Efeitos dos choques de políticas monetária e fiscal sobre as expectativas de inflação no Brasil

• Ano de defesa: 2016
• Autor(a) principal: Moraes, Marcela Loures Bueno de
• Orientador(a): Janot, Márcio Magalhães
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Política monetária; Política fiscal; Expectativas de inflação
• Palavras-chave em Inglês: Monetary policy; Fiscal policy; Inflation expectations
• Link de acesso: https://hdl.handle.net/10438/16662

In the past few years, uncertainty regarding fiscal situation in Brazil has raised concerns about Central Bank’s ability to anchor inflation expectations. This work examines the impact of monetary and fiscal policy shocks in inflation expectations in Brazil from 2003 to 2015, using VAR models. The results show that unexpected increases in the overnight interest rate lower 12 and 24-months-ahead inflation expectations. However when we reestimate the model using only the late sample (2010-2015), the effects of monetary shocks in inflation expectations are not statistically significant. On the other hand, negative shocks in primary balance expectations have a positive and stronger effect on inflation expectations for recent years. These results suggest that the deanchoring of inflation expectations in Brazil over the past five years is no longer a monetary phenomenon but a fiscal phenomenon.