This paper investigates the relationship between interest rate and volatility of real effective exchange rate in Brazil. Through a simultaneous multivariate GARCH model, which allows estimating equations for the mean and variance in a single stage, it was observed that: it’s not possible to...

This paper estimates the Brazilian NAILO (Nonaccelerating Inflation Level of Output), obtains (Bayesian) probability bands for the Nailo and for its growth rate, and investigates the relationship between deviations of output with respect to the Nailo and the acceleration of inflation. As...

We estimate a VAR model of the Phillips curve with an exchange rate shock to the Brazilian economy. Several different specifications, with different time frequencies, were estimated. Overall the results were robust to these changes, and can be summed up in the following: i) the pass-through to...

We estimate the Phillips curve with an exchange rate shock to the Brazilian economy. Besides panel data, we estimate the Phillips curve by time series methodology, including Bayesian techniques and Smoothing Transition Regressions (STR) model. The econometric results show three important...

The goal of this article is to estimate the New Keynesian Phillips Curve for Brazilian economy. Due to some specifications problems in regressions estimated by IV method, the GMM-HAC methodology was used in order to address them. We noted the robustness of the results performing a detailed...

This paper reports the results of estimating a Markov-Switching New Keynesian (MSNK) model using Bayesian methods. The broadest and best fitting MSNK model is a four-regime model allowing independent changes in the regimes governing monetary policy and the volatility of the shocks. We use the...

In the presence of staggered price setting, high trend inflation induces a large deviation of steady-state output from its natural rate and indeterminacy of equilibrium under the Taylor rule. This paper examines the implications of a ''smoothed-off'' kink in demand curves for the natural rate...

What caused the U.S. economy's shift from the Great Inflation era to the Great Moderation era? A large literature shows that the shift was achieved by the change in monetary policy from a passive to an active response to inflation. However, Coibion and Gorodnichenko (2011) attribute the shift to...