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适应性学习预期如何合理化巴西更强的货币政策反应？（英）

文化传媒2023-01-01IMF陈***

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This paper examines the role of adaptive learning expectations in rationalizing stronger monetary policy responses in Brazil. The authors estimate a Dynamic Stochastic General Equilibrium (DSGE) model with different expectation formation processes for Brazil and the US, including a standard rational expectation process and an adaptive learning model. The inclusion of a labor market in the model helps to anchor inflation even in a situation of adaptive expectations, a positive output gap, and inflation above target. The estimation results show that the adaptive learning model does a better job in fitting the data in both Brazil and the US.

HowDoAdaptiveLearningExpectationsRationalizeStrongerMonetaryPolicyResponseinBrazil? AllanGloeDizioli,HouWang WP/23/19 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate. TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. 2023 JAN ©2023InternationalMonetaryFundWP/23/19 IMFWorkingPaper ResearchDepartment HowDoAdaptiveLearningExpectationsRationalizeStrongerMonetaryPolicyResponseinBrazil? PreparedbyAllanGloeDizioliandHouWang* AuthorizedfordistributionbyRafaelPortilloJanuary2023 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. ABSTRACT:ThispaperestimatesastandardDynamicStochasticGeneralEquilibrium(DSGE)modelthatincludesawageandpricePhillip'scurveswithdifferentexpectationformationprocessesforBrazilandtheUSA.Otherthanthestandardrationalexpectationprocess,wealsousealimitedrationalityprocess,theadaptivelearningmodel.Inthiscontext,weshowthattheseparateinclusionofalabormarketinthemodelhelpstoanchorinflationeveninasituationofadaptiveexpectations,apositiveoutputgapandinflationabovetarget.TheestimationresultsshowthattheadaptivelearningmodeldoesabetterjobinfittingthedatainbothBrazilandtheUSA.Inaddition,theestimationshowsthatexpectationsaremorebackward-lookingandstartedtodriftawaysoonerin2021inBrazilthanintheUSA.Wethenconductoptimalpolicyexercisesthatprescribeearlymonetarypolicytighteninginthecontextofpositiveoutputgapsandinflationfarabovethecentralbanktarget. RECOMMENDEDCITATION:Dizioli,Allan,HouWang,2023,“HowDoAdaptiveLearningExpectationsRationalizeStrongerMonetaryPolicyResponseinBrazil?”,IMFWorkingPapers JELClassificationNumbers: E2,E30,E52,E37,J6 Keywords: DSGE;Inflationdynamics;optimalmonetarypolicy;ForecastingandSimulation;Bayesianestimation. Author’sE-MailAddress: adizioli@imf.org,HWang2@imf.org *1InternationalMonetaryFundResearchDepartment.70019thStNW,Washington,DC20431,USA.Correspondingauthoris[]. IMFWORKINGPAPERSWage-PriceSpirals:WhatistheHistoricalEvidence? WORKINGPAPERS HowdoadaptivelearningexpectationsrationalizestrongermonetarypolicyresponseinBrazil? PreparedbyAllanGloeDizioliandHouWang1 1WethankRafaelPortillo,MatteoGhilardi,RomainBouis,WoonGyuChoiandPierreGuerinfortheirusefulcomments.TheviewsexpressedinthisWorkingPapersarethoseoftheauthorsanddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. INTERNATIONALMONETARYFUND3 ContentsPage I.Introduction4 II.LiteratureReview6 III.Modelenvironment8 A.Workhorsemodel8 B.Expectationformationprocesses10 IV.DataandModelEstimation12 A.Data12 B.Modelﬁt15 V.Modelsimulationresults16 A.ComparisonoftheestimationresultsforBrazilandtheUSA16 B.Adaptivelearningexpectationscouldincreasethecostofstabilization18 C.Optimalmonetarypolicydiscussion22 VI.Conclusions23 References26 Tables 1.PriorDistributionoftheEstimatedParameters14 2.PosteriorEstimatesforREandALModels15 3.In-SampleForecastPerformanceforREandALModels15 4.Out-of-SampleForecastPerformanceforREandALModels16 Figures 1.Brazil:Lowwageworkerssuﬀeredlargeremploymentlosses13 2.Realcomposition-constantwagesdidnotincreaseasmuch14 3.Brazil:Shockdecomposition18 4.USA:Shockdecomposition19 5.InﬂationandwagesexpectationsrespondtopastvaluesbymoreinBrazil20 6.Impulseresponsefunctionsforspeciﬁcshocks20 7.Impulseresponsefunctionsforspeciﬁcshocks21 8.Inﬂationisstickierwhenexpectationsareadaptivelearning22 9.Thecentralbankshouldfront-loadtighteningandthenease24 I.Introduction Aftertheintroductionofinﬂationtargetingregimesinmanycountriesaroundtheworld,therewasasensethatarelativelystableinﬂationandwell-anchoredinﬂationexpectations("thegreatmoderation")wouldbethenewnormalinmostcountries.Thepandemicshockand itsrepercussionsaccompaniedasurgeinglobalinﬂationnotseensincethe1980s.Asinﬂa-tionspikedandremainedhighforseveralmonths,inﬂationexpectationsalsostartedtodrifthigher.Inthiscontext,abetterunderstandingofinﬂationdynamicsandtheimplicationformonetarypolicyispressingatthecurrentjuncture. AnotherinterestingdevelopmentpresentedinthesecondyearofthepandemicwastheearlierresponsesfromEMcentralbankstothebadinﬂationnews.Isthereanyparticularfeaturetotheseeconomiesthatjustiﬁesthisearlierresponse?Whatkindofroledoexpectationforma-tionprocessesplayinshapingthesedecisions?Weexplorethesequestionsthroughthelensofacanonicaleconomicmodelofﬁrmpricesettingandlabormarketsunderdiﬀerentexpecta-tionformationprocesses. Mostofthosecanonicalmodelsassumethateconomicagentsmakeintertemporaldecisionsunderrationalexpectations(RE)assumptions.Thismeansthateconomicagentshavefullinformationset,andformexpectationsconsistentlywiththeunderlyingmodelandthepolicyenvironment.SincethebirthoftheﬁrstcanonicalmonetarypolicymodelwithRE,anumberoffrictionshavebeenadded,suchasconsumptionhabitformationandindexationtolaggedinﬂation,tobetter

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