The interest rate pass-through in Brazil under a nonlinear approach
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Nova Economia (Online) |
Texto Completo: | https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4691 |
Resumo: | This paper aims to analyze interest rate pass-through mechanism from SELIC to retail interest rate in the Brazilian economy in a nonlinear framework. The review period was from March 2011 to March 2016. The empirical strategy consists in the use of monetary policy approach to interest rate pass-through and use of nonlinear cointegration model NARDL. The main results are that exist evidence of short as well as long-term asymmetry in the interest rate pass-through. We can also conclude that the interest rate pass-through is characterized by the predominance of the more complete pass-through. |
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Nova Economia (Online) |
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The interest rate pass-through in Brazil under a nonlinear approachA transmissão da taxa de juros no Brasil sob uma abordagem não linearThis paper aims to analyze interest rate pass-through mechanism from SELIC to retail interest rate in the Brazilian economy in a nonlinear framework. The review period was from March 2011 to March 2016. The empirical strategy consists in the use of monetary policy approach to interest rate pass-through and use of nonlinear cointegration model NARDL. The main results are that exist evidence of short as well as long-term asymmetry in the interest rate pass-through. We can also conclude that the interest rate pass-through is characterized by the predominance of the more complete pass-through.O trabalho objetivou analisar o mecanismo de transmissão da política monetária para a taxa de juros de varejo na economia brasileira em uma abordagem não linear. O período de análise foi de março de 2011 a março de 2016. A estratégia empírica consistiu no emprego da abordagem de política monetária para o repasse e do uso do modelo de cointegração não linear, NARDL. Os principais resultados são que para as taxas de empréstimos analisadas encontrou-se evidência da assimetria de curto e longo prazos no repasse da taxa SELIC, bem como o predomínio do sobrerrepasse.Departamento de Ciências Econômicas da UFMG2020-06-10info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttps://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4691Nova Economia; Vol. 30 No. 1 (2020); 177-201Nova Economia; v. 30 n. 1 (2020); 177-2011980-53810103-6351reponame:Nova Economia (Online)instname:Universidade Federal de Minas Gerais (UFMG)instacron:UFMGporhttps://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4691/3105Copyright (c) 2020 Jean Vinícius Marçal, Claudio Roberto Fóffano Vasconcelos, Silvinha Pinto Vasconcelosinfo:eu-repo/semantics/openAccessMarçal, Jean ViníciusVasconcelos, Claudio Roberto FóffanoVasconcelos, Silvinha Pinto2022-01-04T00:49:29Zoai:ojs.pkp.sfu.ca:article/4691Revistahttps://revistas.face.ufmg.br/index.php/novaeconomiaPUBhttps://revistas.face.ufmg.br/index.php/novaeconomia/oai||ne@face.ufmg.br1980-53810103-6351opendoar:2022-01-04T00:49:29Nova Economia (Online) - Universidade Federal de Minas Gerais (UFMG)false |
dc.title.none.fl_str_mv |
The interest rate pass-through in Brazil under a nonlinear approach A transmissão da taxa de juros no Brasil sob uma abordagem não linear |
title |
The interest rate pass-through in Brazil under a nonlinear approach |
spellingShingle |
The interest rate pass-through in Brazil under a nonlinear approach Marçal, Jean Vinícius |
title_short |
The interest rate pass-through in Brazil under a nonlinear approach |
title_full |
The interest rate pass-through in Brazil under a nonlinear approach |
title_fullStr |
The interest rate pass-through in Brazil under a nonlinear approach |
title_full_unstemmed |
The interest rate pass-through in Brazil under a nonlinear approach |
title_sort |
The interest rate pass-through in Brazil under a nonlinear approach |
author |
Marçal, Jean Vinícius |
author_facet |
Marçal, Jean Vinícius Vasconcelos, Claudio Roberto Fóffano Vasconcelos, Silvinha Pinto |
author_role |
author |
author2 |
Vasconcelos, Claudio Roberto Fóffano Vasconcelos, Silvinha Pinto |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Marçal, Jean Vinícius Vasconcelos, Claudio Roberto Fóffano Vasconcelos, Silvinha Pinto |
description |
This paper aims to analyze interest rate pass-through mechanism from SELIC to retail interest rate in the Brazilian economy in a nonlinear framework. The review period was from March 2011 to March 2016. The empirical strategy consists in the use of monetary policy approach to interest rate pass-through and use of nonlinear cointegration model NARDL. The main results are that exist evidence of short as well as long-term asymmetry in the interest rate pass-through. We can also conclude that the interest rate pass-through is characterized by the predominance of the more complete pass-through. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020-06-10 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4691 |
url |
https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4691 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4691/3105 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Departamento de Ciências Econômicas da UFMG |
publisher.none.fl_str_mv |
Departamento de Ciências Econômicas da UFMG |
dc.source.none.fl_str_mv |
Nova Economia; Vol. 30 No. 1 (2020); 177-201 Nova Economia; v. 30 n. 1 (2020); 177-201 1980-5381 0103-6351 reponame:Nova Economia (Online) instname:Universidade Federal de Minas Gerais (UFMG) instacron:UFMG |
instname_str |
Universidade Federal de Minas Gerais (UFMG) |
instacron_str |
UFMG |
institution |
UFMG |
reponame_str |
Nova Economia (Online) |
collection |
Nova Economia (Online) |
repository.name.fl_str_mv |
Nova Economia (Online) - Universidade Federal de Minas Gerais (UFMG) |
repository.mail.fl_str_mv |
||ne@face.ufmg.br |
_version_ |
1799711059787907072 |