رابطه بین نرخ موثر و بهره مورد انتظار به عنوان یک مکانیزم انتقال سیاست پولی: شواهد در اقتصاد برزیل با استفاده از مدل-MS و بیزی VAR

This work applies Markov-switching models and a Bayesian VAR in order to verify empirical relationships between expected and effective short term interest rates in Brazil. The main results corroborate the theoretical idea according to which the Central Bank can smooth adjustments of effective short term interest rates, given that these last ones have effects on expected short term rates, thereby influencing long term interest rates, which are fundamental for controlling output activity and price changes. Besides, the MS-models show that these empirical relationships are more significant under a “higher response regime”. At last, the BVAR test yields impulse-response functions showing that shocks in expected rates have more persistent impacts on effective rates than what is observed from the opposite direction. This evidence gives support for the idea of a transparent and predictable monetary policy in Brazil.

The relationship between the effective short term interest rate and expectations regarding the future short term interest rate is an important transmission mechanism for monetary policy (Woodford, 2003). In New- Keynesian models investment decisions are determined by changes in long term interest rates, which, in their turn, depend on the weighted mean associated with the current interest rate and expected future short term interest rates for all possible maturities. This method of measuring the long term interest rate is known as expectation hypothesis of the term structure of interest rates, and it can be expressed by: (1)

The Brazilian Central Bank, under an inflation targeting regime, has worked to create a predictable monetary policy associated with two main gains: a) a commitment with a gradual or inertial monetary policy rule has been translated into an empirical positive causality from current interest rate adjustments to expected interest rates in the same direction (at least in the first months), thereby moving the term structure in a counter-cyclical way; b) since 1999, years of Central Banking under inflation targeting yielded information useful in teaching how Brazilian monetary authorities react to macroeconomic fluctuations, so that there exist empirical evidences on the anticipation – in Granger sense – from expected short term interest rates to the effective one, denoting an underlying predictable monetary policy.