Author(s): Bueno, Rodrigo de Losso da Silveira
Date: 2014
Persistent ID: http://hdl.handle.net/10438/12447
Origin: Oasisbr
Subject(s): Kalman filter; Markov switching regimes; Hidden states; Hidden variables; Economia; Política monetária; Kalman filter; Kalman filter; Markov switching regimes; Markov switching regimes; Hidden states; Hidden states; Hidden variables; Hidden variables; Economia; Economia; Política monetária; Política monetária
This work evaluates empirically the Taylor rule for the US and Brazil using Kalman Filter and Markov-Switching Regimes. We show that the parameters of the rule change significantly with variations in both output and output gap proxies, considering hidden variables and states. Such conclusions call naturally for robust optimal monetary rules. We also show that Brazil and US have very contrasting parameters, first because Brazil presents time-varying intercept, second because of the rigidity in the parameters of the Brazilian Taylor rule, regardless the output gap proxy, data frequency or sample data. Finally, we show that the long-run inflation parameter of the US Taylor rule is less than one in many periods, contrasting strongly with Orphanides (forthcoming) and Clarida, Gal´i and Gertler (2000), and the same happens with Brazilian monthly data.
