Relação entre juros, câmbio e preços no Brasil: Abordagem var para uma pequena economia aberta regida por metas de inflação

• Autor(a) principal: Amaral, Stefany Silva
• Data de Publicação: 2016
• Tipo de documento: Trabalho de conclusão de curso
• Idioma: por
• Título da fonte: Repositório Institucional da UFRN
• Texto Completo: https://repositorio.ufrn.br/handle/123456789/41604
• topic: Política Monetária; Pass-through cambial; Nível de Preços; Vetores Autorregressivos (VAR)

This study aims to evaluate the relationship between monetary policy and price level in the Brazilian economy, considering the intermediation and the effects of the exchange rate. After the Real Plan implementation, Brazil underwent changes in the way economic policy is made. In the late 1990s, the exchange rate that was set by the government became buoyant and the nominal new anchor of the economy came with the adoption of the inflation targeting regime. Thus, the main instrument of the Central Bank of Brazil is the fixing of the basic interest rate to control inflation. The established and widespread idea behind the functioning of this mechanism asserts that the fixed interest rate exerts influence on market rates that in turn affect aggregate demand, either by slowing (or warming) the economy and by reducing (or raising) The price level. However, objections are made in the literature and one of them states that the main price control mechanism is carried out through the pass-through of the exchange rate, influencing mainly the aggregate supply. This hypothesis is verified through a Vector Autoregressive (VAR) model based on the approach suggested by Lindé, Nessén e Söderström (2003) and Jacobson et al. (1999), which incorporates the idea of monetary policy analysis in a small open economy governed by inflation targets. The results of the impulse response functions indicate that the exchange rate exerts considerable influence on the price level of the Brazilian economy. However, the hypothesis tested should only be partially accepted, since the effects of monetary policy have been quite indefinite. Relations between demand and monetary policy seem to have the expected effect, but between these and prices there is no considerable definition. A secondary result found in the model, further confirmed by the variance decomposition, is that GDP and exchange rate seem to have a relevant interrelationship, probably revealing the importance of the external sector.