Desafios e descontinuidades na política monetária brasileira: 27 anos de regra de Taylor no Brasil

Abstract

The main objective of this monograph is to evaluate the conduct of monetary policy in Brazil and its adherence to the Taylor Rule (1993), considering the relationship between the interest rate, inflation, the output gap, inflation expectations, and the exchange rate. To this end, monthly data from January 2001 to August 2025 were used, covering the inflation targeting regime in the country. The methodology employed was the Generalized Method of Moments (GMM), which is appropriate for addressing potential endogeneity issues among the variables. Different model specifications were estimated, including variations with lags and structural breaks, in order to capture changes in the conduct of monetary policy over time. The results indicate that the Central Bank of Brazil primarily reacts to deviations of inflation from its target, with this variable being the most robust across the estimations. Inflation expectations also show relevance in a significant number of models, while the output gap presents low statistical significance, suggesting a smaller role for economic activity in the conduct of monetary policy. The exchange rate proves to be relevant in some specifications, particularly in the full sample, but loses significance when subperiods are considered. Overall, the findings point to a partial adherence to the Taylor Rule, with Brazilian monetary policy evolving over time and incorporating factors beyond the traditional rule