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Type: Artigo de Periódico
Title: Nonlinearities and price puzzle in Brazil
Authors: Ferreira, Roberto Tatiwa
Castelar, Luiz Ivan de Melo
Keywords: Política Monetária
Issue Date: Jan-2008
Publisher: Economia
Citation: FERREIRA, Roberto Tatiwa; CASTELAR, I. Nonlinearities and price puzzle in Brazil. Economia, Brassília (DF), v.9, n.1, p.47-62, jan.abr. 2008.
Abstract: What is called a price puzzle is a positive and persistent response of in ation to a unit shock in the interest rate's innovation. Using a VAR to analyse monetary policy in Brazil, this paper comes to the conclusion that when nonlinearities in the data were considered, most of this e ect vanishes. This is done rstly by checking if the series are unit root processes or nonlinear trend stationary. After that a nonparametric co-trending analysis was applied. The test result favored a common nonlinear trend between in ation and the interest rate, which seems to a ect the system innovation analysis, inducing most of the price puzzle e ect.
Appears in Collections:CAEN - Artigos publicados em revistas científicas

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