Ciclo financeiro global, controles de capitais e autonomia de política monetária nas economias emergentes

Abstract

The objective of the master's thesis is to examine the relation between monetary autonomy, capital controls and exchange rate regimes. The study employs a Global VAR with monthly data of 23 emerging economies and the United States from 2004M07 to 2024M06. The theorical and empirical investigation indicates that a restrictive US monetary policy shock does not alter the conduct of monetary policy in the sampled countries (analyzed as a group) according to the use of capital controls or exchange rate arrangements when analyzed separately. Regarding the intersection between the use of capital controls and exchange rate arrangements, the study’s finding aligns with the “dilemma” hypothesis from Rey (2013), rejecting the idea of the traditional trilemma hypothesis, that economies with flexible exchange rate regime per se can guarantee monetary autonomy for the country. However, this result does not hold in the robustness checks, in which alternative classification of exchange rate arrangements and financial openness indexes are employed. Therefore, the study contributes to the literature by providing a more disaggregated empirical analysis of capital controls, exclusively on emerging economies, and by stating that the floating exchange rate regime and capital controls are not drivers of monetary autonomy in EMEs. Among the literature reviewed, this is the first work to investigate the impact of US MP shock on countries’ short-term interest rates according to more granular capital controls.