Alternativas de reação do Banco Central: uma análise da política monetária brasileira via abordagem DSGE

Abstract

This paper investigates the impact of different interest rate rules on the conduct of Brazilian monetary policy through new-keynesian DSGE macroeconomic models. Taylor’s rules used include those with “dovish” or “hawkish” characteristics, in addition to those typical of a dual mandate. The empirical strategy used is based on the model of monetary policy of the Central Bank of Brazil, SAMBA, and will be divided into two stages. In a first step, calibration exercises will be done in the macroeconomic model composed of a Phillips Curve, an IS Curve and alternations of the various interest rate rules. The calibration exercises show that different reaction functions of the Brazilian monetary authority generate distinct responses, with emphasis on the significance of the process of interest rate smoothing and the apparent greater rigidity in inflationary control around monetary rules with more “hawkish” characteristics. The second stage comprises a Bayesian estimation of the proposed New-Keynesian model, for quarterly data from 1999 to 2020, with the same framework of the three macroeconomic equations and the same interest rate rules. The results of the DSGE model estimation show less pronounced responses to monetary shocks than those originally reported by the Central Bank estimates, which can be attributed to the expansion of the database, covering a period with greater inflationary control, although with some stagnation in the country’s economic activity. Moreover, the inexistence of one parameter that captures the level of economic activity and another that smoothes the interest rate seems to modify the common behavior, according to macroeconomic literature, of an interest rate rule. Other interesting results are that: i) a monetary authority concerned with both inflation and product, more “hawkish” or dual mandate, seems to be at the most efficient equilibrium point between these variables and ii) even in the face of a complicated economic scenario in recent years, the economy’s basic interest rate has fallen and inflation has remained within the tolerance range of the inflation targets, suggesting that the shocks on the fiscal side were more significant than the shocks on the monetary side.