Monetary Policy Measurement and Credibility Indices: an Analysis of the Impulse Responses for Brazil (2003 to 2015)
Name: MARCOS VINICIUS NUNES MONTES
Publication date: 24/05/2016
Advisor:
Name |
Role |
|---|---|
| RICARDO RAMALHETE MOREIRA | Advisor * |
Examining board:
| Name |
Role |
|---|---|
| GUTEMBERG HESPANHA BRASIL | Internal Examiner * |
| RICARDO RAMALHETE MOREIRA | Advisor * |
Summary: Taking into account the theoretical literature on the importance of the inflation targeting regime and the monetary policy credibility towards the anchoring process of inflationary expectations and the long-run price level stability with lower social costs, this work adopted 05 indicators for credibility available in the related literature in order to test empirical relations between the Brazilian monetary policy credibility and the main macroeconomic variables, during the period from January 2003 to May 2015. This work estimated Vector Autoregressive (VAR) models for each indicator and, by their impulse-response functions, presented the main statistically significant responses which were regarded as common responses among all the indicators. Furthermore, at the end of the work, a robustness test was conducted and its findings confirmed the consistence of the original results achieved with the econometric methodology.
