Este artigo estuda a relação entre incerteza e atividade econômica no Brasil. A incerteza é aproximada por um índice baseado na frequência da palavra "incerteza" nas seções econômicas de jornais, pelo desvio-padrão das expectativas de crescimento econômico e pela volatilidade do mercado acionário. A incerteza é contra-cíclica, e choques de incerteza produzem efeitos negativos e rápidos na economia brasileira, quando comparados com choques na taxa de juros. Os resultados estão em linha com os encontrados para outros países.Palavras-chave: Incerteza, Atividade. AbstractThis paper is aimed at the relationship between uncertainty and economic activity in Brazil. Uncertainty is proxied by an index based on the frequency of economic uncertainty-related articles in newspapers, the standard deviation of growth expectations and stock market volatility. Uncertainty is countercyclical, and uncertainty shocks produce negative and quickier effects in Brazilian economy, when compared with interest rate shocks. The results are similar to those found for other countries.

Este artigo estuda a relação entre o nível da inflação e a incerteza inflacionária no Brasil. Essa variável é obtida a partir de dois métodos. No primeiro, a incerteza inflacionária é estimada por meio de modelos GARCH. No segundo, a incerteza inflacionária é identificada como o desvio-padrão das expectativas de inflação. Testes de causalidade de Granger apontam para causalidade em ambos os sentidos entre a incerteza inflacionária e a inflação. A incerteza inflacionária é positivamente correlacionada com a inflação corrente, e Granger-causa o componente permanente da inflação (núcleo da inflação), quando mensurada pelo desvio-padrão das expectativas de inflação. AbstractThis paper studies the relationship between the level of inflation and inflation uncertainty in Brazil. This variable is obtained through two different methods. In the first one, inflation uncertainty is estimated with GARCH models. In the second one, inflation uncertainty is identified as the standard deviation of inflation expectations. Granger causality tests show that causality runs in both ways between inflation uncertainty and inflation. The results show that inflation uncertainty is positively correlated with current inflation, and Granger-causes the permanent component of inflation (core inflation), when measured by the standard deviation of inflation expectations.

This paper investigates the drivers of long term real interest rates in Brazil. It is shown that long term yield on inflation linked bonds are driven by yields on 10 year interest rates of United States (US) government bonds and 10 year risk premium, as measured by the Credit Default Swap (CDS). Long term interest rates in Brazil were on a downward trend, following US real rates and stable risk premium, until the taper tantrum in the first half of 2013. From then onwards, real interest rates rose due to the increase in US real rates in anticipation of the beginning of monetary policy normalization and, more recently, due to a sharp increase in Brazilian risk premium. Policy interest rates do not significantly affect long term real interest rates.

This paper derives new measures of monetary policy shocks for Brazil. First, one set of shocks is built inspired by Romer and Romer (2004) methodology, using official and private forecasts. Central Bank staff forecasts were collected from the technical presentations of monetary policy meetings, released after the introduction of the Access of Information Law, while private forecasts come from the Focus survey. Second, a yield curve shock is constructed for the Brazilian case, based on the Barakchian and Crowe (2013) methodology. Equipped with the shocks measures, I include them on VARs (Vector Autoregressions) and analyze the effects on inflation and output. A standardized monetary policy shock is found to reduce real GDP in up to 0.5%. In all but the yield curve shock case, it is found evidence of a price puzzle in the estimated models.

This paper derives a new measure of monetary shock for Brazil based on the yield curve. First, the Diebold and Li (2006) model is estimated with nominal yields. The changes of the latent variables of this model surrounding monetary policy meetings are used to analyze the effects on the Brazilian economy. Monetary policy decisions associated with steeper yield curves lead to higher future economic activity.

This paper studies the role of credit supply shocks in Brazil, throughBayesian Vector Autoregressions (BVARs) with sign restrictions. It isfound that credit supply shocks, either standalone or associated withthe bank lending channel of monetary policy, lead to relatively mildeects on output growth. Despite the credit deepening observed inthe last decade, credit shocks were not prominent drivers of businesscycles in Brazil.

<p>This paper estimates the term structure of natural interest rates for Brazil, a generalization of the concept of natural rate of interest for the yield curve. First, the Diebold-Li (2006) model is estimated with real yields. The latent factors of this model are then used in a model that includes an IS and a Phillips curve. The natural yield curve is obtained as the level, slope and curvature that closes the output gap at each point in time. This decomposition allows a broader indicator of the stance of monetary policy and a real-time measure of the natural rate. The difference between the slope of the real curve and its natural counterpart is highly correlated with the output gap.</p>

This paper takes a macroeconomic perspective on Brazilian foreignexchange swaps. It was found that foreign exchange swap shocks lowerination, ease nancial conditions by reducing the risk premium, areassociated with temporarily higher economic activity and lower interestrates in the medium run. After a swap shock, the impact on theexchange rate is at best short-lived. A counterfactual exchange ratewithout the contribution of swap shocks shows periods when the Realwould be almost 4 percent weaker.