Effects of monetary policy shocks on disaggregated inflation rates: an analysis based on a TVP-VAR between 2003 and 2020

Aroldo de Freitas Junior (), Rodolfo Herald da Costa Campos (), Thiago Geovane Pereira Gomes () and Franciclézia de Sousa Barreto Silva ()
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Aroldo de Freitas Junior: Universidade do Estado do Rio Grande do Norte (Uern)
Rodolfo Herald da Costa Campos: Universidade do Estado do Rio Grande do Norte (Uern)
Thiago Geovane Pereira Gomes: Universidade do Estado do Rio Grande do Norte (Uern)
Franciclézia de Sousa Barreto Silva: Universidade do Estado do Rio Grande do Norte (Uern)

Revista de Economia Mackenzie (REM), 2023, vol. 20, issue 1, 119-151

Abstract: The present work evaluates disaggregated inflation responses to monetary policy shocks during the period 2003 to 2020. Autoregressive Vector Models with time-varying parameter vector autoregressive Models (TVP-VAR) are esti-mated and impulse response functions are used to assess the price behavior dis-aggregated to Selic shocks in different periods. To verify possible changes in the conduction of monetary policy in the period, a Taylor rule was also estimated for the studied period subject to structural breaks. The results of the structural break test by Bai and Perron (2003) found empirical evidence of a break in 2006m08, which may be associated with a change in the conduct of monetary policy by the Central Bank. This date, together with the dates when the presidents of the Cen-tral Bank took office, was used in the analysis of the impulse response functions of the TVP-VAR to compare the effects of monetary policy shocks in different periods. The results, based on the estimated impulse response functions, demon-strate similar responses of monetary policy shocks on disaggregated prices in different periods.

Keywords: disaggregated inflation; IPCA; monetary policy; Taylor rule; TVP-VAR. (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:aft:journl:v:20:1:2023:jan:jun:p:119-151

DOI: 10.5935/1808-2785/rem.v20n1p.119-151

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