Monetary policy in Brazil: evidence from new measures of monetary shocks

This paper derives new measures of monetary policy shocks for Brazil. First, one set of shocks is built inspired on the Romer and Romer (2004) methodology, using official and private forecasts. Central Bank staff forecasts were collected from the technical presentations of monetary policy meetings,...

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Autor principal:	Adonias Evaristo da Costa Filho
Formato:	article
Lenguaje:	EN PT
Publicado:	Universidade de São Paulo 2017
Materias:	monetary policy shocks output inflation Economics as a science HB71-74
Acceso en línea:	https://doaj.org/article/091fea6aa62f4da59ba5a2a2eebe0d2f
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spelling	oai:doaj.org-article:091fea6aa62f4da59ba5a2a2eebe0d2f2021-11-24T16:02:52ZMonetary policy in Brazil: evidence from new measures of monetary shocks0101-41611980-5357https://doaj.org/article/091fea6aa62f4da59ba5a2a2eebe0d2f2017-06-01T00:00:00Zhttps://www.revistas.usp.br/ee/article/view/114113https://doaj.org/toc/0101-4161https://doaj.org/toc/1980-5357 This paper derives new measures of monetary policy shocks for Brazil. First, one set of shocks is built inspired on the Romer and Romer (2004) methodology, using official and private forecasts. Central Bank staff forecasts were collected from the technical presentations of monetary policy meetings, released after the introduction of the Access of Information Law, while private forecasts come from the Focus survey. Second, a yield curve factor shock is constructed for the Brazilian case, based on the Barakchian and Crowe (2013) methodology. Equipped with the shocks measures, we feed them on VARs (Vector Autoregressions) and analyze the effects on inflation and output. A standardized monetary policy shock is found to reduce real GDP in up to 0.5%. In all but the yield curve shock case, it is found evidence of a price puzzle in the estimated models. Adonias Evaristo da Costa FilhoUniversidade de São Pauloarticlemonetary policyshocksoutputinflationEconomics as a scienceHB71-74ENPTEstudos Econômicos, Vol 47, Iss 2 (2017)
institution	DOAJ
collection	DOAJ
language	EN PT
topic	monetary policy shocks output inflation Economics as a science HB71-74
spellingShingle	monetary policy shocks output inflation Economics as a science HB71-74 Adonias Evaristo da Costa Filho Monetary policy in Brazil: evidence from new measures of monetary shocks
description	This paper derives new measures of monetary policy shocks for Brazil. First, one set of shocks is built inspired on the Romer and Romer (2004) methodology, using official and private forecasts. Central Bank staff forecasts were collected from the technical presentations of monetary policy meetings, released after the introduction of the Access of Information Law, while private forecasts come from the Focus survey. Second, a yield curve factor shock is constructed for the Brazilian case, based on the Barakchian and Crowe (2013) methodology. Equipped with the shocks measures, we feed them on VARs (Vector Autoregressions) and analyze the effects on inflation and output. A standardized monetary policy shock is found to reduce real GDP in up to 0.5%. In all but the yield curve shock case, it is found evidence of a price puzzle in the estimated models.
format	article
author	Adonias Evaristo da Costa Filho
author_facet	Adonias Evaristo da Costa Filho
author_sort	Adonias Evaristo da Costa Filho
title	Monetary policy in Brazil: evidence from new measures of monetary shocks
title_short	Monetary policy in Brazil: evidence from new measures of monetary shocks
title_full	Monetary policy in Brazil: evidence from new measures of monetary shocks
title_fullStr	Monetary policy in Brazil: evidence from new measures of monetary shocks
title_full_unstemmed	Monetary policy in Brazil: evidence from new measures of monetary shocks
title_sort	monetary policy in brazil: evidence from new measures of monetary shocks
publisher	Universidade de São Paulo
publishDate	2017
url	https://doaj.org/article/091fea6aa62f4da59ba5a2a2eebe0d2f
work_keys_str_mv	AT adoniasevaristodacostafilho monetarypolicyinbrazilevidencefromnewmeasuresofmonetaryshocks
_version_	1718414914679209984

Monetary policy in Brazil: evidence from new measures of monetary shocks

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