Variáveis fiscais e política monetária no Brasil

Abstract

This research analyzes the reaction function of the Central Bank of Brazil in setting the policy interest rate, considering the influence of certain macroeconomic and fiscal variables during the period from 2003 to 2024. To this end, different specifications of the Taylor Rule were estimated using the Generalized Method of Moments robust to heteroskedasticity and autocorrelation (GMM-HAC). Initially, the model was estimated with macroeconomic variables such as the lagged interest rate, output gap, real effective exchange rate, deviation of inflation expectations from the target, and the commodity price index. Subsequently, the variables public debt (% GDP) and primary deficit were incorporated as fiscal variables to assess their influence on the conduct of monetary policy. The robustness of the models was tested using the Pagan-Hall, Cumby-Huizinga, and Hansen tests, ensuring the validity of the instruments used. The analysis was conducted for the full sample and two distinct subperiods (2003-2013 and 2014-2024), allowing the identification of changes in the monetary authority's response over time. The results indicate that the policy interest rate exhibits strong inertia, with a lower response to the output gap and greater sensitivity to deviations in inflation expectations. The real effective exchange rate, although statistically significant, had a low impact. When statistically significant, the commodity price index exerted a negative but low-magnitude influence. Regarding fiscal variables, the primary deficit was not statistically significant. Meanwhile, the public debt (% GDP) was statistically significant, suggesting that the Central Bank acts preventively in response to public debt growth. Finally, this research contributes to the literature by demonstrating that fiscal variables can influence the conduct of monetary policy, especially in periods of greater economic instability, expanding the understanding of the interaction between fiscal and monetary policy in Brazil.