Incerteza, credibilidade e transmissão da política monetária no Brasil

Abstract

This work aimed to investigate the interrelationships and the effect of uncertainty and credibility shocks on economic activity and inflation in Brazil, based on an analysis that considers them within the same empirical framework, in addition to a basic structural policy shock. As an empirical strategy, Bayesian Vector Autoregression (BVAR) models with Signal Restriction were adopted. The analyzed sample ranged from 2003 to 2022, with monthly data. The results suggest that a shock of uncertainty produces inflationary and recessive effects on productive activity, while an increase in credibility contributes to raising the growth rate of the Brazilian economy and reducing inflation. In general, these effects are significant in the short term. Furthermore, in the proposed model, uncertainty does not significantly affect credibility and vice versa, and it seems appropriate to assume that the Central Bank of Brazil has managed, although with some difficulty, to maintain its credibility at higher levels in recessions, although the uncertainty is still high.