Credibility of the Central Bank and GDP expectations: an alternative analysis on the Brazilian’s sacrifice rates from 2002 to 2018
DOI:
https://doi.org/10.5433/2317-627X.2020v8n2p211Keywords:
Credibility, GDP, Monetary policy, BrazilAbstract
Recent literature on Central Bank sacrifice rates and credibility points out that an improvement in credibility generates an improvement (decrease) in sacrifice rates. This paper seeks to analyze whether this effect can be directly observed in GDP expectations. Thus, we seek to demonstrate that GDP expectations can be used as proxy for sacrifice rates. The analysis will be based on a VAR model and impulse response functions for Brazil from 2002 to 2018. The results indicated that increases in the Central Bank credidibility does not imply in short term (first 12 months) gains of GDP expectations. Nevertheless, after the first year, GDP expectations show an effective increase, thereby indicating a lower long term sacrifice rate perception.
References
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DURHAM, J., B.; Sacrifice Ratios and Monetary Policy Credibility: Do Smaller Budget Deficits, Inflation-Indexed Debt, and Inflation Targets Lower Disinflation Costs? 2001.FEDS Working Paper n. 47, Disponível em: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=293681. Acesso em: 22 nov. 2019.
GONÇALVES, C., E., S.; CARVALHO, A. Metas de inflação e taxa de sacrifício. Revista Brasileira de Economia, v.62 n.2, p.177-188, abr./jun. 2008. Disponível em: http://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/view/1183/461. Acesso em: 01 ago. 2019.
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MISHKIN, F. S. International experiences with different monetary regimes. NBER working paper series, nº 7044, Mar/1999. Disponível em: https://www.nber.org/papers/w6965. Acesso em: 22 nov. 2019.
MONTES, G. C.; BASTOS, J. C. A. Metas de inflação e estrutura a termo das taxas de juros no Brasil. Economia aplicada, Ribeirão Preto, v. 15, n. 3, p. 391-415, 2011. Disponível em: http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1413-80502011000300003. Acesso em: 22 ago. 2019.
MONTES, G. C. Credibility and monetary transmission channels under inflation targeting: an econometric analysis from a developing country. Economic modelling, v. 30, p. 670-684, 2013. Disponível em: https://www.sciencedirect.com/science/article/abs/pii/S0264999312003100. Acesso em: 22 ago. 2019
MONTES, G. C.; BASTOS, J. C. A. Effects of reputation and credibility on monetary policy: theory and evidence for Brazil. Journal of economic studies, v. 41, n. 3, p. 287-404, 2014. Disponível em: https://www.emerald.com/insight/content/doi/10.1108/JES-11-2012-0158/full/html. Acesso em: 22 ago. 2019.
MOREIRA. R. R. Measuring the monetary policy’s structural credibility by the expected inflation determinants: a Kalman filter approach for Brazil. Brazilian Rewiew of Econometrics. V. 36, N. 2, 287-309, 2016. Disponível em: http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/57454. Acesso em: 28 nov. 2019.
MOREIRA, R. R. Expected Inflation, Lagged Inflation and the Central Bank’s Credibility: Time-Varying and VAR Analysis for the Recent Brazilian Case The Empirical Economics Letters, v.12, n.6, p.619-628, Jun. 2013. Disponível em: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2309028. Acesso em: 28 nov. 2019
ROSSI, S. The European Economic and Monetary Union in the Global Economy: Is There a Deflationary Bias? International Journal of Political Economy, v. 34, n. 2, p. 69-85, 2004. Disponível em: https://www.jstor.org/stable/i40020368. Acesso em: 22 nov. 2019.
SICSÚ, J. Expectativas Inflacionárias no Regime de Metas de Inflação: uma análise preliminar do caso brasileiro. Economia Aplicada, v. 6, n. 4, p.703-711, 2002. Disponível em: http://www.ie.ufrj.br/moeda/pdfs/expectativas_inflacionarias _no _regime.pdf. Acesso em 22 de nov de 2019.
SIMS, C. Macroeconomics and reality. Econometrica, v. 48, n. 1, p. 1-48, 1980. Disponível em : https://www.jstor.org/stable/1912017. Acesso em: 22 nov. 2019.
SIMS, C.; STOCK, J.; WATSON, M. Inference in linear time series models with some unit roots. Econometrica, v. 58, p. 113-144, 1990. Disponível em: https://www.princeton.edu/~mwatson/papers/Sims_Stock_Watson_Ecta_1990.pdf. Acesso em: 22 nov. 2019.
BALL, L. Policy rules for open economies. In: TAYLOR, J. (ed.) Monetary Policy Rules. Chicago: University of Chicago Press, p. 127-144, 1999. Disponível em: https://www.nber.org/papers/w6760. Acesso em: 22 nov. 2019.
BARRO, R. J. ; GORDON, D. B. Rules, Discretion and Reputation in a Model of Monetary Policy. Journal of Monetary Economics, v. 12, n. 1, p. 101-121, Jul/1983. Disponível em:https://www.nber.org/papers/w1079. Acesso em: 22 nov. 2019.
BERNANKE, B. S. ; MISHKIN, F. S. Inflation targeting: a new framework for monetary policy?. Journal of Economic Perspectives, v. 11, n. 2, p. 97-116, 1997. Disponível em:https://www.nber.org/papers/w5893. Acesso em: 22 nov. 2019.
BERNANKE, B., S.; LAUBACH, T.; MISHKIN, F.; POSEN, A, S. Inflation Targeting: How Successful Has It Been? In: BERNANKE, B.S.; LAUBACH, T.; MISHKIN, F.S.; POSEN, A.S. Inflation Targeting: Lessons from the International Experience, Chapter 10 Princeton University Press, 1999. Disponível em:https://www.jstor.org/stable/j.ctv301gdr. Acesso em: 22 nov. 2019.
BUENO, R. L. S. Econometria de Séries Temporais. 2. ed. São Paulo: CENGAGE, 2011.
CORBO, V.; MORENO, O., L.; SCHMIDT-HEBBEL, K. Does Inflation Targeting Make a Difference?” In LOAYSA, N. ; SAITO, R. (ed.) Inflation targeting: Design, performance and challenges. Santiago, Chile: ed. Central Bank of Chile, 2002, p.221-270. Disponível em:http://si2.bcentral.cl/public/pdf/banca-central /pdf/ v5/ 221_270Corbo.pdf. Acesso em 05 de agosto de 2019.
BOGDANSKI, J.; TOMBINI, A. A.; WERLANG, S. C. Implementing inflation targeting in Brazil. BCB Working paper series, n. 01, Central Bank of Brazil, 2000. Disponível em:https://www.bcb.gov.br/pec/wps/ingl/wps01.pdf. Acesso em: 22 nov. 2019.
CECCHETTI, S.G.; KRAUSE, S. Central Bank Structure, Policy Efficiency, and Macroeconomic Perfomance: Exploring Empirical Relationships. Review, Federal Reserve Bank of St. Louis, July- August, p.47-59, 2002. Disponível em: https://pdfs.semanticscholar.org/06f7/5424352150a54b0081df7c19094b3b3e4b20.pdf. Acesso em: 22 nov. 2019.
CLARIDA, R.; GALÍ, J.; GERTLER, M. The science of monetary policy: a new Keynesian perspective. Journal of Economic Literature, v. 37, p. 1661-1707, Dec/1999. Disponível em: https://www.nber.org/papers/w7147. Acesso em: 22 nov. 2019.
CURADO, T.; CURADO, M. Identificando as preferências do banco central do Brasil (2002-2013). Estudos Econômicos, São Paulo, v. 44, n. 3, p. 445-467, 2014. Disponível em: https://doi.org/10.1590/S0101-41612014000300001. Acesso em: 15 abr. 2019.
DE MENDONÇA, H. F. Mensurando a Credibilidade do Regime de Metas Inflacionárias no Brasil”. Revista de Economia Política, vol. 24, nº 3 (95), julho-setembro/2004. Disponível em: https://www.researchgate.net/publication/228431444_Mensurando_a_credibilidade_do_regime_de_metas_inflacionarias_no_Brasil. Acesso em: 22 nov. 2019.
MENDONÇA H. F.; GUIMARÃES E SOUZA, G. J. Inflation targeting credibility and reputation: The consequences for the interest rate. Economic Modelling, v.26, p.1228–1238, 2009. Disponível em: https://www.sciencedirect.com/science/article/abs/pii/S0264999309000947. Acesso em: 22 nov. 2019.
DURHAM, J., B.; Sacrifice Ratios and Monetary Policy Credibility: Do Smaller Budget Deficits, Inflation-Indexed Debt, and Inflation Targets Lower Disinflation Costs? 2001.FEDS Working Paper n. 47, Disponível em: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=293681. Acesso em: 22 nov. 2019.
GONÇALVES, C., E., S.; CARVALHO, A. Metas de inflação e taxa de sacrifício. Revista Brasileira de Economia, v.62 n.2, p.177-188, abr./jun. 2008. Disponível em: http://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/view/1183/461. Acesso em: 01 ago. 2019.
HOLLAND, M. Monetary and exchange rate policy after inflation. University of California, Berkeley, 2005. Disponível em: https://www.researchgate.net/profile/Marcio_Holland/publication/4735771_MONETARY_AND_EXCHANGE_RATE_POLICY_IN_BRAZIL_AFTER_INFLATION_TARGETING/links/0c960519f7ed2a6b5e000000.pdf. Acesso em: 15 abr. 2020.
MISHKIN, F. S. International experiences with different monetary regimes. NBER working paper series, nº 7044, Mar/1999. Disponível em: https://www.nber.org/papers/w6965. Acesso em: 22 nov. 2019.
MONTES, G. C.; BASTOS, J. C. A. Metas de inflação e estrutura a termo das taxas de juros no Brasil. Economia aplicada, Ribeirão Preto, v. 15, n. 3, p. 391-415, 2011. Disponível em: http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1413-80502011000300003. Acesso em: 22 ago. 2019.
MONTES, G. C. Credibility and monetary transmission channels under inflation targeting: an econometric analysis from a developing country. Economic modelling, v. 30, p. 670-684, 2013. Disponível em: https://www.sciencedirect.com/science/article/abs/pii/S0264999312003100. Acesso em: 22 ago. 2019
MONTES, G. C.; BASTOS, J. C. A. Effects of reputation and credibility on monetary policy: theory and evidence for Brazil. Journal of economic studies, v. 41, n. 3, p. 287-404, 2014. Disponível em: https://www.emerald.com/insight/content/doi/10.1108/JES-11-2012-0158/full/html. Acesso em: 22 ago. 2019.
MOREIRA. R. R. Measuring the monetary policy’s structural credibility by the expected inflation determinants: a Kalman filter approach for Brazil. Brazilian Rewiew of Econometrics. V. 36, N. 2, 287-309, 2016. Disponível em: http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/57454. Acesso em: 28 nov. 2019.
MOREIRA, R. R. Expected Inflation, Lagged Inflation and the Central Bank’s Credibility: Time-Varying and VAR Analysis for the Recent Brazilian Case The Empirical Economics Letters, v.12, n.6, p.619-628, Jun. 2013. Disponível em: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2309028. Acesso em: 28 nov. 2019
ROSSI, S. The European Economic and Monetary Union in the Global Economy: Is There a Deflationary Bias? International Journal of Political Economy, v. 34, n. 2, p. 69-85, 2004. Disponível em: https://www.jstor.org/stable/i40020368. Acesso em: 22 nov. 2019.
SICSÚ, J. Expectativas Inflacionárias no Regime de Metas de Inflação: uma análise preliminar do caso brasileiro. Economia Aplicada, v. 6, n. 4, p.703-711, 2002. Disponível em: http://www.ie.ufrj.br/moeda/pdfs/expectativas_inflacionarias _no _regime.pdf. Acesso em 22 de nov de 2019.
SIMS, C. Macroeconomics and reality. Econometrica, v. 48, n. 1, p. 1-48, 1980. Disponível em : https://www.jstor.org/stable/1912017. Acesso em: 22 nov. 2019.
SIMS, C.; STOCK, J.; WATSON, M. Inference in linear time series models with some unit roots. Econometrica, v. 58, p. 113-144, 1990. Disponível em: https://www.princeton.edu/~mwatson/papers/Sims_Stock_Watson_Ecta_1990.pdf. Acesso em: 22 nov. 2019.
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2020-12-01
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Oliveira, G. da S., Camatta, R. B., Souza, R. C., & Moreira, R. R. (2020). Credibility of the Central Bank and GDP expectations: an alternative analysis on the Brazilian’s sacrifice rates from 2002 to 2018. Economia & Região, 8(2), 211–229. https://doi.org/10.5433/2317-627X.2020v8n2p211
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