A conduta de política monetária do Banco Central e o efeito calendário no Brasil
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Data
2010
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A conduta de política monetária do Banco Central e o efeito calendário no Brasil
Resumo
Monetary policy conduct has officially become inflation targeting in
Brazil since 1999. In this regime, expectations play a special role, and
the interest rate is usually operated as instrument. This paper estimates
the time structure of the inflation rate expectations (calendar effect) in
the Brazilian economy, from 2001 to 2008, monthly. The empirical analysis
applies the method of Auto-Regression Vectors (VAR) to account for
the effects of six months ahead forward-looking inflation expectations to
interest rate determination, from a reaction function suggested by new
macroeconomic consensus. Yet, it takes Granger causality functions, impulse-
response analysis and variance decomposition to reach the conclusions.
The results suggest that calendar effect has relatively low performance
in determining interest rate. Moreover, Brazilian Central Bank is
aware of the variations of output gap.
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Palavras-chave
Política monetária, Monetary policy, Novo consenso macroeconômico, Taxas de juros, New consensus macroeconomics, Interest rates, Central Bank, Banco Central
Citação
TEIXEIRA, Anderson Mutter; DIAS, Maria Helena Ambrosio; DIAS, Joilson. A conduta de política monetária do Banco Central e o efeito calendário no Brasil. Economia Aplicada, Ribeirão Preto, v. 14, n. 3, p. 293-311, set. 2010.