Regra de Taylor com coeficientes variantes no tempo: uma análise para o Brasil

Abstract

This study analyzes the conduct of Brazilian monetary policy through a reaction function based on the Taylor Rule for the period from February 2003 to June 2025. The objective is to investigate the response of the Selic interest rate, set by the Monetary Policy Committee (Copom), to deviations of inflation expectations from the inflation target, the output gap, and changes in the exchange rate, as well as to examine how the importance of these variables evolved over time. Monthly data were used, and an econometric model was estimated using the Ordinary Least Squares (OLS) method. The results indicate that inflation expectations, the output gap, and exchange rate changes had a positive and statistically significant effect on the Selic interest rate, suggesting that the Central Bank of Brazil responded to changes in inflationary conditions, economic activity, and the foreign exchange market throughout the sample period. The findings also show that the intensity of these responses was not constant over time, indicating changes in the conduct of monetary policy under different macroeconomic conditions. It is concluded that Brazilian monetary policy was broadly consistent with the principles of the Taylor Rule, although the relative importance assigned to the explanatory variables changed over the period analyzed.