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Previous issue date: 2016-03-28 / Coordena??o de Aperfei?oamento de Pessoal de N?vel Superior - CAPES / Funda??o de Amparo ? Pesquisa do Estado do Rio Grande do Sul - FAPERGS / The Brazilian economy adopts the regime of inflation targets since 1999 and one of the biggest challenges of monetary policy is to make the price takers form expectations and thus fix prices. Expectations guide the decisions of economic agents and are an important
monetary policy transmission channel. Therefore, it is important that the monetary authority is transparent and has credibility with the public. An inflation target for a particular period is fully credible if it is equal to the inflation expectations of the market for the same period. This research aims to assess the way in which the expectations of economic agents influence the results in different economic indicators: Industrial Production, Exchange, Quarterly Agriculture GDP, Quarterly Industry GDP, Quarterly Service GDP, Quarterly Total GDP, IGPM, IPCA , Selic rate. The research analyzes how expectations affect the process of formation of own expectations and how the previous results influence the outcome of the next period and the formation of expectations. It uses the data of the statistical series available by Central Bank of Brazil of market expectations. The methodology is the time series and especially the Least Square Robust Models. We found the following results: For the Industrial Production and Exchange, previous expectations influenced the Last Expectation and the previous results were significant in the Result. For the IGP-M, only the previous results influenced the outcome, for the Last Expectation, all variables (previous expectations, previous results and deviations from previous expectations) were significant. For the IPCA and the Selic, all variables were statistically significant, the most relevant are short-term previous expectations, acting in the results and in the Last Expectation. For the Agriculture GDP, only previous expectations influenced the Last Expectation, and all variables had influence in the result. No variable searched for Industry GDP and Service GDP had an influence on the result. In Last Expectation, short-term expectations were significant. For the Total GDP, the previous expectations are significant in the result. Just previous expectations are significant in Average Last Expectation and only the expectation of two days before is significant in Median. / A economia brasileira adota o regime de metas de infla??o desde 1999 e um dos maiores desafios de uma pol?tica monet?ria ? fazer com que os tomadores de pre?os formem expectativas e assim fixem pre?os. As expectativas orientam as decis?es dos agentes econ?micos e s?o um importante canal de transmiss?o de pol?tica monet?ria. Sendo assim, ? importante que a Autoridade Monet?ria seja transparente e tenha credibilidade perante o p?blico. Uma meta de infla??o para um determinado per?odo ? plenamente cr?vel se ? igual ? expectativa de infla??o do mercado para o mesmo per?odo. Essa pesquisa busca avaliar a forma pela qual as expectativas dos agentes econ?micos influenciam os resultados em diferentes indicadores econ?micos: Produ??o Industrial, C?mbio, PIB trimestral agropecu?ria, PIB Trimestral Ind?stria, PIB Trimestral Servi?o, PIB Trimestral Total, IGPM, IPCA, Taxa Selic. A pesquisa analisa como as expectativas afetam o processo de forma??o das pr?prias expectativas e como os resultados anteriores influenciam no resultado do pr?ximo per?odo e na forma??o das expectativas. Utiliza os dados das s?ries estat?sticas, dispon?veis em Expectativas de Mercado divulgadas pelo Banco Central do Brasil. A metodologia ? a de
S?ries Temporais e em especial os Modelos de M?nimos Quadrados Robustos. Encontramos como resultados: Para a Produ??o Industrial e C?mbio, as expectativas anteriores influenciaram a ?ltima Expectativa e os resultados anteriores foram significativos no Resultado. Para o IGPM, apenas os resultados anteriores influenciaram no resultado, j? na ?ltima Expectativa, todas as vari?veis (expectativas anteriores, resultados anteriores e desvios das expectativas anteriores) foram significativas. IPCA e Selic, tanto a atua??o no resultado como na ?ltima Expectativa, todas as vari?veis se mostraram significativas, sendo as mais relevantes ?s expectativas anteriores de curto prazo. Para o PIB da Agropecu?ria, apenas as expectativas anteriores tiveram influ?ncia na ?ltima Expectativa, e para o seu resultado, todas as vari?veis tiveram influ?ncia. Nenhuma vari?vel pesquisada para o PIB Ind?stria e o PIB Servi?o, teve influ?ncia no resultado, enquanto que na ?ltima Expectativa, as expectativas de curto prazo foram significativas. As expectativas anteriores s?o significativas para o resultado do PIB Total. J? para a M?dia da ?ltima Expectativa, apenas as expectativas anteriores foram significativas e na Mediana, somente a expectativa de 2 dias antes foi relevante.
| Identifer | oai:union.ndltd.org:IBICT/oai:tede2.pucrs.br:tede/6828 |
| Date | 28 March 2016 |
| Creators | Freitas, Andreia Pereira de |
| Contributors | Moraes, Gustavo In?cio de |
| Publisher | Pontif?cia Universidade Cat?lica do Rio Grande do Sul, Programa de P?s-Gradua??o em Economia do Desenvolvimento, PUCRS, Brasil, Faculdade de Administra??o, Contabilidade e Economia |
| Source Sets | IBICT Brazilian ETDs |
| Language | Portuguese |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Format | application/pdf |
| Source | reponame:Biblioteca Digital de Teses e Dissertações da PUC_RS, instname:Pontifícia Universidade Católica do Rio Grande do Sul, instacron:PUC_RS |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | -5405171042897922792, 600, 600, 600, 600, 600, 4410494103952189146, -2504903392600098822, 2075167498588264571, -3614735573891122254 |
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