Abstract

This article investigates how expectations influence the determination of the Brazilian benchmark interest rate based on Keynes’ views on the relationship between expectations and monetary policy. Then, as empirical methodology, Autoregressive Distributed Lag Models and Bounds Testing Approach to Cointegration are used to study, in the short and long-run, the connection between expectations and central bank interest rate. For the period from 2001Q3 to 2017Q4, results show that in the long-run business and consumer confidence, as well as expectations related to market interest rates, GDP, inflation and exchange rate play an important role on monetary policy actions. In the short-run, business and consumer confidence lose importance, while the other mentioned expectations are still statistically significant. The findings of the paper lend credence to Keynes’s view on the relation between expectation and money policy in Brazil.

摘要

本文基于凯恩斯关于预期与货币政策关系的观点，考察预期如何影响巴西基准利率的确定。然后，作为实证方法，自回归分布滞后模型和协整边界检验方法用于研究短期和长期预期与央行利率之间的联系。从 2001 年第三季度到 2017 年第四季度，结果表明，在长期的商业和消费者信心以及与市场利率、GDP、通胀和汇率相关的预期中，对货币政策行动起着重要作用。在短期内，商业和消费者信心失去重要性，而其他提到的预期在统计上仍然显着。