Regra monetária e regra fiscal : uma análise de um modelo macroeconômico para o Brasil

Abstract

This paper examines monetary and fiscal policy rules in Brazil for the period 2003-2014. The theoretical basis is a New Keynesian Macro Model and the econometric methodology used is the estimation of a GMM System. The main results show an aggregate demand focused both on lagged economic activity and growth expectations. As for the Phillips curve, the use of a hybrid curve, as well as the influence of the exchange rate, seem to be the case for Brazil. Regarding the Taylor Rule, the Central Bank\'s reaction is gradual, via interest rate smoothing, and the expected inflation and GDP are important for the determination of the rule. Therefore, monetary policy seems to be counter-cyclical. As for the Fiscal Policy Rule, the dynamics of economic activity leads to a decrease in the public sector borrowing requirement (PSBR), as % of GDP, which is an indication of a counter-cyclical fiscal policy and coordination of economic policies. However, this may only indicate that GDP grows faster than PSBR, and not that the latter is decreasing. As a result, it is not possible to assure that the Brazilian fiscal policy is actually coordinated with the country´s monetary policy. Moreover, an analysis of the system dynamics show that the actual values of the series are close to the time path solved in the model, providing evidence that the model is well specified.