Os impactos da incerteza econômica sobre o repasse da taxa SELIC para as taxas de juros de varejo brasileiras: uma análise entre 2006 e 2019.

Abstract

In a context of uncertainty, firms and individuals reduce their production and consumption. The monetary authority may try to stimulate the economy by reducing interest rates. However, this reduction may not be passed on because it is assumed that uncertainty affects the behavior of financial institutions that are part of the transmission of interest. Thus, the objective of this work is to verify to what degree the uncertainty can determine the level of pass-through from the basic interest rate to the market rates in Brazil. First, the SELIC rate pass-through coefficients are estimated for loan rates for personal credit for individuals and for working capital for legal entities using the auto-regressive model with lags distributed with rolling windows between 2001 and 2019. Then, the this coefficients are regressed against a measure of uncertainty and other control variables using the generalized least squares model feasible between 2006 and 2019. The results of this work indicated that the transfer of interest to individuals and companies is incomplete both in the short and long term. However, contrary to what was expected, economic uncertainty did not contribute to making the transfer less. In fact, an uncertain context seems to improve the transfer