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Política monetária e indicadores macroeconômicos da região metropolitana de São Paulo; Monetary policy and São Paulo metropolitan area macroecomic variables

Sanematsu, Flávio Cysneiros
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 04/12/2006 PT
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66.58%
Este estudo investiga as possíveis relações entre a política monetária brasileira e variáveis macroeconômicas que abrangem apenas a Região Metropolitana de São Paulo (RMSP) durante o período de janeiro de 2000 a agosto de 2005, período esse caracterizado pelo regime de metas inflacionárias. O objetivo dessa investigação é tentar compreender se, dadas as diferenças entre a economia brasileira e a economia da RMSP, a dinâmica dos indicadores dessa região segue a trajetória esperada pela autoridade monetária ao formular a política monetária. Com base em modelos de vetores auto-regressivos (VAR), são encontrados indícios de que a atividade econômica da RMSP é sensível a choques na política monetária. Ao longo do regime de metas inflacionárias, a dinâmica das taxas de inflação corrente para os índices de preços dessa região, o IPC-FIPE e o IPCA-RMSP, não dá evidências claras de que são afetadas pela política monetária, mas as encontradas para a trajetória das expectativas de inflação de 12 meses indicam que as expectativas respondem a choques na política monetária. Por outro lado, a política monetária nacional não se mostrou sensível a choques na atividade econômica da RMSP, mas se mostrou sensível a choques inflacionários nos preços da região. Em relação ao pass-trough do câmbio sobre os preços da RMSP...

A influência política dos banqueiros na condução da política monetária brasileira durante o regime de alta inflação (1975-1994); The banker`s influence on Brazilian monetary policy during the high inflation regime

Luiz Carlos de Andrade Kessler
Fonte: Biblioteca Digital da Unicamp Publicador: Biblioteca Digital da Unicamp
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 03/04/2013 PT
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Este trabalho tem como objetivo evidenciar a influência política do empresariado financeiro na condução da política monetária brasileira. Subsidiado por perspectivas teóricas sobre o Estado, a verificação desta influência foi guiada pelas seguintes abordagens: Elitista, Pluralista, Escolha Racional, Marxista e Neo-institucionalista. Cada qual com suas metodologias próprias, questões e hipóteses subjacentes diferenciadas da questão principal deste trabalho, mas que auxiliaram na sua resolução. Os resultados empíricos dos diversos modelos formulados, de acordo com cada abordagem foram parecidos, problemas de autocorrelação serial devido à má especificação (omissão de variáveis) ou coeficientes de determinação com valores extremamente baixos, evidenciando pouca influência da política na condução da política monetária. Estes resultados embora refutem a hipótese original que os banqueiros têm grande influência na política monetária brasileira, também revelam a dificuldade de se constatar qualquer influência política sobre uma matéria que responde fortemente a eventos conjunturais. Não satisfeito com resultado apresentado pelas abordagens tradicionais, resolveu-se buscar um abordagem mais apropriada à análise política da política econômica...

Monetary policy rules in the BRICS : how important is nonlinearity?

Jawadi, Fredj; Mallick, Sushanta K.; Sousa, Ricardo M.
Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas
Tipo: Trabalho em Andamento
Publicado em 12/07/2011 ENG
Relevância na Pesquisa
66.59%
Given limited research on monetary policy rules in emerging markets, this paper estimates monetary policy rules for five key emerging market economies: Brazil, Russia, India, China and South Africa (BRICS) analysing whether the monetary authority reacts to changes in financial markets, in monetary conditions, in the foreign exchange sector and in the commodity price. To get a deeper understanding of the central bank’s behaviour, we assess the importance of nonlinearity using a smooth transition (STAR) model. Using quarterly data, we find strong evidence that the monetary policy followed by the Central Banks in the BRICS varies from one country to another and that it exhibits nonlinearity. In particular, considerations about economic growth (in the cases of Brazil and Russia), inflation (for India and China) and stability of financial markets (in South Africa) seem to be the major drivers of such nonlinear monetary policy behaviour. Moreover, the findings suggest that the monetary authorities pursue, with the exception of India, a target range for the threshold variable rather than a specific point target. In fact, the exponential smooth transition regression (ESTR) model seems to be the best description of the monetary policy rule in these countries.; Fundação para a Ciência e a Tecnologia (FCT)

Monetary policy and regional output in Brazil

Guimarães,Rafael Rockenbach da Silva; Monteiro,Sérgio Marley Modesto
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/03/2014 EN
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66.6%
This work presents an analysis of whether the effects of the Brazilian monetary policy on regional outputs are symmetric. The strategy developed combines the techniques of principal component analysis (PCA) to decompose the variables that measure regional economic activity into common and region-specific components and vector autoregressions (VAR) to observe the behavior of these variables in response to monetary policy shocks. The common component responds to monetary policy as expected. Additionally, the idiosyncratic components of the regions showed no impact of monetary policy. The main finding of this paper is that the monetary policy responses on regional output are symmetrical when the regional output decomposition is performed, and the responses are asymmetrical when this decomposition is not performed. Therefore, performing the regional output decomposition corroborates the economic intuition that monetary policy has no impact on region-specific issues. Once monetary policy affects the common component of the regional economic activity and does not impact its idiosyncratic components, it can be considered symmetrical.

Comment on Monetary Policy

Hoskins, Lee
Fonte: William E. Simon Graduate School of Business Administration, University of Rochester Publicador: William E. Simon Graduate School of Business Administration, University of Rochester
ENG
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66.63%
“We are in danger of assigning to monetary policy a larger role than it can perform, in danger of asking it to accomplish tasks that it cannot achieve, and, as a result, in danger of preventing it from making the contribution that it is capable of making.” Milton Friedman, 1968

At the time Milton Friedman made this statement many economist and policy-makers had adopted the view that monetary policy could and should be used to manage fluctuations in employment and output. What followed in the decade of the 70’s was the worst monetary policy performance in the last 50 years. We started the decade of the 70’s with low single digit unemployment and inflation rates and finished the decade with double-digit unemployment and inflation rates. What happened? We had great expectations for monetary policy, expectations that went far beyond the ability of monetary policy to achieve. Every slowdown in the economy was pursued with and expansion of money growth and when inflation began to rise the Fed belatedly slowed money growth to stop it, sending the economy back into a slowdown. This decade long policy produced rising peaks in both inflation and unemployment rates. The Fed spent the better part of the next two decades unwinding the results of this policy process. Fed policy –makers gave overriding policy importance to long-term price stability. As the Fed tamed inflation the unemployment rate fell to lows not seen since the 60’s.

Today...

Monetary Policy, Structural Break, and the Monetary Transmission Mechanism in Thailand

Hesse, Heiko
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Relevância na Pesquisa
66.64%
The paper studies monetary policy and the monetary transmission mechanism in Thailand in light of the Asian crisis in 1997. Existing studies that adopt structural vector auto-regression (VAR) approaches do not give a clear and agreed-upon view how monetary shocks are transmitted to the Thai economy that is subject to structural breaks. This study explicitly models a pre-crisis and post-crisis cointegrated VAR model. This analysis supports arguments that the trinity of open capital markets, pegged exchange rate regime, and monetary policy autonomy is inconsistent in the pre-crisis period. In contrast, the model points to an effective monetary policy in the post-crisis period. Further, the author analyzes the common driving trends of the model.

Nigeria : Strengthening Monetary and Liquidity Management

International Monetary Fund; World Bank
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
66.69%
The 2002 Financial Sector Assessment Program (FSAP) identified considerable problems in containing the upsurge in liquidity in the financial system, partly caused by spending of oil receipts. In the face of persistent excess liquidity in the financial system, the Central Bank of Nigeria (CBN) made numerous adjustments in the monetary policy framework and instruments; however, these had a limited impact on monetary aggregates. A structural excess liquidity is a common feature in oil exporting countries like Nigeria because of sustained large foreign currency inflows. This note reviews the current frameworks for monetary policy and liquidity management and discusses role of selective financial markets in improving liquidity management in Nigeria. It also provides some recommendations to further strengthen the implementation of monetary policy, particularly systemic liquidity management. This note is structured as follows: chapter one gives context and background; chapter two gives monetary policy framework; chapter three presents liquidity forecasting and management; chapter four gives functioning of financial markets and liquidity management; and chapter five gives recommendations.

Asset Prices, Macro Prudential Regulation, and Monetary Policy

Canuto, Otaviano; Cavallari, Matheus
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
66.63%
Confidence in combining inflation-targeting-cum-flexible-exchange-rate regimes with isolated micro prudential regulation as a means to guarantee both macroeconomic and financial stability has been shattered by the scale and synchronization of the asset price booms and busts that preceded the global financial crisis. It has now become clear that if monetary policy makers and prudential regulators are to succeed in achieving stability, there can be no complacency regarding asset price cycles. This note explores some of the ways in which monetary policy can address asset price booms and busts through its integration with macro prudential regulation.

The International Bank Lending Channel of Monetary Policy Rates and Quantitative Easing

Morais, Bernardo; Peydró, José-Luis; Ruiz, Claudia
Fonte: World Bank Group, Washington, DC Publicador: World Bank Group, Washington, DC
Tipo: Trabalho em Andamento
EN_US
Relevância na Pesquisa
66.6%
This paper identifies the international credit channel of monetary policy by analyzing the universe of corporate loans in Mexico, matched with firm and bank balance-sheet data, and by exploiting foreign monetary policy shocks, given the large presence of European and U.S. banks in Mexico. The paper finds that a softening of foreign monetary policy increases the supply of credit of foreign banks to Mexican firms. Each regional policy shock affects supply via their respective banks (for example, U.K. monetary policy affects credit supply in Mexico via U.K. banks), in turn implying strong real effects, with substantially larger elasticities from monetary rates than quantitative easing. Moreover, low foreign monetary policy rates and expansive quantitative easing increase disproportionally more the supply of credit to borrowers with higher ex ante loan rates -- reach-for-yield -- and with substantially higher ex post loan defaults, thus suggesting an international risk-taking channel of monetary policy. All in all, the results suggest that foreign quantitative easing increases risk-taking in emerging markets more than it improves the real outcomes of firms.

Monetary policy reaction functions in Australia

de Brouwer, Gordon; Gilbert, John
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Working/Technical Paper Formato: 668925 bytes; 353 bytes; application/pdf; application/octet-stream
EN_AU
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66.6%
Introduction: Monetary policy is the central tool for maintaining price stability and it has become the key tool in managing the business cycle. Yet, while there is a large empirical literature which assesses the behaviour of monetary policy in major economies, there has been little systematic empirical analysis of how monetary policy has been set in Australia. This paper examines the reaction function(s) of the Reserve Bank of Australia in setting interest rates in the post-float period, with special emphasis on the inflation-targeting period since 1991. We examine calibrated and estimated backward-looking and forward-looking reaction functions to assess the stability and consistency of interest-rate setting in the post float period. We aim to answer the following questions: In setting interest rates, has the Reserve Bank acted as if it was following a ‘rule’? Has it done so consistently? Does it respond systematically to variables other than inflation and output? How has the introduction of inflation targeting affected monetary policy? What is the neutral rate of interest? We also use these reaction functions to enter into two ongoing debates about the measurement of the output gap. The first of these centres on the problem of revisions to national accounts data. Orphanides (1998...

Exchange rate and monetary policy: selected comparative experiences during the pre- and post 1997 Asian financial crisis.

Goo, Si Wei
Fonte: Universidade de Adelaide Publicador: Universidade de Adelaide
Tipo: Tese de Doutorado
Publicado em //2008
Relevância na Pesquisa
66.64%
The aim of this thesis is to examine empirically the relationship between the exchange rate, the instruments of monetary policy and the measures of economic performance for Indonesia, Korea and Thailand during the pre- and post 1997 Asian financial crisis. The first core chapter (Chapter 2) assesses the possible linkages between the increase in domestic inflation and the exchange rate targeting policy adopted in these countries. Using the cointegration technique and a simple monetarist inflation model, Chapter 2 finds strong evidence that the exchange rate policy that generates a predominant domestic currency undervaluation has caused an increase in the domestic inflation rate for Indonesia and Korea. However, the exchange rate targeting policy that brings about a predominant baht overvaluation especially during the pre-crisis period has lowered Thailand’s inflation. Soon after the outbreak of 1997-crisis, instead of using the exchange rate as the nominal anchor, all three countries have implement their monetary policy around an inflation target following an inflation targeting framework. Owing to this significant structural break, the second core chapter (Chapter 3) uses a Markov-switching VAR framework to determine if the effects of monetary policy shocks have changed across different monetary policy regimes in these economies. Chapter 3 finds that regime switches occur in mid-1997 to 2000 for Indonesia...

Riesgo soberano y política monetaria : efectos sobre los préstamos bancarios y el crédito comercial; Sovereign risk and monetary policy : effects on bank loans and trade credit

Cantero Saiz, María
Fonte: Universidade de Cantabria Publicador: Universidade de Cantabria
Tipo: Tese de Doutorado
SPA
Relevância na Pesquisa
66.58%
RESUMEN: El objetivo de esta tesis doctoral es analizar la influencia del riesgo soberano sobre el canal de crédito de la política monetaria desde una doble perspectiva. La primera parte examina cómo el riesgo soberano determina los efectos de la política monetaria sobre los préstamos bancarios durante restricciones y expansiones monetarias. La segunda parte estudia el impacto del riesgo soberano sobre el crédito comercial, tanto directamente como a través de la política monetaria. En la primera parte, los resultados muestran que los bancos que operan en países con mayor riesgo soberano contraen más su oferta crediticia durante restricciones monetarias, mientras que no existen suficientes evidencias de que aumenten menos su oferta de préstamos durante expansiones monetarias. Asimismo, cuando el riesgo soberano es muy elevado, los bancos reducen su oferta de crédito independientemente del régimen monetario. En la segunda parte, los resultados indican que, durante la crisis, el crédito comercial extendido y neto (diferencia entre el crédito comercial extendido y recibido) descienden a medida que aumenta el riesgo soberano. Sin embargo, en los años de crisis, el crédito comercial recibido se incrementa cuanto mayor es el riesgo soberano...

Nominal debt as a burden on monetary policy

Díaz-Giménez, Javier; Giovannetti, Giorgia; Marimon, Ramón; Teles, Pedro
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em //2007 ENG
Relevância na Pesquisa
76.45%
We characterize the optimal sequential choice of monetary policy in economies with either nominal or indexed debt. In a model where nominal debt is the only source of time inconsistency, the Markov-perfect equilibrium policy implies the progressive depletion of the outstanding stock of debt, until the time inconsistency disappears. There is a resulting welfare loss if debt is nominal rather than indexed. We also analyze the case where monetary policy is time inconsistent even when debt is indexed. In this case, with nominal debt, the sequential optimal policy converges to a time-consistent steady state with positive -- or negative -- debt, depending on the value of the intertemporal elasticity of substitution. Welfare can be higher if debt is nominal rather than indexed and the level of debt is not too high.

Estimating US persistent and transitory monetary shocks: implications for monetary policy

Lafuente, Juan Angel; Pérez, Rafaela; Ruiz, Jesús
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /09/2011 ENG
Relevância na Pesquisa
66.58%
This paper proposes an estimation method for persistent and transitory monetary shocks using the monetary policy modeling proposed in Andolfatto et al, [Journal of Monetary Economics, 55 (2008), pp.: 406-422]. The contribution of the paper is threefold: a) to deal with non-Gaussian innovations, we consider a convenient reformulation of the state-space representation that enables us to use the Kalman filter as an optimal estimation algorithm. Now the state equation allows expectations play a significant role in explaining the future time evolution of monetary shocks; b) it offers the possibility to perform maximum likelihood estimation for all the parameters involved in the monetary policy, and c) as a consequence, we can estimate the conditional probability that a regime change has occurred in the current period given an observed monetary shock. Empirical evidence on US monetary policy making is provided through the lens of a Taylor rule, suggesting that the Fed’s policy was implemented accordingly with the macroeconomic conditions after the Great Moderation. The use of the particle filter produces similar quantitative and qualitative findings. However, our procedure has much less computational cost.

Monetary Policy and Sectoral Shocks : Did the Federal Reserve React Properly to the High-Tech Crisis?

Raddatz, Claudio; Rigobon, Roberto
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
66.64%
The authors present an identification strategy that allows them to study the sectoral effects of monetary policy and the role that monetary policy plays in the transmission of sectoral shocks. They apply their methodology to the case of the United States and find some significant differences in the sectoral responses to monetary policy. They also find that monetary policy is a significant source of sectoral transfers. In particular, a shock to equipment and software investment, which one identifies with the high-tech crisis, induces a response by the monetary authority that generates a temporary boom in residential investment and durables consumption but has almost no effect on the high-tech sector. Finally, the authors perform an exercise evaluating the model's predictions about the automatic and more aggressive monetary policy response to a shock similar to the one that hit the United States in early 2001. They find that the actual drop in interest rates is in line with the predictions of the model.

Monetary Policy Strategies for Latin America

Mishkin, Frederic S.; Savastano, Miguel A.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
66.7%
The authors examine possible monetary policy strategies for Latin America that may help lock in the gains the region attained in the fight against inflation in the 1990s. Instead of focusing the debate about the conduct of monetary policy on whether the nominal exchange rate should be fixed or flexible, the focus should be on whether the monetary policy regime appropriately constrains discretion in monetary policymaking. Three basic frameworks deserve serious discussion as possible long-run strategies for monetary policy in Latin America. The authors examine the advantages and disadvantages of a hard exchange-rate peg, monetary targeting, and inflation targeting, in light of monetary policy's recent track record in several Latin American countries, looking for clues about which of the strategies might be best suited to economies in the region. The answer: It depends on the country's institutional environment. Some countries appear not to have the institutions to constrain monetary policy if discretion is allowed. In those countries...

How Complementary Are Prudential Regulation and Monetary Policy?

Canuto, Otaviano
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Brief; Publications & Research
ENGLISH
Relevância na Pesquisa
66.59%
Could either monetary policy or financial prudential regulation be relied on individually to mitigate asset price cycles or their effects? If both ways are effective, monetary policy and prudential regulation could then be considered 'substitutes,' in the sense that the individual use of either instrument leads to a reduction in the volatility of both corresponding targets. This note, however, argues in favor of complementarily rather than substitution in the use of monetary and macro-prudential policies: the combined (articulate) use of both policies tends to be more effective than a standalone implementation of either.

Monetary Policy under Flexible Exchange Rates : An Introduction to Inflation Targeting

Agenor, Pierre-Richard
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper
EN_US
Relevância na Pesquisa
66.59%
In the past few years, a number of central banks have adopted inflation targeting for monetary policy. The author provides an introduction to inflation targeting, with an emphasis on analytical issues, and the recent experience of middle- and high-income developing countries (which have relatively low inflation to begin with, and reasonably well-functioning financial markets). After presenting a formal analytical framework, the author discusses the basic requirements for inflation targeting, and how such a regime differs from money, and exchange rate targeting regimes. After discussing the operational framework for inflation targeting (including the price index to monitor the time horizon, the forecasting procedures, and the role of asset prices), he examines recent experiences with inflation targets, providing new evidence on the convexity of the Phillips curve for six developing countries. His conclusions: Inflation targeting is a flexible policy framework that allows a country's central bank to exercise some degree of discretion, without putting in jeopardy its main objective of maintaining stable prices. In middle- and high-income developing economies that can refrain from implicit exchange rate targeting, it can improve the design...

Measuring Monetary Policy in Open Economies

Cerdeiro, Diego A.
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
ENGLISH
Relevância na Pesquisa
66.66%
The paper extends Bernanke and Mihov's [6] closed-economy strategy for identification of monetary policy shocks to open-economy settings, accounting for the simultaneity between interest-rate and exchange-rate innovations. The methodology allows a separate treatment of two distinct monetary policy shocks, one that operates through open market operations, and another one that takes place through interventions in the foreign exchange market. Implementation of this strategy to the case of Argentina provides the stylized facts necessary to choose among competing theoretical models of this economy. In addition to studying the effects of monetary policy innovations, the present study sheds light on the endogenous component of monetary policy. In this regard, the paper finds that, notwithstanding the relative stability of the exchange rate and the accumulation of large amounts of international reserves, the central bank in Argentina has been far from absorbing balance of payments shocks in a currency-board fashion. The growing level of international reserves can be rationalized...

Identifying Monetary Policy in Open Economies

BHUIYAN, MOHAMMAD
Fonte: Quens University Publicador: Quens University
Tipo: Tese de Doutorado Formato: 641019 bytes; application/pdf
EN; EN
Relevância na Pesquisa
66.61%
This thesis estimates the effects of monetary policy shocks by employing vector auto regressions (VAR). I argue that to the extent the central bank and the private sector have information not reflected in the VAR, the measurement of policy innovations is contaminated. These incorrectly estimated policy shocks then generate misleading results about the effects of monetary policy. This thesis first attempts to figure out the variables indeed observed by central banks to make monetary policy decisions and then formulates the monetary policy reaction function by using those variables. Having identified more realistic monetary policy functions in VAR models, I conclude that most of the previous puzzling results about the effect of monetary policy shocks might be due to incorrectly identifying the monetary policy reaction function.; Thesis (Ph.D, Economics) -- Queen's University, 2009-06-15 15:59:13.04