As expectativas em relação às variáveis fiscais na determinação da taxa Selic

Abstract

This paper aim to analyze the relevance of expectations related to fiscal situation in the determination of interest rate by the Monetary Policy Committee. According to Central Bank recent documents, expectations about surplus and public debt have influence on the future trajectory of inflation, risk premiums and, consequently, the level of interest rates in the country. For this work, an attempt was made to estimate a modified monetary policy rule in the OLS e TAR methods, based on data from the last 15 years, including expectations variables related to surplus and public debit. From the analysis of the models, it’s verified that there is strong evidence of the relevance of the variables in determining the interest rate. However, the tests results indicate that in the period between 2008 and 2012, in which the international crises occurred, the residues presented wider range. In addition, the analysis of TAR models leads us to conclusions that, although they seem intuitively wrong, they are related to the complex Brazilian economic history.