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Previous issue date: 2018-03-26 === Coordena??o de Aperfei?oamento de Pessoal de N?vel Superior - CAPES === The purpose of this dissertation is to investigate the credibility of the Central Bank of Brazil (BCB) by means of transmission channels used in the economy, through the BCB monetary policy variables such as GDP, Selic, Exchange, consumer credit, credit private. To reach the goal, we analyzed the credibility indices with averages - 0.776; 0.2124; 0.6635 respectively of ICS, ICS * and ICNMB. The cointegration test, unit root and the Granger causality test were performed to estimate the VAR models of each index. It is possible to observe in the unit root test that there are 3 cases in which the indices used are stationary. The Granger Causality test presents, with a 5% significance test (from 1.96), that the ICSA credibility index has an influence on consumer credit (2.26) and on private credit (1,967), while that the ICSB index only has an influence on the exchange rate (1.98) and the ICNMB index has only an influence on the exchange rate (2,13) and the Cointegration test at the same level of significance revealed that the variables are integrated in 4 levels of integration among the 7 possible variables. The analysis of the Impulse - Response function offers in the first index the relatively positive effects / impacts for the economy as it leverages credit and the exchange rate, while the interest rate of the economy is revised downwards. In other words, the monetary policy of the Central Bank is able not only to pass tranquility by market, but also to control inflation with a sustainable economic activity in the first quarter. In the second index, the effect is negative because three of the five variables observed present results that are not adequate for the economy. The economic activity seems to be receiving and with little or almost no access to credit for investment and consumption. And finally, the third index of credibility allows to say that it exceeds the variable of the GDP, this index presents better effects in the transmission variables of monetary policy in relation to the two index because its effects have an impact in the long term. === O presente trabalho de disserta??o tem como proposta investigar a credibilidade do Banco Central do Brasil (BCB) por meio de canais de transmiss?o utilizados na economia atrav?s das vari?veis de pol?ticas monet?rias do BCB como PIB, Selic, c?mbio, cr?dito ao consumidor e cr?dito privado. Para atingir esse objetivo,
analisamos os ?ndices de credibilidade com m?dias de -0,776 do ICS, 0,2124 do ICS* e 0,6635 e ICNMB. Foram efetuados os testes de Cointegra??o, Raiz Unit?ria e o de Causalidade de GRANGER para estima??o dos modelos VAR de cada ?ndice. Foi poss?vel observar no teste de Raiz Unit?ria que existem tr?s casos nos quais os ?ndices usados s?o estacion?rios. O teste de Causalidade Granger nos mostra, com teste t a 5% de signific?ncia (a partir de 1,96), que o ?ndice de credibilidade ICSA tem influ?ncia no cr?dito do consumidor (2,26) e no cr?dito privado (1,967), enquanto o ?ndice ICSB tem influ?ncia na taxa de c?mbio (1,98) e o ?ndice ICNMB tem influ?ncia somente na taxa de c?mbio (2,13). No entanto, o teste de cointegra??o de mesmo n?vel de signific?ncia revelou que as vari?veis s?o associadas a quatro n?veis de integra??o entre as sete vari?veis poss?veis. No primeiro ?ndice, ao analisar a fun??o Impulso-Resposta, percebemos os efeitos/impactos relativamente positivos para a economia, pois alavanca o cr?dito e o c?mbio, enquanto o juro da economia ? revisto para baixo, ou seja, a pol?tica monet?ria do Banco Central consegue n?o s? passar tranquilidade ao mercado, mas tamb?m controlar a infla??o com uma atividade econ?mica sustent?vel no primeiro trimestre.
No segundo ?ndice o efeito ? negativo, pois tr?s das cinco vari?veis observadas apresentam resultados n?o adequados ? economia. A atividade econ?mica parece estar numa recess?o e com pouco, ou quase nada, acesso ao cr?dito para investimento e consumo. E, finalmente, o terceiro ?ndice de credibilidade permite dizer que, exceto a vari?vel do PIB, esse ?ndice apresenta melhores efeitos nas vari?veis de transmiss?o de pol?tica monet?ria em rela??o aos dois ?ndices, uma vez que seus efeitos t?m um impacto no longo prazo.
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