Revisão sistemática da política monetária brasileira: Um estudo sobre o uso das operações compromissadas no período 2007-2023

Abstract

This work carries out a review of the conduct of Brazilian monetary policy, using the use of repo operations as an observation variable. The objective is to deepen the study of this type of operation and carry out econometric tests with its determining variables. This instrument has been the main mechanism used by the Central Bank (BC) to control the economy's liquidity. Between 2001 and 2017, the average balance of these operations, as a share of GDP, increased from 2.5% to 18%. Furthermore, this high growth in recent years has some determinants, such as international reserves, which were the most relevant until 2012, while the country increased its reserves, debt interest payments and net bond issuance. The problem is that due to this wide use, repo payments became the second largest component of Public Debt, which led to a shortening of the term of this debt, in addition to leading to an increase in the use of Financial Treasury Bills (LFTs). in the composition of the debt and are currently the BC's second largest liability. Given this scenario, it becomes relevant to study and evaluate how this instrument has been used, in order to better understand its possible impacts on society. To this end, this work uses the econometric model of Vector Autoregression (VAR) as a tool to empirically analyze the impacts of determinants on repo, through two tests it provides: the Impulse-Response Function and the Variance Decomposition.