Despite considerable research on the monetary policy rules, little is known about internal relation between policy rules targets. Research approach frequently consists in estimating parameters or identifying variables to make the rule operate accurately. The overall image that emerges from the literature is that there is no contradiction in attaining the targets once set properly. Dissertation switches attention to mutual feasibility of incorporated targets. To contribute to this strikingly overlooked fact hypothesis is tested. Analyzed are variances of inflation and output representing policy rule targets. Time regression processed throughout OLS technique, gap analysis and calculation of variances are applied as principal analytical tools. Examined are data for 14 countries. Countries are divided into two groups according to size of their economy: small economies (Austria, Belgium, Czech Republic, Hungary, Ireland, The Nederlands and Slovak Republic); large economies (Euro zone, France, Germany, Italy, Spain, Sweden and USA). Results of the analysis show that once monetary authority follows policy rule with multiple targets it faces restriction. Rather than achieving both targets at one time it must respect trade off between them. According to data for selected countries hypothesis is accepted. Variances of output consistently proved to be higher than variances of inflation. Whence it follows that authority need to solve constrained optimization problem. It needs to pick out combination of differently large variances contrary to wining with all reaching low levels.

This paper shows how to obtain a short run aggregate supply curve when there are explicit orimplicit contracts. In the same way it is possible to obtain an expectation augmented Phillips curve. Then, a monetary policy is incorporated to the short run aggregate supply curve or to the Phillips curve in order to model the Central Bank reaction when the actual inflation deviates from the target inflation. Then a model with a Central Bank welfare lost function is developed in order to obtain an optimal monetary policy rule which modifies the synthetic version of the Taylor Rule. This model allows making short run comparative static analyses. / Este trabajo muestra que la existencia de contratos implícitos o explícitos, da lugar a desvíos de la producción respecto de su nivel de pleno empleo y, por lo tanto, a la configuración de una curva de oferta agregada de corto plazo con pendiente positiva. Estos desvíos pueden asimismo expresarse con una curva de Phillips. Definida la curva de Phillips, se integra una regla de política monetaria que permite modelar los efectos de la reacción del Banco Central ante los desvíos de la inflación respecto de la inflación meta. Se desarrolla un modelo con una función de pérdida del Banco Central para luego obtener una regla monetaria óptima que modifica la versión sintética de la Regla de Taylor. Este modelo permite realizar análisis de estática comparativa a corto plazo.

Submitted by Maike Costa (maiksebas@gmail.com) on 2016-04-12T13:00:18Z No. of bitstreams: 1 arquivo total.pdf: 1701778 bytes, checksum: 4e6e0ca5635cf810784f97567b64095f (MD5) / Made available in DSpace on 2016-04-12T13:00:18Z (GMT). No. of bitstreams: 1 arquivo total.pdf: 1701778 bytes, checksum: 4e6e0ca5635cf810784f97567b64095f (MD5) Previous issue date: 2014-03-10 / This paper conducts tests for structural breaks in the reaction function of the Central Bank of Brazil to evaluate possible changes in the conduct of monetary policy in Brazil, taking into account the reaction function of the regressors are potentially endogenous variables. For this, we uses the methodology developed by Hall et al. (2012) who, using an extension of the framework developed by Bai and Perron (1998), develops a method capable of identifying multiple structural breaks at unknown periods. The main results indicate presence of structural breaks in the three reaction functions studied. Furthermore, the actions of monetary policy through interest rate Selic seem to suffer greater influence of deviations of inflation around its target, compared to changes in the output gap and the exchange rate. / Este estudo realiza testes de quebra estrutural na função de reação do Banco Central do Brasil para avaliar possíveis mudanças na condução da política monetária doméstica, levando-se em conta que os regressores da função de reação são potencialmente variáveis endógenas. Para isto, é utilizada a metodologia desenvolvida por Hall et al. (2012) que, utilizando uma extensão da estrutura desenvolvida por Bai e Perron (1998), elaboram um método capaz de identificar múltiplas quebras estruturais em períodos desconhecidos. Os principais resultados apontam para a presença de quebras estruturais nas três funções de reação estudadas. Além disso, as ações da política monetária, por meio da taxa de juros Selic, parecem sofrer maior influência dos desvios da inflação em torno de sua meta, comparativamente a variações no hiato do produto e na taxa de câmbio.

Made available in DSpace on 2015-05-08T14:44:50Z (GMT). No. of bitstreams: 1 Arquivototal.pdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2012-08-13 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This paper estimates a reaction function with forward-looking time-varying parameters for changes in the Brazilian monetary policy under inflation targeting regime. As the policy rule has endogenous regressors, the conventional Kalman filter can t be applied. Thus, a two-step procedure of the type Heckman (1976) is used to estimate the hyperparameters consistent model. The results show that: i) there is strong empirical evidence of endogeneity of the regressors of monetary policy rule, ii) the expected interest rate was above 10% throughout the analysis period to an average of 11%; iii) response the Selic rate to inflation varies considerably throughout the period and has shown a declining trend, iv) the response of interest rates relative to inflation deviation from the target with the principle of Taylor; v) the coefficient of smoothing rate interest has been constant throughout the period; vi) that the BCB had in much of the period analyzed an aversion recession by allowing inflation above target. / Este trabalho estima uma função de reação forward-looking com parâmetros variando no tempo para verificar mudanças na condução da política monetária brasileira sob o regime de metas de inflação. Como a regra de política apresenta regressores endógenos, o filtro de Kalman convencional não pode ser aplicado. Diante disso, um procedimento em dois passos do tipo de Heckman (1976) é utilizado para estimação consistente dos hiperparâmetros do modelo. Os resultados mostram que: i) há forte evidência empírica de endogeneidade dos regressores da regra de política monetária; ii) que a taxa de juros esperada esteve acima de 10% durante todo o período analisado, tendo uma média de 11%; iii) a resposta da taxa Selic à inflação varia consideravelmente ao longo do período e tem mostrado uma tendência decrescente; iv) a resposta da taxa de juros em relação ao desvio da inflação a meta respeita o princípio de Taylor; v) o coeficiente de suavização da taxa de juros foi constante durante todo o período analisado; vi) que o BCB teve em boa parte do período analisado uma aversão recessão, permitindo uma inflação acima da meta.

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