Regras monetárias e dinâmica macroeconômica no Brasil: uma abordagem de expectativas racionais

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In this article, we estimate and simulate an open rational expectations macro model for the Erazilian economy. Our goal is to identify the features of optimal monetary rules and their consequences for the model's shortterm dynamics. We compare the performance of three parametrizations of the monetary rule that differ with respect to the infiation variable: a Taylor rule, which is based on past infiation; a rule that combines past infiation and real exchange rate (Eall[5]); and a rule based on infiation forecasts (Eank of England [3]). We solve the model numerically and we use stochastic simulations with iid and correlated shocks to construct efficient frontiers on the infiation variance and output variance space. The sets of optimaI ruIes for the two versions are qualitativeIy distinct. Since there is uncertainty about the economy's forward-Iookingness, we propose a ranking of ruIes based on an equaI weighted average of each modeI's objective function. The best ranked ruIes according to this criterion have performance moderateIy inferior to the optimaI ruIes, but prevent much Iarger Iosses which wouId occur when ruIes are chosen according to the wrong model.

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