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Measuring the Monetary Policy’s Structural Credibility by the Expected Inflation Determinants: a Kalman Filter Approach for Brazil
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
Measuring the Monetary Policy’s Structural Credibility by the Expected Inflation Determinants: a Kalman Filter Approach for Brazil
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| Creator |
Moreira, Ricardo Ramalhete; Professor of Economics at the Federal University of Espírito Santo, Brazil.
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| Subject |
Keywords: monetary policy’s credibility; expected inflation; Kalman filter; Brazil.
E310;E37;E58. |
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| Description |
This article proposes an extension of Moreira (2013a,b) as a method for measuring monetary policy’s structural credibility under inflation targeting regimes by the main determinants of the expected inflation, and using a Kalman approach with calibration. Such a method does not present some restrictions found in the existing credibility indexes, such as in Cecchetti and Krause (2002). The proposed approach was applied on the Brazilian case as an illustration and obtained robust results demonstrating that there exists a mutual dynamic relationship between expected inflation, observed inflation and the credibility behavior over time.
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| Publisher |
Sociedade Brasileira de Econometria
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| Contributor |
—
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| Date |
2016-02-11
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/57454
10.12660/bre.v99n992016.57454 |
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| Source |
Brazilian Review of Econometrics; Vol 36, No 2 (2016)
Brazilian Review of Econometrics; Vol 36, No 2 (2016) 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/57454/57765
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| Rights |
Copyright (c) 2016 Brazilian Review of Econometrics
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