The interest rate pass-through in Brazil under a nonlinear approach

Detalhes bibliográficos
Autor(a) principal: Marçal, Jean Vinícius
Data de Publicação: 2020
Outros Autores: Vasconcelos, Claudio Roberto Fóffano, Vasconcelos, Silvinha Pinto
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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spelling 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
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