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  • 1
    Publication Date: 2019-01-24
    Description: This paper attempts to extend empirical investigations about the asymmetric effects of monetary shocks in the Brazilian economy. We specify and estimate a nonlinear smooth transition vector autoregressive model including output, price level, exchange rate and a monetary policy indicator (Selic rate). Impulse response functions showed that positive and negative monetary shocks have asymmetric effects on output growth and inflation. Regarding to the business cycle, contractionary monetary shocks showed stronger effects in low-growth states while expansionary shocks were stronger in highergrowth periods. In addition, we found that inflation and output growth are rigid to countercyclical monetary shocks.
    Keywords: E32 ; E52 ; C32 ; C52 ; ddc:330 ; Geldpolitik ; Wirkungsanalyse ; Brasilien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Portuguese
    Type: doc-type:workingPaper
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  • 2
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    Brasília: Instituto de Pesquisa Econômica Aplicada (IPEA)
    Publication Date: 2019-01-24
    Description: This paper aims to discuss the determinants of Brazilian inflation measured by the Extended National Consumer Price Index (IPCA) from 2000 to 2009. We built 22 disaggregated series, the segments classification, crossing the classification in tradeables/non-tradeables/monitored prices with the main groups of the IPCA (food and beverages, housing, household goods, clothing, transportation, health and personal care, personal expenses, education and communication). Segments with more influence on inflation are ordered by the so-called Inflation Targeting Pressure Index (ITPI), designed to measure the impact of each prices group on the IPCA. The paper also presents the results of an econometric model using the transfer function method, with monthly data from 1999 to 2009 to estimate the macroeconomic determinants of inflation in the 22 disaggregated series. The determinants of most influential segments are explored following the results of the econometric model. Finally, it discusses the implications for inflation policies.
    Keywords: E31 ; ddc:330 ; Inflation ; Verbraucherpreisindex ; Brasilien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Portuguese
    Type: doc-type:workingPaper
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  • 3
    Publication Date: 2019-01-24
    Description: This paper investigates the effect of monetary and exchange rate shocks on disaggregated prices of the Brazilian Consumer Price Index (IPCA), from 1999 to 2011. We analyze the results of a factor-augmented vector autoregressive model (Favar), which are presented by different levels of aggregation. We estimate the model using Bayesian techniques, and construct impulse-response functions using sign restrictions over the responses of macroeconomic variables. The main results were: i) 65.9% of the surveyed prices at the sub-items level fell after a monetary shock and 50.7% rose after exchange rate's shock; ii) only 2.6% of the sub-items (weight of 1.6% of the index) showed the price puzzle for monetary shocks and 2.3% (weight of 0.5% of the index) for exchange rate shocks; iii) macroeconomic shocks are more persistent than series-specific shocks; iv) the answers are different according to the sector considered.
    Keywords: E31 ; E52 ; E37 ; ddc:330 ; disaggregated prices ; monetary and exchange rate shocks ; Favar model
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Portuguese
    Type: doc-type:workingPaper
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