Monetary policy in Brazil: evidence from new measures of monetary shocks
DOI:
https://doi.org/10.1590/0101-416147232aecfPalavras-chave:
política monetária, choques, produto, inflaçãoResumo
Este artigo deriva novas medidas de choques de política monetária para o Brasil. Em primeiro
lugar, um conjunto de choques é construído inspirado na metodologia de Romer e
Romer (2004), utilizando tanto previsões públicas quanto privadas. As previsões do Banco
Central foram coletadas a partir das apresentações técnicas das reuniões de política monetária,
que vêm se tornando públicas após a Lei de Acesso à Informação, enquanto as
previsões do setor privado vêm da pesquisa Focus. Em segundo lugar, uma série de choque
na curva de juros foi construída para o Brasil, baseada na metodologia de Barakchian and
Crowe (2013). De posse das medidas de choques, foram estimados VARs (Vetores Autorregressivos),
e analisados os efeitos na inflação e no produto. Encontra-se que um choque
padronizado de política monetária reduz o PIB real em até 0,5%. Exceto para o caso do
choque na curva de juros, para os demais casos são encontradas evidências de um “price
puzzle” nos modelos estimados.
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