A conduta de política monetária do Banco Central e o efeito calendário no Brasil

Authors

  • Anderson Mutter Teixeira Universidade de Brasília
  • Maria Helena Ambrosio Dias Universidade Estadual de Maringá; Departamento de Economia
  • Joilson Dias Universidade Estadual de Maringá; Departamento de Economia

DOI:

https://doi.org/10.1590/S1413-80502010000300002

Keywords:

Monetary Policy, New Consensus Macroeconomics, Interest Rates, Central Bank

Abstract

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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Published

2010-09-01

Issue

Section

Papers

How to Cite

Teixeira, A. M., Dias, M. H. A., & Dias, J. (2010). A conduta de política monetária do Banco Central e o efeito calendário no Brasil. Economia Aplicada, 14(3), 293-311. https://doi.org/10.1590/S1413-80502010000300002