Regime de metas de inflação do Brasil: a influência das expectativas inflacionárias sobre o comportamento da inflação brasileira

Abstract

The objective of this study is to identify the influence of fluctuations in inflation expectations on the inflation targeting regime (ITR), in particular on the Extended Consumer Price Index (IPCA) - Free items in Brazil during the period of January 2001 to September 2017. For this purpose, the Phillips supply-side curve and the IS curve, on the demand side were estimated, as well as the Central Bank reaction function. The estimation was performed using the Autoregressive Vectors (VAR), as well as its structural form. Thus, through the Phillips curve, it was possible to observe that inflation expectations have a positive impact on Brazilian inflation since the first month, although supply shocks and exchange rate shocks have significant relevance. Moreover, it was observed that the expectation of inflation is influenced, to a greater extent, by the disturbances of the output gap, the supply shocks and by the exchange rate shocks, proving that the inflation expectation works as the propagation mechanism of the others shocks of the Phillips curve over the inflation. In the analysis of the IS curve, it was observed that the inflation expectation does not strongly impact on the aggregate demand, although it is influenced to a greater extent by the exchange rate, the DI swaps interest rate and the NFSP, which is the main variable that interferes in the expected inflation on the IS curve. Finally, in the reaction curve of the Central Bank, it was possible to verify that the monetary policy pursued by the central bank becomes restrictive when the expectation deviation around the target becomes positive, evidencing the concern of the Central Bank in the expectation of inflation. In addition, it was possible to verify that the Central Bank also raises the interest rate when aggregate demand detracts from potential output. These factors together can show that the expectation of inflation is a variable that conveys the effects related to the changes of the components of the ITR.