A importância da mensuração da incerteza para commodities, inflação e política monetária: três ensaios para o Brasil

Abstract

Measuring the risk of a common economic variable is associated with price changes. Given this, the motivation of the research is not to improve knowledge about the price determinants of the Brazilian economy, but to find empirical information on how the Monetary Authority behaves at the top of these changes and which statistics can be used to protect from such risks. Therefore, this paper consists of three essays on measurement of uncertainty regarding commodities, inflation and monetary policy, for periods between 2003 and 2018. The first test aims to identify which factors determine the Brazilian inflationary use, seeking to answer the The following question: Which food or administered prices put the most pressure on inflation? The results pointed to administered prices accounted for most of an unexpected shock in inflation. These results are indications that even if the government tries to control prices to prevent inflation volatility from being increased (meaningless by Engle, 1982), the results of its intervention may be just the opposite of what is expected. The second essay aimed to present empirical studies on the conduct of monetary policy in Brazil, through the inflation targeting regime, theoretically following the Taylor Rule. The results indicate that, only between 2011 and 2018, the adjustments made by the monetary authority were effective in combating inflation. Finally, the third essay sought to present strategies to protect against price variations for the agribusiness sector, using the futures market. Two dynamic models were used: Dynamic Conditional Correlation (DCC - Dynamic Conditional Correlation) and multivariate volatility GARCH-BEKK. The DCC model provided the highest risk coverage in almost all products except the Fat Cat market, without qualifying the GARCH BEKK model.