
Rio de Janeiro
(wann)
2001

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Carneiro, Dionisio Dias
  • Duarte, Pedro Garcia
  • Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia

Entstanden

  • 2001

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