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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
