Incerteza, política monetária e o canal de crédito no Brasil pós-regime de metas para inflação

Abstract

This paper investigates the asymmetric response of the Brazilian economy to monetary policy when it faces periods of high and low uncertainty. To this end, it starts with the credit channel theory of monetary policy transmission. The Economic Policy Uncertainty Index (EPU) is used to set the threshold value for the high and low uncertainty regimes on the vector autoregressive model with an endogenous threshold (TVAR). The estimates from the model show the period with high uncertainty levels are according to expected, occurring at moments when Brazil's economy went through severe disturbances, for instance, the 2008 financial crisis, the politic and economic crisis of 2014 to 2016, the corruption scandals in the new government in 2017, and the COVID-19 pandemic crisis. Moreover, the impacts of monetary policy are according to expected during a low uncertainty regime, for instance, a negative chock on Selic rate tend to increase the credit growth, economic activity, the price levels and expected inflation. However, in the high uncertainty, these impacts are not observed, the variables behavior are quite oscillatory which can compromise the effectiveness of the countercicyclal role of monetary policy.