Elaine Cristina de Piza

This work aims to analyze the impact of the monetary policy, adopted by the Central Bank of Brazil, on the inflation expectations of the economic agents, after the implementation of the inflation targeting. As theoretical referential, it uses the group of principles called New Consensus Macroeconomic. Among those principles, it is the idea that the stability of prices is an attribution of the monetary policy, and that the central banks should choose a target of long period for the inflation and anticipated to inflationary pressures. Besides, a significant importance is attributed to the expectations. The structural model of the new consensus contains three main equations: a) a curved IS; b) a Phillips curve; and, c) a rule of monetary politicy. In that model, the interest rate is endogenous, reacting to the deviations of the expectations from inflation target, being the only instrument available to the central bank to deter the demand excesses and to control the inflation rate. Altering the interest rate, the central bank tries to influence the expectations in convergence with the inflation target. Therefore, it is expect that the interest rate be able to drive the agents’ prices expectations in the direction desired by the central bank. To capture the dynamic relationship among the variables, a vectorial auto regressive model (VAR) was used for the econometrics analysis, with monthly data from June of 1999 to October of 2005. Additionally, the Granger Causality test and the Exogeneity test were presented. The results suggest that: a) The monetary policy accomplished in Brazil is coherent with the new consensus; b) The interest rate is preceded by the inflation rate and by the inflation expectations; c) The interest rate doesn’t precede to the inflation expectations, it is just weakly exogenous in relation to them; d) Shocks not anticipated in the interest rate reduce the inflation expectations; e) The gap expected is preceded by the interest rate; f) The effects of the inflation expectations on the interest rate are more evident than the effects of the interest rate on the expectations; g) The market has significant role in the conduct of the Central Bank of Brazil, influencing the monetary policy decisions.