- Additional Authors
- Description
- 28 p.; 21 x 29.7cm.
- Summary
- This papers estimates unrestricted monetary reaction functions for four Latin American countries (Brazil, Chile, Colombia and Mexico) and tests for the presence of non-linear effects in central bank behaviour. The analysis covers the post-1999 inflation-targeting period. We deal with the presence of unit roots in the data by estimating the policy rules in a co-integration setting. We test for linear and non-linear co-integration among the variables of interest. The results suggest that a non-linear specification is not rejected by the data for Brazil, Colombia and Mexico, but it is for Chile. Estimation of smooth-transition models by NLLS and EN-NLLS suggests that the central bank's response to the inflation gap (i.e. deviations of expected inflation from the target) is invariant across policy regimes in Colombia. It becomes stronger in Mexico as expected inflation deviates from the target. Policy responses appear to weaken in Brazil as the inflation gap widens, a finding that most probably reflects a history of adverse supply shocks and upward adjustments in targets in the early years of inflation targeting. Non-linearity is also found in the central bank's response to the exchange rate in Brazil and Colombia.
- Series Statement
- OECD Economics Department Working Papers, 1815-1973 ; no.679
- Uniform Title
- OECD Economics Department Working Papers, no.679.
- Subject
- LCCN
- 10.1787/226284172842
- OCLC
- oecd-lib
- Author
de Mello, Luiz.
- Title
Do Latin American Central Bankers Behave Non-Linearly? [electronic resource]: The Experiences of Brazil, Chile, Colombia and Mexico / Luiz de Mello, Diego Moccero and Matteo Mogliani
- Imprint
Paris : OECD Publishing, 2009.
- Series
OECD Economics Department Working Papers, 1815-1973 ; no.679
OECD Economics Department Working Papers, 1815-1973 ; no.679.
- Connect to:
- Indexed Term
Economics
Brazil
Chile
Colombia
Mexico
- Added Author
Moccero, Diego.
Mogliani, Matteo.
- Other Standard Identifier
10.1787/226284172842 doi