Inflação e ativos financeiros no Brasil: uma análise de auto-regressão vetorial

Abstract

In this article we have estimated a Vector Autoregression (VAR), using Brazilian macroeconomic variables, so as to arrive at some "stylized facts" regarding statistical and dynamic interdependence in Brazil, between the rate of inflation and the rate of growth of certain financial assets. As has been pointed out by Sims (1986), models such as the one estimated here can be utilized for identifying the impact of alternative economic policies. We show for instance, that the shocks (in ovations) in the "money supply equation" are quite similar, from the point of views of the effects on other variables in the model, to those that would be conventionally expected, We also have obtained evidence that the General Price Index (IGP) is tithed affected by nominal changes in the stock of certain financial assets. Thin result is consistent with the view that inflation in Brazil has an important inertial component. The method adopted for estimating PAR resembles that proposed by Donn,