Efeitos assimétricos da política monetária no Brasil: análise empírica a partir de projeções locais dependentes de estado

Abstract

This study aims to analyze the existence of asymmetric effects of monetary policy on output. To achieve this, the shock identification method proposed by Romer and Romer (2004) was used to extract the anticipatory effects of the monetary authority. Subsequently, the local projections method by Jordà (2005) was applied to estimate the parameters of the impulse response functions concerning the economic cycle and the sign of the shock. The obtained results show that a positive monetary policy shock raises the Selic interest rate and reduces output, inflation, gross fixed capital formation, and household consumption. These effects are stronger during economic expansions. Regarding the direction of the shocks, the results indicate that contractionary (positive) monetary policy shocks have more significant effects on both output and inflation. Conversely, expansionary (negative) monetary policy generally leads to an increase in inflation. Finally, the results do not allow us to confirm that monetary policy shocks exhibit asymmetric effects related to the state of the economy and the direction of the shock.