Desancoragem das expectativas de inflação: uma decomposição histórica aplicada ao caso brasileiro

Abstract

This study aims to identify episodes of inflation expectation de-anchoring in Brazil from 2003 to 2024. It seeks to analyze the role of variables commonly associated with inflation in emerging economies and to evaluate the actions of the Central Bank of Brazil during these episodes. A Vector Autoregressive (VAR) model was applied, and the historical decomposition technique was used to trace the contribution of structural shocks to the evolution of key macroeconomic variables. Three distinct periods of severe inflation expectation de-anchoring were identified. The findings suggest that the first episode of was mainly associated with exchange rate pressures and an accommodative monetary stance. The second episode—identified as the most severe—was driven by an excessively loose monetary policy, deteriorating inflation expectations, exchange rate volatility, overheating economic activity, and fiscal imbalances. The most recent episode was characterized by significant currency depreciation and rising commodity prices. The role of the Central Bank of Brazil proves to be crucial in the formation of inflation expectations, as some of the most severe de-anchoring episodes occurred alongside with periods of monetary policy loosening.