Abstract
This research paper aimed to assess the impact of uncertainties on the outcomes of monetary policy in Brazil after the adoption of inflation targeting. To this end, we adopted the methodology of vector autoregressions with an endogenous threshold (TVAR) and four distinct indicators to characterize regimes of high vs. low macroeconomic uncertainty. The analyzed sample varied from 2003 to 2021, with monthly data. Our results showed that uncertainty tended to increase during recessions in the country. Furthermore, in periods of higher instability, policy interest rate shocks exerted a lesser effect on aggregate production. However, the most significant influence of uncertainty occurred regarding inflation control, which was severely reduced when compared to more tranquil periods. Therefore, we concluded that uncertainty can harm monetary policy transmission in Brazil, especially for the adjustment of prices.
Published Version
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