Flexibilização do regime de metas inflacionárias por regras de política monetária

• Ano de defesa: 2011
• Autor(a) principal: Lima, Tatyanna Nadabia de Souza
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal da Paraí­ba; BR; Economia; Programa de Pós-Graduação em Economia; UFPB
• Palavras-chave em Português: Política monetária; Indicador financeiro; Modelos VAR; Modelos ARCH; Monetary policy; Financial indicator; VAR models; ARCH models; CIENCIAS SOCIAIS APLICADAS::ECONOMIA
• Link de acesso: https://repositorio.ufpb.br/jspui/handle/tede/4975

The objective is to achieve and suggest the inclusion of a financial indicator in the monetary policy rule that captures oscillations in capital markets, thereby promoting the flexibility of the inflation targeting system in order to preserve its effectiveness and transparency. It is argued that in periods of high volatility, the performance should be broader monitoring of financial assets in an attempt to avoid a process of asset deflation which led the economy into recession. The theoretical basis of this work is guided studies of Bernanke and Gertler (1999, 2000) that argue pro-introduction of a financial variable in the Taylor rule; the monetary policy should take into account the fluctuations in the stock market when they alter the forecast of future inflation. The models Vector autoregression (VAR) and extensions of the ARCH model will be addressed in order to justify the inclusion of the financial indicator in the system of inflation targets. It was observed that the volatility models presented persistence in the crisis period (2007-2009) for the financial variable while for the SELIC, the persistence of shocks has been lower intensity which implies that monetary policy may not be reacting properly variations in the financial market. For the VAR model, there was confirmation of the central hypothesis of the work since, in time of crisis, the effect on the financial indicator of the SELIC rate is higher compared to pre-crisis period. Therefore, the results support the hypothesis of Bernanke and Gertler (1999) that the Central Bank should consider the financial market only in times of high volatility, and clearly present their strategies and reports of communication with the market.