Autor: Carlos Viana de Carvalho

WP063 – Just Words? A Quantitative Analysis of the Communication of the Central Bank of Brazil

Abstract – We quantify the informational content of statements issued by the interest-rate setting committee of the Central Bank of Brazil (COPOM), building on the methodology developed by Lucca and Trebbi (2011). Using Google search queries, we measure the extent to which each COPOM statement is perceived to be associated with more “hawkish” or “dovish” language. This allows us to construct a time-series of the informational content of COPOM statements, which we then use in regressions to explain changes in the term-structure of interest rates around COPOM meetings — together with a market-based measure of interest-rate surprises. We find that, during Governor Tombini’s tenure, interest-rate surprises started to be “passed through” one-to-one (or more) even at long maturities, as markets seem to have bought into the idea that the interest-rate cuts that began in mid-2011 would lead to lower yields in Brazil into the foreseeable future. Most importantly, changes in the informational content of COPOM statements seem to have meaningful effects on yields at short-to-medium maturities. However, this result only holds for the period prior to Tombini’s tenure. Download do Paper Ano: 2013 Working-paper: 063 Carlos Viana de Carvalho Ler todos os Posts de Carlos Viana de Carvalho’s Share...

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WP053 – Selection and Monetary Non-Neutrality in Time-Dependent Pricing Models

Abstract – For a given frequency of price changes, the real e_ects of a monetary shock are smaller if adjusting _rms are disproportionately likely to have last set their prices before the shock. This type of selection for the age of prices provides a complete characterization of the nature of pricing frictions in time-dependent sticky-price models. In particular: 1) The Taylor (1979) model exhibits maximal selection for older prices, whereas the Calvo (1983) model exhibits no selection, so that real e ects are smaller in the former than in the latter; 2) Selection is weaker and real e_ects of monetary shocks are larger if the hazard function of price adjustment is less strongly increasing; 3) Selection is weaker and real e ects are larger if there is sectoral heterogeneity in price stickiness; 4) Selection is weaker and real e_ects are larger if the durations of price spells are more variable. Download do Paper Ano: 2013 Working-paper: 053 Carlos Viana de Carvalho Ler todos os Posts de Carlos Viana de Carvalho’s Share...

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WP073 – Macroeconomic Effects of Credit Deepening in Latin America

ABSTRACT  –  We augment a relatively standard dynamic general equilibrium model with financial frictions, in order to quantify the macroeconomic effects of the credit deepening process observed in many Latin American (LA) countries in the last decade — most notably in Brazil. In the model, a stylized banking sector intermediates credit from patient households to impatient households and firms. The key novelty of the paper, motivated by the Brazilian experience, is to model the credit constraint faced by (impatient) households as a function of future labor income. In the calibrated model, credit deepening generates only modest above-trend growth in consumption, investment, and GDP. Since Brazil has experienced one of the most intense credit deepening processes in Latin America, we argue that the quantitative effects for other LA economies are unlikely to be sizeable. Download do Paper Ano: 2014 Working-paper: WP073 Carlos Viana de Carvalho Ler todos os Posts de Carlos Viana de Carvalho’s Share...

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WP041 – Do People Understand Monetary Policy?

Este trabalho de Carlos Carvalho  (PUC-Rio) e Fernanda Nechio (Fed-  San Francisco) investiga se famílias  e indivíduos estão  entendendo  como a politica monetária é  conduzida nos Estados Unidos. Seu  objetivo central foi verificar se as  famílias estão cientes do que  economistas estabelecem como  ‘princípios de estabilidade’  subjacentes à regra de Taylor – isto é, o governo tenderia a elevar a taxa de juros em situação de inflação e a diminuí-la em caso de desaquecimento da atividade econômica. A partir de uma associação entre a Pesquisa Michigan, realizada pela Universidade de Michigan, e a Pesquisa Profissional de Prognosticadores, conduzida pelo Fed (Federal Reserve Bank) de Filadélfia, o artigo verifica que o grau de ciência sobre a questão varia conforme a faixa de renda, faixa etária e nível educacional – algo que também não é simétrico a respeito da percepção sobre oscilações previstas para a taxa de juros.  Famílias no quartil superior da renda ou com nível superior de ensino, por exemplo, entendem que há relação entre aumentos no desemprego e reduções na taxa de juros. Em geral, indivíduos com rendas maiores, altos graus de escolaridade e mais velhos demonstram maior ciência da regra de Taylor do que os mais jovens, menos escolarizados e mais pobres. Dado a importância que governantes creditam a boa comunicação com público como forma de garantir a efetividade das suas políticas, o engendramento de esforços para...

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WP074 – Monetary Policy and Real Exchange Rate Dynamics in Sticky-Price Models

Abstract – We study how real exchange rate dynamics are affected by monetary policy in dynamic, stochastic, general equilibrium, sticky-price models. Our analytical and quantitative results show that the source of interest rate persistence policy inertia or persistent policy shocks is key. When the monetary policy rule has a strong interest rate smoothing component, these models fail to generate high real exchange rate persistence in response to monetary shocks, as policy inertia hampers their ability to generate a hump-shaped response to such shocks. Moreover, in the presence of persistent monetary shocks, increasing policy inertia may decrease real exchange rate persistence. Download do Paper Ano: 2014 Working-paper: 074 Carlos Viana de Carvalho Ler todos os Posts de Carlos Viana de Carvalho’s Share...

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