The impacts of monetary policy shocks on the volatility of inflation, unemployment and exchange rate in Brazil

Detalhes bibliográficos
Ano de defesa: 2023
Autor(a) principal: BARBOSA, Matheus Girola Macedo
Orientador(a): Não Informado pela instituição
Banca de defesa: Não Informado pela instituição
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: eng
Instituição de defesa: Universidade Federal de Pernambuco
UFPE
Brasil
Programa de Pos Graduacao em Economia
Programa de Pós-Graduação: Não Informado pela instituição
Departamento: Não Informado pela instituição
País: Não Informado pela instituição
Palavras-chave em Português:
Macroeconomia
Incerteza
Metas de Inflação
Link de acesso: https://repositorio.ufpe.br/handle/123456789/65324
Resumo: This study evaluates the impacts of a contractionary monetary policy shock on inflation, unemployment rate, and exchange rate volatility in Brazil during the period of 2000-2020. These effects were analyzed through the estimation of impulse response functions and the decomposition of forecast error variance using a Bayesian Vector Autoregressive Model (BVAR). The results indicate that, following a monetary policy shock, inflation and unemployment volatility decrease by 15%, and exchange rate volatility decreases by 30%. These findings suggest that the reduction in volatility after the shock is attributed to increased confidence among agents in the commitment of the Central Bank of Brazil to achieving inflation targets.
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spelling The impacts of monetary policy shocks on the volatility of inflation, unemployment and exchange rate in BrazilMacroeconomiaIncertezaMetas de InflaçãoThis study evaluates the impacts of a contractionary monetary policy shock on inflation, unemployment rate, and exchange rate volatility in Brazil during the period of 2000-2020. These effects were analyzed through the estimation of impulse response functions and the decomposition of forecast error variance using a Bayesian Vector Autoregressive Model (BVAR). The results indicate that, following a monetary policy shock, inflation and unemployment volatility decrease by 15%, and exchange rate volatility decreases by 30%. These findings suggest that the reduction in volatility after the shock is attributed to increased confidence among agents in the commitment of the Central Bank of Brazil to achieving inflation targets.Esse estudo avalia os impactos de um choque contracionista de política monetária na volatilidade da inflação, da taxa de desemprego e da taxa de câmbio no Brasil no período de 2000-2020. Esses efeitos foram analisados através da estimação de funções de resposta a impulso e da decomposição da variância do erro de previsão a partir de um modelo Bayesiano Autoregressivo Vetorial. Os resultados mostram que, após um choque de política monetária, a volatilidade da inflação e do desemprego são reduzidas em 15% e do câmbio em 30%. Estes resultados sugerem que a redução da volatilidade após o choque é devido ao aumento da confiança dos agentes no compromisso do Banco Central do Brasil em atingir as metas de inflação.Universidade Federal de PernambucoUFPEBrasilPrograma de Pos Graduacao em EconomiaSILVA, Marcelo Eduardo Alves dahttp://lattes.cnpq.br/2380188750415019http://lattes.cnpq.br/0019694783676378BARBOSA, Matheus Girola Macedo2025-08-22T14:29:42Z2025-08-22T14:29:42Z2023-11-06info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfBARBOSA, Matheus Girola Macedo. The impacts of monetary policy shocks on the volatility of inflation, unemployment and exchange rate in Brazil. Dissertação (Mestrado em Economia) - Universidade Federal de Pernambuco, Recife, 2023.https://repositorio.ufpe.br/handle/123456789/65324enghttps://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFPEinstname:Universidade Federal de Pernambuco (UFPE)instacron:UFPE2025-08-24T18:03:41Zoai:repositorio.ufpe.br:123456789/65324Repositório InstitucionalPUBhttps://repositorio.ufpe.br/oai/requestattena@ufpe.bropendoar:22212025-08-24T18:03:41Repositório Institucional da UFPE - Universidade Federal de Pernambuco (UFPE)false
dc.title.none.fl_str_mv The impacts of monetary policy shocks on the volatility of inflation, unemployment and exchange rate in Brazil
title The impacts of monetary policy shocks on the volatility of inflation, unemployment and exchange rate in Brazil
spellingShingle The impacts of monetary policy shocks on the volatility of inflation, unemployment and exchange rate in Brazil
BARBOSA, Matheus Girola Macedo
Macroeconomia
Incerteza
Metas de Inflação
title_short The impacts of monetary policy shocks on the volatility of inflation, unemployment and exchange rate in Brazil
title_full The impacts of monetary policy shocks on the volatility of inflation, unemployment and exchange rate in Brazil
title_fullStr The impacts of monetary policy shocks on the volatility of inflation, unemployment and exchange rate in Brazil
title_full_unstemmed The impacts of monetary policy shocks on the volatility of inflation, unemployment and exchange rate in Brazil
title_sort The impacts of monetary policy shocks on the volatility of inflation, unemployment and exchange rate in Brazil
author BARBOSA, Matheus Girola Macedo
author_facet BARBOSA, Matheus Girola Macedo
author_role author
dc.contributor.none.fl_str_mv SILVA, Marcelo Eduardo Alves da
http://lattes.cnpq.br/2380188750415019
http://lattes.cnpq.br/0019694783676378
dc.contributor.author.fl_str_mv BARBOSA, Matheus Girola Macedo
dc.subject.por.fl_str_mv Macroeconomia
Incerteza
Metas de Inflação
topic Macroeconomia
Incerteza
Metas de Inflação
description This study evaluates the impacts of a contractionary monetary policy shock on inflation, unemployment rate, and exchange rate volatility in Brazil during the period of 2000-2020. These effects were analyzed through the estimation of impulse response functions and the decomposition of forecast error variance using a Bayesian Vector Autoregressive Model (BVAR). The results indicate that, following a monetary policy shock, inflation and unemployment volatility decrease by 15%, and exchange rate volatility decreases by 30%. These findings suggest that the reduction in volatility after the shock is attributed to increased confidence among agents in the commitment of the Central Bank of Brazil to achieving inflation targets.
publishDate 2023
dc.date.none.fl_str_mv 2023-11-06
2025-08-22T14:29:42Z
2025-08-22T14:29:42Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv BARBOSA, Matheus Girola Macedo. The impacts of monetary policy shocks on the volatility of inflation, unemployment and exchange rate in Brazil. Dissertação (Mestrado em Economia) - Universidade Federal de Pernambuco, Recife, 2023.
https://repositorio.ufpe.br/handle/123456789/65324
identifier_str_mv BARBOSA, Matheus Girola Macedo. The impacts of monetary policy shocks on the volatility of inflation, unemployment and exchange rate in Brazil. Dissertação (Mestrado em Economia) - Universidade Federal de Pernambuco, Recife, 2023.
url https://repositorio.ufpe.br/handle/123456789/65324
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv https://creativecommons.org/licenses/by-nc-nd/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Federal de Pernambuco
UFPE
Brasil
Programa de Pos Graduacao em Economia
publisher.none.fl_str_mv Universidade Federal de Pernambuco
UFPE
Brasil
Programa de Pos Graduacao em Economia
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFPE
instname:Universidade Federal de Pernambuco (UFPE)
instacron:UFPE
instname_str Universidade Federal de Pernambuco (UFPE)
instacron_str UFPE
institution UFPE
reponame_str Repositório Institucional da UFPE
collection Repositório Institucional da UFPE
repository.name.fl_str_mv Repositório Institucional da UFPE - Universidade Federal de Pernambuco (UFPE)
repository.mail.fl_str_mv attena@ufpe.br
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