Ensaios em macroeconomia aplicada

Abstract

This thesis proposes three essays in Applied Macroeconomics, with an emphasis on unobserved variables in the Brazilian economy. This is partly because, in recent years, many central banks have started to seek explicit inflation targets in their economies. However, given the long lag between policy actions and inflation outcomes, indicators of future inflationary pressures and the behaviour of natural interest rates play an important role in guiding monetary policy. In addition to the neutral interest rate and the trend inflation, the output gap, another relevant unobserved variable, is considered a key indicator in policymakers’ decisions. In this sense, the first essay estimates the natural interest rate and the output gap in a two-country structure model in order to capture external influences on the Brazilian macroeconomic variables’ behaviours. The second essay starts with a stylized semi-structural model to analyze the dynamics of Brazilian inflation, considering joint estimates of the output gap, the Phillips curve, and trend inflation. Finally, the third essay proposes several alternatives for estimating the output gap through different approaches, a standard measure of the output gap.