Testando quebras estruturais em uma regra de política monetária com regressores endógenos: um estudo empírico para o Brasil (2000-2016)

Abstract

The objective of this work is to perform structural break tests to verify possible changes in the conduct of monetary policy in Brazil after the adoption by the Brazilian monetary authority of the regime of inflation targets, taking into account that the regressors of the reaction function of the BCB are potentially endogenous variables. For that, the methodology developed by Perron and Yamamoto (2014) will be used. This procedure is based on the estimation of the model by instrumental variables, and makes it possible to estimate the dates of the structural breaks and to carry out the tests to verify if these breaks are significant. The test for breaks shows three structural changes in the parameters of the BCB reaction function. The estimated dates for these breaks were December 2002, October 2005 and September 2011. The results showed that the largest response by the Brazilian monetary authority to combat inflation was observed in the Tombini period (2011: 09-2016: 06). Considering the results of the estimated parameters, it was observed that the largest BCB reaction to the expected inflation gap was observed in the Fraga-Meireles (2002:12-2005-09) and Tombini (2011:09-2016:06) subperiods. It was also possible to verify that the BCB responded more to the expected inflation gap than to the output gap.