A taxa de juros natural e a regra de Taylor no Brasil – uma análise da política monetária entre anos de 2003 e 2021

Abstract

This paper evaluates the fluctuations occurred on the natural rate of interest and estimates the Taylor’s Rule to the Brazilian economy between August 2003 and October 2021. For this purpose, is used the framework developed by Barbosa et al (2016), which consider the natural rate interest for a small open economy as the international interest rate added both by the country risk and exchange rate risk. The natural rate found was added to the Taylor’s Rule framework. Dummy variables were created to test the hypothesis of change in the Brazilian’s Central Bank behaviour about the inflation rate, output gap and the exchange rate during COVID-19 pandemic, more specifically during the months when the SELIC interest rate was defined in 2% per year – the lowest level ever registered. The results show that the natural rate has changed during the time, reporting a strong decrease until the beginning of the 2010’s, when it starts to increase by the year of 2013. The natural rate exhibited less fluctuations between 2015 and 2018, and returned to decrease since 2019, affected by international factors. The statistical significance of the Taylor’s Rule parameters estimated enhance the hypothesis that Brazil is a small open economy, and the lack of significance to the dummy variables reject the hypothesis that monetary policy reaction function has changed during the pandemic despite the monetary stimulus adopted.