Regimes de desancoragem e a Curva de Phillips: Uma análise para países emergentes

Abstract

This paper investigates how changes in credibility regimes affect monetary policy outcomes and the dynamics of the Phillips Curve in inflation-targeting economies. To this end, periods of high and low credibility are identified using a Threshold Vector Autoregressive (TVAR) model, in which regimes are endogenously determined based on a credibility proxy derived from the deviation of inflation expectations from central bank targets. In addition to the threshold variable, the econometric model includes the output gap, inflation, twelve-month- ahead inflation expectations, the policy interest rate, the exchange rate, and a commodity price indicator. The sample comprises Brazil, Chile, Colombia, South Korea, and Mexico, using monthly data from January 2003 to June 2025. The results indicate that under high- credibility (low de-anchoring) regimes, monetary policy is more effective, generating stronger responses of output, inflation, and inflation expectations to interest rate shocks. Moreover, these regimes are associated with a more stable price environment, in which inflation is less sensitive to fluctuations in short-term inflation expectations. The findings support the good- policy hypothesis regarding changes in the Phillips Curve, suggesting that central bank credibility is an important mechanism for inflation stabilization.