Choques monetários e flutuações macroeconômicas no Brasil

Abstract

In this paper, we verify the relevance of monetary policy shocks to fluctuations in output, inflation, interest rates and exchange rates in Brazil. For this purpose, we estimate a robust invertibility structural vector moving average model with external instrument (SVMA-IV), and we measure the importance of monetary shocks through the forecast variance ratio. The results show that the contribution of monetary shocks to fluctuations in macro variables depend on the aspects of monetary policy captured by the external instrument. When this instrument is obtained from the narrative approach, we observe that exogenous monetary policy actions mainly affect the forecast variance of the Selic rate. In contrast, we verified important monetary policy effects on output and inflation forecasts when the instruments are constituted by proxies of monetary shocks that affect different parts of the yield curve.