Incerteza econômica e a eficácia da política monetária no Brasil

Abstract

Over recent years, especially with the US crisis of 2008, the impacts caused by economic uncertainty have drawn the attention of several researchers in the search to verify the impacts caused by the uncertainty in the economy. In the light of this, several works were done, and for different areas of the economy, to study the consequences of uncertainty about the economy. However, a critique raised refers to the fact that much of the empirical work that seeks to test the impacts of uncertainty is concerned with studying whether this impact depends on the phases the economy is experiencing, whereas there have been few empirical studies that seek to study the possible role played by uncertainty in influencing the effects of other structural shocks, such as those of monetary policy, on the economy. In view of this, the objective of the present study will be to investigate if the effects of Brazilian monetary policy are less effective in impacting economic activity and inflation in times of high uncertainty. More specifically the objectives are: a) Measurement of performance of monetary policy shocks in the presence of uncertainty b) To verify if there is a difference in the impact on the dynamics of the variables in the presence of different uncertainty regimes. As methodology will be estimated a Structural Vector Autoregressive (SVAR) for the identification of monetary policy shocks and a Threshold Vector Autoregression TVAR which will allow the analysis of the monetary policy shocks in inflation and product on the economy in different uncertainty regimes. The results indicate that the shocks of the brazilian monetary policy are more effective in impacting the product and the inflation in the period of low uncertainty.