Measuring Monetary Policy Stance in Brazil

Measuring Systematic Monetary Policy

The 1970s and early 1980s witnessed two main approaches to the analysis of monetary policy. The first is the early new classical approach of Lucas, based on the assumptions of rational expectations and market clearing. The second is the atheoretical econometrics of Sims’s VAR program. Both have developed: the new classical approach has been enriched through various accounts of price stickiness,...

Measuring Systematic Monetary Policy v7.PDF

The 1970s and early 1980s witnessed two main approaches to the analysis of monetary policy. The first is the early new classical approach of Lucas, based on the assumptions of rational expectations and market clearing. The second is the atheoretical econometrics of Sims’s VAR program. Both have developed: the new classical approach has been enriched through various accounts of price stickiness,...

Monetary policy and the exchange rate in Brazil∗

This note presents evidence that higher interest rates may render a country’s currency less attractive. Using data from the dates surrounding the monetary policy committee meetings in Brazil and the methodology of identification through heteroskedasticity we find that unexpected increases in interest rates caused the Brazilian currency to depreciate during the 2000-2006 period.

Measuring monetary policy for a small open economy: Turkey

This paper proposes a measure to assess the monetary policy for a highly inflationary small open economy: Turkey. The empirical evidence suggests that positive innovations in the spread between the Central Bank’s interbank interest rate and the depreciation rate of the local currency mimic the properties of the tight monetary policy. These innovations, when they are positive, decrease income an...

Measuring Variability of Monetary Policy Lags: a Frequency Domain Approach