02. INTEREST RATE MARKET FORECASTS AND TAYLOR RULES IN LATIN AMERICAN COUNTRIES

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1、INTERESTRATEMARKETFORECASTSANDTAYLORRULESINLATINAMERICANCOUNTRIESAlexandredeCarvalho,FederalUniversityofABC(UFABC),SãoPaulo,BrazilABSTRACTInthisstudyweestimatedTaylorrulesusingtheConsensusEconomicForecastsdatabaseforArgentina,Brazil,ChileandMexico,thefourlargestLatinAmericane

2、conomies,aimingtoverifywhetherfinancialmarketanalystsincorporateTaylorrulesatthetimeofforecastinginterestrates.WeappliedtheGeneralizedMethodofMoments(GMM)andusedreal-timedataoftheoutput-gapforBrazilandMexico.Ourfindingsindicatethat,exceptforMexico,interestratesmarketforecasts

3、canbeexplainedbyTaylorrules.FinancialanalystsinBrazilandChileexpecttheTaylorprincipletoberespected,butwithalowerlevelofconfidencethanfoundinpreviousworks,aresultconsistentwiththetoughermonetarypolicytrade-offsthesecountrieshavefacedinrecentyears.Keywords:TaylorRules,InterestR

4、ateMarketForecasts1.INTRODUCTIONBank,duringtheGreenspantenure,wasmoreaggressivetoloosenmonetarypolicyinAftertheseminalarticlebyTaylor(1993),whoresponsetopositiveoutputgapsthantotightenfoundthatasimplemonetaryrulewasabletomonetarypolicyinthepresenceofnegativedescribequitewellt

5、hesettingofnominalinterestoutputgapsofequalsize,whereastheBankofratesbytheU.S.FederalReserveBankEnglandhasbecomemoreaversetonegativebetween1987and1992,alargenumberofthantopositiveinflationgapsofequalsizeintheauthorshaveexaminedcentralbankinterestpostinflation-targetingperiod.

6、Estimationusingratesettingbehaviorusing‘Taylorrules’.Initially,Markovswitchingmodels(see,forexample,suchstudieshavefocusedondevelopedOwyangandRamey2004),inturn,ispresentlycountries,andusedsimplelinearforward-acommonpracticeintheliteratureofmonetarylookingrulestodescribethemon

7、etarypolicy’spolicy,astheirmechanismoftime-varyingleadingfeatures.Subsequently,empiricalresultsparametersallowsidentificationofshiftsintheregardingemergingeconomieswerealsomonetarypolicystanceduetochangesindisclosed,andreal-timedataandnewmethods,CentralBankpreferencesorchange

8、sinthesuchasnonlinearmonetaryrulesandMarkovstructuralparametersofthe

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《02. INTEREST RATE MARKET FORECASTS AND TAYLOR RULES IN LATIN AMERICAN COUNTRIES》由会员上传分享,免费在线阅读,更多相关内容在行业资料-天天文库

1、INTERESTRATEMARKETFORECASTSANDTAYLORRULESINLATINAMERICANCOUNTRIESAlexandredeCarvalho,FederalUniversityofABC(UFABC),SãoPaulo,BrazilABSTRACTInthisstudyweestimatedTaylorrulesusingtheConsensusEconomicForecastsdatabaseforArgentina,Brazil,ChileandMexico,thefourlargestLatinAmericane

2、conomies,aimingtoverifywhetherfinancialmarketanalystsincorporateTaylorrulesatthetimeofforecastinginterestrates.WeappliedtheGeneralizedMethodofMoments(GMM)andusedreal-timedataoftheoutput-gapforBrazilandMexico.Ourfindingsindicatethat,exceptforMexico,interestratesmarketforecasts

3、canbeexplainedbyTaylorrules.FinancialanalystsinBrazilandChileexpecttheTaylorprincipletoberespected,butwithalowerlevelofconfidencethanfoundinpreviousworks,aresultconsistentwiththetoughermonetarypolicytrade-offsthesecountrieshavefacedinrecentyears.Keywords:TaylorRules,InterestR

4、ateMarketForecasts1.INTRODUCTIONBank,duringtheGreenspantenure,wasmoreaggressivetoloosenmonetarypolicyinAftertheseminalarticlebyTaylor(1993),whoresponsetopositiveoutputgapsthantotightenfoundthatasimplemonetaryrulewasabletomonetarypolicyinthepresenceofnegativedescribequitewellt

5、hesettingofnominalinterestoutputgapsofequalsize,whereastheBankofratesbytheU.S.FederalReserveBankEnglandhasbecomemoreaversetonegativebetween1987and1992,alargenumberofthantopositiveinflationgapsofequalsizeintheauthorshaveexaminedcentralbankinterestpostinflation-targetingperiod.

6、Estimationusingratesettingbehaviorusing‘Taylorrules’.Initially,Markovswitchingmodels(see,forexample,suchstudieshavefocusedondevelopedOwyangandRamey2004),inturn,ispresentlycountries,andusedsimplelinearforward-acommonpracticeintheliteratureofmonetarylookingrulestodescribethemon

7、etarypolicy’spolicy,astheirmechanismoftime-varyingleadingfeatures.Subsequently,empiricalresultsparametersallowsidentificationofshiftsintheregardingemergingeconomieswerealsomonetarypolicystanceduetochangesindisclosed,andreal-timedataandnewmethods,CentralBankpreferencesorchange

8、sinthesuchasnonlinearmonetaryrulesandMarkovstructuralparametersofthe

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