Navegando por Autor "Araújo, Eurilton"

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Discricionariedade na Política Monetária Brasileira após o Plano Real: Um teste baseado na Correlação de Longo Prazo entre Inflação e Produto
(2008) Donha, Talita Kelly Anunciação; Araújo, Eurilton
Esse trabalho procurou testar uma implicação empírica do modelo Barro e Gordon para a Economia Brasileira pós Plano Real com a intenção de avaliar se a Política Monetária Brasileira, após a implantação do Plano Real, foi discricionária ou pautada por regras. O teste foi realizado para alguns pares de proxies de atividade econômica e inflação. A evidência empírica encontrada representa um indício contrário à condução de uma política discricionária durante o período analisado, julho de 19994 a dezembro de 2006. Esta conclusão vale tanto para o regime de câmbio fixo quanto para o regime de metas de inflação. Ou seja, a coexistência de política monetária pautada por regras e estabilização é o cenário empiricamente mais plausível para o período analisado.
Macroeconomic Shocks and the Co-movement of Stock Returns in Latin America
(2008) Araújo, Eurilton
Optimal Monetary Policy and Interest Income Taxation
(2008) Araújo, Eurilton
This paper studies optimal discretionary monetary policy when the basic new Keynesian model is extended to incorporate interest income taxation. The elasticities of ináation and the output gap to supply and demand shocks are increasing functions of the tax rate. Moreover, numerical simulations show that high levels of taxation increase ináation volatility, the output gap volatility and the unconditional expectation of the central bankís loss function.
Policy Preferences for Output Stability before and after Inflation Targeting
(2008) Araújo, Eurilton; Pinheiro, Tatiana
Real Wage Rigidity and the Taylor Principle
(2008) Araújo, Eurilton
This paper investigates conditions for equilibrium determinacy un der inflation-targeting interest-rate rules when the basic new Keyne sian model is extended to incorporate real wage rigidity. I show that the introduction of real wage rigidity increases the determinacy region under forward-looking rules. Moreover, the Taylor principle continues to ensure equilibrium uniqueness under current-looking rules.
Robust Monetary Policy with the Consumption-Wealth Channel
(2008) Araújo, Eurilton
This paper studies how changes in the preference for robustness(central bank's concerns about model uncertainty) and in the size of wealth effects affect the design of optimal monetary policy rules in the Blanchard-Yaari framework with sticky prices. First, I present analytical solutions by assuming that all exogenous disturbances are white noise. It is shown that an increased preference for robustness and stronger wealth effects imply more aggressive policy responses to cost shocks. In addition, the monetary policy design problem is isomorphic to the same problem in the standard New Keynesian framework. Then, I use numerical methods to study the case of persistent shocks. It is shown that an increased preference for robustness continues to imply more aggressive responses to cost shocks. By contrast, stronger wealth effects lead to less aggressive responses.
Supply-side effects of monetary policy and the central bank’s objective function
(2008) Araújo, Eurilton
This paper considers a new Keynesian model with the cost channel and evaluates the supply-side e§ects of monetary policy on macroeco nomic volatility and welfare, taking into account the endogenous na ture of the objective function of monetary authorities. When the cost channel matters, supply-side e§ects of monetary policy depend on the degree of interest rate pass-through and the degree of price rigidity. Numerical results show that the welfare consequences of an increase in the degree of interest rate pass-through are independent of how the central bank speciÖes its loss function. By contrast, the welfare conse quences of an increase in price rigidity depend critically on the nature of the loss function considered. Macroeconomic volatility as a func tion of the pass-through is almost independent of the central bankís loss function. In contrast, this volatility as a function of the degree of price rigidity depends more on the nature of the loss function.