Does brazilian monetary policy respond to financial stress ?

• Ano de defesa: 2019
• Autor(a) principal: Lima, Fernando Moreira Couto de
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Instituição de defesa: Biblioteca Digitais de Teses e Dissertações da USP
• Palavras-chave em Português: economia financeira; estresse financeiro. econometria; Monetary policy. financial economics. financial stress. econometrics; Política monetária; Regra de Taylor; Taylor
• Link de acesso: http://www.teses.usp.br/teses/disponiveis/12/12138/tde-28062019-165256/

Brazilian Monetary Policy and Financial Stress Taylor Rules are an easy alternative to parametric model the response function of monetary authority to inflation as interest rates are the most common instrument for monetary policy. Nonetheless, a lot of research has been done on the subject: for example, Clarida, Gali and Gertler (2000) have incorporated the role for forward looking behavior through condition expectation operators, and results suggest that it is a useful benchmark in different regions. Although, this parametric relation was primarily suited for maintenance of low volatility and control of inflation, some authors argue that this setup can be extended to accommodate financial stresses. In this sense, we estimate an augmented Taylor Rule for Brazil from 2001 to 2018 by GMM, with moment conditions following closely Castro (2011). Our results suggest that the Brazilian Central Bank did not respond to the FCI proposed in the literature using a vector of house prices, stock market returns and exchange rates. However, our regressions with Taylor Rule model setups augmented only by with stock market returns shows a modest response of the Brazilian Central Bank to financial stress.