Impacto da política monetária dos Estados Unidos no Ibovespa e na taxa de câmbio brasileira entre 2016 e 2025

Abstract

This research aims to analyze the hierarchy of transmission channels for US monetary policy affecting key Brazilian financial assets, focusing on the Ibovespa Index and the exchange rate (PTAX Dollar). Grounded in Global Financial Cycle theory and the "flight to quality" phenomenon, the study investigates the spillover effects of Federal Reserve decisions on the Brazilian economy. Methodologically, this is a quantitative, explanatory empirical study based on a sample of 120 monthly observations spanning January 2016 to December 2025, utilizing a Vector Error Correction Model (VECM) comprising six endogenous variables. Forecast Error Variance Decomposition (FEVD) and Impulse Response Functions (IRF) revealed that US monetary policy transmission operates primarily through indirect channels, with the sovereign risk premium (5-year CDS) serving as the main vector. The study concludes that this is the dominant channel of financial contagion, as it accounts for the largest share of exchange rate and equity market variance in the long run. The risk channel outweighs the interest rate differential, relegating the Selic rate to a purely reactive adjustment role. The research quantifies the constraints on domestic monetary policy, demonstrating that adjusting interest rates in isolation is insufficient to shield the economy from financial contagion. This finding highlights the need for additional control mechanisms to ensure financial stability.