Credibilidade de política monetária e regra de Taylor sob endividamento público: uma análise do caso brasileiro

Abstract

The aim of this dissertation is to analyze, empirically, the relationship between the Central Bank’s reaction, also known as Taylor Rule, and the Brazilian public debt. The motivation for this research arose once we noticed the need to study the Brazilian monetary policy rule and its credibility but, together with them, the need to study the Central Bank’s reaction function in times of high public debt growth. As shown in the first chapter, the construction of monetary policy credibility, requires a lot of effort and knowledge of the technical tools to be used. By taking a public debt model into account, the policymakers will be better prepared to deal with the country’s economic policy and, therefore, they will be able to come up with more accurate decisions. The second chapter showed us that there has been a constant search for credibility but this has been quite difficult to achieve due to several shocks faced by the Brazilian economy. All of these have been reflected in a constant growth of the country’s public debt. For the empirical analysis, we used time series econometrics (January/1999 -May/2003). Our results showed that when the Central Bank increases the interest rate, it manages to decrease inflation and the GDP growth. However, these impacts are smoothed by the increase of the debt/GDP and, as a result, by the probability of default. The latter, better than explaining higher interest rates, is explained by them.