Central bank research hub - Papers by Marcelo Kfoury Muinhos
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Research hub papers by author Marcelo Kfoury MuinhosenComparing equilibrium real interest rates: different approaches to measure Brazilian rates
http://www.bcb.gov.br/pec/wps/ingl/wps101.pdf
Central Bank of Brazil Working Papers by Marcelo Kfoury Muinhos and Márcio I. NakaneComparing equilibrium real interest rates: different approaches to measure Brazilian rates2006-04-01T12:00:00ZDespite the difficulties involved in the precise determination of equilibrium real interest rates, it seems clear that nominal interest rates has been higher in Brazil than in similar emerging economies. This paper aims to shed light on the possible reasons for this feature of the Brazilian economy. We extend Miranda and Muinhos (2003) one-country study to a sample of 20 countries, using many methods to compare measures of the real interest: (i) extracting equilibrium interest rates from IS curves; (ii) extracting steady state interest rates from marginal product of capital; (iii) capturing relevant variables and the fixed effects having real interest rates as dependent variable in a panel for emerging countries; and (iv) extracting inflation expectation from the spread between fixed rate and inflation-indexed treasure notes.Comparing equilibrium real interest rates: different approaches to measure Brazilian ratesAbstracthttp://www.bcb.gov.br/pec/wps/port/wp101.asp?idiom=IFull texthttp://www.bcb.gov.br/pec/wps/ingl/wps101.pdfMarcelo Kfoury MuinhosMárcio I. NakaneMarcelo Kfoury Muinhos and Márcio I. Nakane2006-03Central Bank of Brazil Working PapersE43F34Capital Flows Cycle: Stylized Facts and Empirical Evidences for Emerging Market Economies
http://www.bcb.gov.br/pec/wps/ingl/wps98.pdf
Central Bank of Brazil Working Papers by Helio Mori and Marcelo Kfoury MuinhosCapital Flows Cycle: Stylized Facts and Empirical Evidences for Emerging Market Economies2005-09-01T12:00:00ZIn the 1990s, several emerging market countries have faced a cycle of large capital inflows followed by sharp reversals. This cycle occurred almost simultaneously to groups of these economies. Studies on this issue have restricted mostly to reversals, while this paper includes the phase of inflows to study the behavior of affected economies related to them, concerning developments of macroeconomic variables. Empirical tests showed that, initially, during inflow phase, countries had experienced strong GDP growth; but then, with reversal, GDP contracted steeply. Inflows helped to stabilize inflation while, for economies with less flexible exchange regimes, reversals forced some of them to let their currency float, causing sharp depreciation and acceleration of inflation. Large inflows might have produced distortions in the affected economies that contributed to severe adjustments with reversals. In this process of inflow-reversal, external factors beyond the control of emerging markets could have a role.Capital Flows Cycle: Stylized Facts and Empirical Evidences for Emerging Market EconomiesAbstracthttp://www.bcb.gov.br/pec/wps/port/wp98.asp?idiom=IFull texthttp://www.bcb.gov.br/pec/wps/ingl/wps98.pdfMarcelo Kfoury MuinhosHelio MoriHelio Mori and Marcelo Kfoury Muinhos2005-08Central Bank of Brazil Working PapersSteady State Analysis of an Open Economy General Equilibrium Model for Brazil
http://www.bcb.gov.br/pec/wps/ingl/wps92.pdf
Central Bank of Brazil Working Papers by Mirta Noemí Sataka Bugarin, Roberto de Goes Ellery Jr., Victor Gomes Silva and Marcelo Kfoury MuinhosSteady State Analysis of an Open Economy General Equilibrium Model for Brazil2005-05-01T12:00:00ZThe aim of the present research is to build an open economy recursive general equilibrium model for the Brazilian economy in order to numerically assess the corresponding steady state equilibrium. This characterization allows us to numerically compute the endogenously determined steady state key relationship, namely the primary surplus aggregate output as well as the debt-product ratio among other variables, as functions of the monetary and fiscal policy parameters chosen by the government of the model economy. The adopted model introduces a transaction technology, which allows us to obtain a monetary equilibrium at steady state. This economy differs from the one used by Ljungqvist and Sargent (2000) for it considers an open economy with accumulation and production. The main result has shown that under the adopted parameterization the steady state of the model economy can numerically characterized by a debt output ratio of 0.3387. The numerical simulations show alternative steady states attainable by the government of the model economy. In order to finance higher expenses the government is bounded to trade-off higher interest rate (low inflation or high return on real money balances) with low operational surpluses due to the higher debt output ratio at the long run equilibrium.Steady State Analysis of an Open Economy General Equilibrium Model for BrazilAbstracthttp://www.bcb.gov.br/pec/wps/port/wp92.asp?idiom=IFull texthttp://www.bcb.gov.br/pec/wps/ingl/wps92.pdfMarcelo Kfoury MuinhosRoberto de Goes Ellery Jr.Victor Gomes SilvaMirta N. S. BugarinMirta Noemí Sataka Bugarin, Roberto de Goes Ellery Jr., Victor Gomes Silva and Marcelo Kfoury Muinhos2005-04Central Bank of Brazil Working PapersInflation Targeting in Brazil: Constructing Credibility under Exchange Rate Volatility
http://www.bcb.gov.br/pec/wps/ingl/wps77.pdf
Central Bank of Brazil Working Papers by André Minella, Paulo Springer de Freitas, Ilan Goldfajn and Marcelo Kfoury MuinhosInflation Targeting in Brazil: Constructing Credibility under Exchange Rate Volatility2003-08-01T12:00:00ZThis paper assesses the challenges faced by the inflation-targeting regime in Brazil. The confidence crisis in the future performance of the Brazilian economy and the increase in risk aversion in international markets were responsible for a sudden stop of capital inflows in 2002 that caused a significant depreciation of the exchange rate. The inflation-targeting framework has played a critical role in macroeconomic stabilization. We stress two important challenges: construction of credibility and exchange rate volatility. The estimations indicate the following results: i) the inflation targets have worked as an important coordinator of expectations; ii) the Central Bank has reacted strongly to inflation expectations; iii) there has been a reduction in the degree of inflation persistence; and iv) the exchange rate pass-through for "administered or monitored" prices is two times higher than for "market" prices.Inflation Targeting in Brazil: Constructing Credibility under Exchange Rate VolatilityAbstracthttp://www.bcb.gov.br/pec/wps/port/wp77b.asp?idiom=IFull texthttp://www.bcb.gov.br/pec/wps/ingl/wps77.pdfAndré MinellaMarcelo Kfoury MuinhosIlan GoldfajnPaulo Springer de FreitasAndré Minella, Paulo Springer de Freitas, Ilan Goldfajn and Marcelo Kfoury Muinhos2003-07Central Bank of Brazil Working PapersE31E52E58Medium-Size Macroeconomic Model for the Brazilian Economy
http://www.bcb.gov.br/pec/wps/ingl/wps64.pdf
Central Bank of Brazil Working Papers by Marcelo Kfoury Muinhos and Sergio Afonso Lago AlvesMedium-Size Macroeconomic Model for the Brazilian Economy2003-03-01T12:00:00ZThis paper presents a medium-scale structural model for the Brazilian economy with more than 30 equations. The potential output is derived from a Cobb-Douglas production function and the demand side is divided in estimated equation for: consumption of the families, investment in machinery and construction, government spending and net exports. The estimated Phillips curve has two interesting features: dummies for the structural break in the pass-through and also a term that includes labor productivity on the Phillips equation. An algorithm to run the model with a model consistent forward-looking term in the Phillips curve is implemented. There are long-run equilibrium conditions for the external and fiscal debts and also for the real interest rate. External and supply shocks hit the medium-size model to generate impulse responses in order to compare with small-scale structural models.Medium-Size Macroeconomic Model for the Brazilian EconomyAbstracthttp://www.bcb.gov.br/pec/wps/port/wp64.asp?idiom=IFull texthttp://www.bcb.gov.br/pec/wps/ingl/wps64.pdfMarcelo Kfoury MuinhosSergio A. Lago AlvesMarcelo Kfoury Muinhos and Sergio Afonso Lago Alves2003-02Central Bank of Brazil Working PapersE12E27F43F47Inflation Targeting in Brazil: Lessons and Challenges
http://www.bcb.gov.br/pec/wps/ingl/wps53.pdf
Central Bank of Brazil Working Papers by André Minella, Paulo Springer de Freitas, Ilan Goldfajn and Marcelo Kfoury MuinhosInflation Targeting in Brazil: Lessons and Challenges2002-12-01T12:00:00ZThis paper assesses the first three years of the inflation-targeting regime in Brazil adopted in July 1999. The inflation-targeting framework has shown to be highly important for the macroeconomic stabilization. We stress three important challenges: construction of credibility, change in relative prices, and exchange rate volatility. The estimations indicate the following results: i) the inflation targets have worked as an important coordinator of expectations; ii) the Central Bank has reacted strongly to inflation expectations; iii) there has been a reduction in the degree of persistence in inflation and in the volatility of inflation and output; iv) the exchange rate pass-through for "administered or monitored" prices is more than two times higher than for "market" prices. We also describe the methodology the Central Bank has developed to deal with inflationary shocks, which quantifies the sources of inflation, and examine some issues involved in the institutional design of inflation targeting.Inflation Targeting in Brazil: Lessons and ChallengesAbstracthttp://www.bcb.gov.br/pec/wps/port/wp53.asp?idiom=IFull texthttp://www.bcb.gov.br/pec/wps/ingl/wps53.pdfAndré MinellaMarcelo Kfoury MuinhosIlan GoldfajnPaulo Springer de FreitasAndré Minella, Paulo Springer de Freitas, Ilan Goldfajn and Marcelo Kfoury Muinhos2002-11Central Bank of Brazil Working PapersE31E52E58Macroeconomic Coordination and Inflation Targeting in a Two-Country Model
http://www.bcb.gov.br/pec/wps/ingl/wps50.pdf
Central Bank of Brazil Working Papers by Eui Jung Chang, Marcelo Kfoury Muinhos and Joanílio Rodolpho TeixeiraMacroeconomic Coordination and Inflation Targeting in a Two-Country Model2002-10-01T12:00:00ZThis paper deals with a macroeconomic coordination and its stabilization within a new Keynesian framework. The dynamic treatment of a twocountry model is made by simulation, using the linear quadratic algorithm. We compare the optimal monetary policy rule for three types of equilibria: macroeconomic coordination, Nash and Stackelberg, using parameters that reflect the relative size and degree of openness of the economies. Under the strict inflation target, we obtain higher output and inflation volatilities due to each economy's reaction to the other country's policy. The only exception is the case of optimal macroeconomic coordination rules. This dynamic model finds that macroeconomic coordination policy is better than non-coordination rules, supporting the traditional result found in static models.Macroeconomic Coordination and Inflation Targeting in a Two-Country ModelAbstracthttp://www.bcb.gov.br/pec/wps/port/wp50.asp?idiom=IFull texthttp://www.bcb.gov.br/pec/wps/ingl/wps50.pdfMarcelo Kfoury MuinhosEui Jung ChangJoanílio Rodolpho TeixeiraEui Jung Chang, Marcelo Kfoury Muinhos and Joanílio Rodolpho Teixeira2002-09Central Bank of Brazil Working PapersE52E61F42