Macroprudential and Monetary Policy Interaction: a Brazilian perspective

Fabia Carvalho () and Marcos Castro

No 405, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This paper discusses the interaction between monetary and macroprudential policy in Brazil under both normative and positive perspectives. We investigate optimal combinations of simple, implementable macroprudential and monetary policy rules that react to the financial cycle using a DSGE model built to reproduce Brazilian particularities, and estimated with Bayesian techniques with data from the inflation targeting regime. We also investigate whether recent macroprudential policy announcements that targeted credit variables had important spillover effects on variables targeted by monetary policy in Brazil. To this end, we use a rich daily panel of private inflation forecasts surveyed by the Central Bank of Brazil’s Investor Relations Office and investigate the impact of announcements of macroprudential policy changes on the gap between inflation forecasts and the inflation target. The paper also presents an overview of the challenges facing macroprudential policy in Brazil after the global financial crisis and glimpses at a few important future challenges.

Date: 2015-11
New Economics Papers: this item is included in nep-cba, nep-dge, nep-lam, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps405.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:405

Access Statistics for this paper

More papers in Working Papers Series from Central Bank of Brazil, Research Department
Bibliographic data for series maintained by Rodrigo Barbone Gonzalez ().