Monetary policy and transmission mechanism in Brazil: an empirical model
Autor(a) principal: | |
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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. |
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Monetary policy and transmission mechanism in Brazil: an empirical modelMonetary policyVARCointegrationBrazilWe 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.Empirical Economics2018-09-10T17:34:01Z2018-09-10T17:34:01Z2013-08info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlepdfapplication/pdf14358921https://doi.org/10.1007/s00181-012-0610-4http://www.locus.ufv.br/handle/123456789/21727engv. 45, n. 1, p. 115– 135, august 2013Springer-Verlaginfo:eu-repo/semantics/openAccessCorrêa, Wilson Luiz RotatoriCaetano, Sidney Martinsreponame:LOCUS Repositório Institucional da UFVinstname:Universidade Federal de Viçosa (UFV)instacron:UFV2024-07-12T06:37:32Zoai:locus.ufv.br:123456789/21727Repositório InstitucionalPUBhttps://www.locus.ufv.br/oai/requestfabiojreis@ufv.bropendoar:21452024-07-12T06:37:32LOCUS Repositório Institucional da UFV - Universidade Federal de Viçosa (UFV)false |
dc.title.none.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.por.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.none.fl_str_mv |
2013-08 2018-09-10T17:34:01Z 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 |
14358921 https://doi.org/10.1007/s00181-012-0610-4 http://www.locus.ufv.br/handle/123456789/21727 |
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.none.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 |
pdf 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 |
repository.name.fl_str_mv |
LOCUS Repositório Institucional da UFV - Universidade Federal de Viçosa (UFV) |
repository.mail.fl_str_mv |
fabiojreis@ufv.br |
_version_ |
1817559854498185216 |