Monetary policy and transmission mechanism in Brazil: an empirical model
Autor(a) principal: | |
---|---|
Data de Publicação: | 2013 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | LOCUS Repositório Institucional da UFV |
Texto Completo: | https://doi.org/10.1007/s00181-012-0610-4 http://www.locus.ufv.br/handle/123456789/21727 |
Resumo: | We propose an econometric model for the transmission mechanism in Brazil after the inflation target regime (IT) implementation. We follow the statistical approach based on the LSE methodology by means of the Spanos (J Econom 44:87–105, 1990) categorization. Our proposed model includes the ratios of the debt and primary surplus to the GDP representing the government fiscal effort. We identify two long run relationships that produce new information on how to evaluate the real interest rate and the nominal interest rate links, respectively, with the output gap and the nominal inflation derived from the IS and the interest rule theoretical models. Such specification explores the role played by fiscal variables in monetary transmission; considering the government fiscal effort, a relevant issue for Brazil. We were also able to identify a third long run relationship that might help to uncover how output gap is related not only with nominal variables but also with the debt to the GDP ratio. |
id |
UFV_f45dea0eed8d526c7e0eb3b5da3a72bc |
---|---|
oai_identifier_str |
oai:locus.ufv.br:123456789/21727 |
network_acronym_str |
UFV |
network_name_str |
LOCUS Repositório Institucional da UFV |
repository_id_str |
2145 |
spelling |
Corrêa, Wilson Luiz RotatoriCaetano, Sidney Martins2018-09-10T17:34:01Z2018-09-10T17:34:01Z2013-0814358921https://doi.org/10.1007/s00181-012-0610-4http://www.locus.ufv.br/handle/123456789/21727We propose an econometric model for the transmission mechanism in Brazil after the inflation target regime (IT) implementation. We follow the statistical approach based on the LSE methodology by means of the Spanos (J Econom 44:87–105, 1990) categorization. Our proposed model includes the ratios of the debt and primary surplus to the GDP representing the government fiscal effort. We identify two long run relationships that produce new information on how to evaluate the real interest rate and the nominal interest rate links, respectively, with the output gap and the nominal inflation derived from the IS and the interest rule theoretical models. Such specification explores the role played by fiscal variables in monetary transmission; considering the government fiscal effort, a relevant issue for Brazil. We were also able to identify a third long run relationship that might help to uncover how output gap is related not only with nominal variables but also with the debt to the GDP ratio.engEmpirical Economicsv. 45, n. 1, p. 115– 135, august 2013Springer-Verlaginfo:eu-repo/semantics/openAccessMonetary policyVARCointegrationBrazilMonetary policy and transmission mechanism in Brazil: an empirical modelinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfreponame:LOCUS Repositório Institucional da UFVinstname:Universidade Federal de Viçosa (UFV)instacron:UFVORIGINALartigo.pdfartigo.pdfTexto completoapplication/pdf370045https://locus.ufv.br//bitstream/123456789/21727/1/artigo.pdfae58f5d3e74b11de5ab15b177aae6386MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-81748https://locus.ufv.br//bitstream/123456789/21727/2/license.txt8a4605be74aa9ea9d79846c1fba20a33MD52THUMBNAILartigo.pdf.jpgartigo.pdf.jpgIM Thumbnailimage/jpeg4626https://locus.ufv.br//bitstream/123456789/21727/3/artigo.pdf.jpg10f5e5099fe114b06855b7dc05cdff66MD53123456789/217272018-09-10 23:00:43.51oai:locus.ufv.br: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Repositório InstitucionalPUBhttps://www.locus.ufv.br/oai/requestfabiojreis@ufv.bropendoar:21452018-09-11T02:00:43LOCUS Repositório Institucional da UFV - Universidade Federal de Viçosa (UFV)false |
dc.title.en.fl_str_mv |
Monetary policy and transmission mechanism in Brazil: an empirical model |
title |
Monetary policy and transmission mechanism in Brazil: an empirical model |
spellingShingle |
Monetary policy and transmission mechanism in Brazil: an empirical model Corrêa, Wilson Luiz Rotatori Monetary policy VAR Cointegration Brazil |
title_short |
Monetary policy and transmission mechanism in Brazil: an empirical model |
title_full |
Monetary policy and transmission mechanism in Brazil: an empirical model |
title_fullStr |
Monetary policy and transmission mechanism in Brazil: an empirical model |
title_full_unstemmed |
Monetary policy and transmission mechanism in Brazil: an empirical model |
title_sort |
Monetary policy and transmission mechanism in Brazil: an empirical model |
author |
Corrêa, Wilson Luiz Rotatori |
author_facet |
Corrêa, Wilson Luiz Rotatori Caetano, Sidney Martins |
author_role |
author |
author2 |
Caetano, Sidney Martins |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Corrêa, Wilson Luiz Rotatori Caetano, Sidney Martins |
dc.subject.pt-BR.fl_str_mv |
Monetary policy VAR Cointegration Brazil |
topic |
Monetary policy VAR Cointegration Brazil |
description |
We propose an econometric model for the transmission mechanism in Brazil after the inflation target regime (IT) implementation. We follow the statistical approach based on the LSE methodology by means of the Spanos (J Econom 44:87–105, 1990) categorization. Our proposed model includes the ratios of the debt and primary surplus to the GDP representing the government fiscal effort. We identify two long run relationships that produce new information on how to evaluate the real interest rate and the nominal interest rate links, respectively, with the output gap and the nominal inflation derived from the IS and the interest rule theoretical models. Such specification explores the role played by fiscal variables in monetary transmission; considering the government fiscal effort, a relevant issue for Brazil. We were also able to identify a third long run relationship that might help to uncover how output gap is related not only with nominal variables but also with the debt to the GDP ratio. |
publishDate |
2013 |
dc.date.issued.fl_str_mv |
2013-08 |
dc.date.accessioned.fl_str_mv |
2018-09-10T17:34:01Z |
dc.date.available.fl_str_mv |
2018-09-10T17:34:01Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://doi.org/10.1007/s00181-012-0610-4 http://www.locus.ufv.br/handle/123456789/21727 |
dc.identifier.issn.none.fl_str_mv |
14358921 |
identifier_str_mv |
14358921 |
url |
https://doi.org/10.1007/s00181-012-0610-4 http://www.locus.ufv.br/handle/123456789/21727 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.pt-BR.fl_str_mv |
v. 45, n. 1, p. 115– 135, august 2013 |
dc.rights.driver.fl_str_mv |
Springer-Verlag info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Springer-Verlag |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Empirical Economics |
publisher.none.fl_str_mv |
Empirical Economics |
dc.source.none.fl_str_mv |
reponame:LOCUS Repositório Institucional da UFV instname:Universidade Federal de Viçosa (UFV) instacron:UFV |
instname_str |
Universidade Federal de Viçosa (UFV) |
instacron_str |
UFV |
institution |
UFV |
reponame_str |
LOCUS Repositório Institucional da UFV |
collection |
LOCUS Repositório Institucional da UFV |
bitstream.url.fl_str_mv |
https://locus.ufv.br//bitstream/123456789/21727/1/artigo.pdf https://locus.ufv.br//bitstream/123456789/21727/2/license.txt https://locus.ufv.br//bitstream/123456789/21727/3/artigo.pdf.jpg |
bitstream.checksum.fl_str_mv |
ae58f5d3e74b11de5ab15b177aae6386 8a4605be74aa9ea9d79846c1fba20a33 10f5e5099fe114b06855b7dc05cdff66 |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 |
repository.name.fl_str_mv |
LOCUS Repositório Institucional da UFV - Universidade Federal de Viçosa (UFV) |
repository.mail.fl_str_mv |
fabiojreis@ufv.br |
_version_ |
1801212896616644608 |