The monetary transmission mechanism in Brazil: evidence from a var analysis

Detalhes bibliográficos
Autor(a) principal: Luporini, Viviane
Data de Publicação: 2008
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Estudos Econômicos (São Paulo)
Texto Completo: https://www.revistas.usp.br/ee/article/view/35938
Resumo: This article presents evidence on the interest channel of the monetary policy for the Brazilian economy of the 1990s analyzing the effects of an unexpected change in the baseline interest rate on output, prices and the exchange rate in a vector autoregression system. Our main results are: a) a tightening in the monetary policy affects economic activity immediately, reducing the rate of growth of real GDP; b) the exchange rate and prices are affected only after a time interval, with inflation assuming a downward trend only two months after the monetary shock; c) results do not change when the specification is controlled for international conditions, commodity prices or other measures of inflation and economic activity; d) monetary shocks have a significant impact on the volatility of output and inflation in the benchmark model e) monetary shocks have a significant impact on the volatility of the debt/GDP ratio in the control-model.
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spelling The monetary transmission mechanism in Brazil: evidence from a var analysis monetary policymonetary transmission mechanismBrazilpolítica monetáriamecanismo de transmissão monetáriaBrasil This article presents evidence on the interest channel of the monetary policy for the Brazilian economy of the 1990s analyzing the effects of an unexpected change in the baseline interest rate on output, prices and the exchange rate in a vector autoregression system. Our main results are: a) a tightening in the monetary policy affects economic activity immediately, reducing the rate of growth of real GDP; b) the exchange rate and prices are affected only after a time interval, with inflation assuming a downward trend only two months after the monetary shock; c) results do not change when the specification is controlled for international conditions, commodity prices or other measures of inflation and economic activity; d) monetary shocks have a significant impact on the volatility of output and inflation in the benchmark model e) monetary shocks have a significant impact on the volatility of the debt/GDP ratio in the control-model. Esse artigo analisa o canal juros do mecanismo de transmissão monetária sobre o produto, preços e taxa de câmbio na economia brasileira dos anos 90 através dos efeitos de uma redução inesperada na taxa básica de juros em um sistema de vetores auto-regressivos. Os principais resultados obtidos são: a) um choque monetário afeta imediatamente a atividade econômica, reduzindo a taxa de crescimento do PIB; b) a inflação e a taxa de câmbio são afetadas somente após um intervalo de tempo, e a inflação assume uma tendência declinante somente dois meses após o choque de juros; c) os resultados são robustos quando controlados para condições internacionais, preço das commodities ou outras medidas de inflação e atividade econômica; d) choques monetários afetam significativamente a volatilidade do produto e da inflação no modelo padrão; e) choques monetários afetam significativamente a volatilidade da relação dívida/PIB no modelo de controle. Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade2008-03-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ee/article/view/3593810.1590/S0101-41612008000100001Estudos Econômicos (São Paulo); v. 38 n. 1 (2008); 7-301980-53570101-4161reponame:Estudos Econômicos (São Paulo)instname:Universidade de São Paulo (USP)instacron:USPenghttps://www.revistas.usp.br/ee/article/view/35938/38655Copyright (c) 2008 Viviane Luporinihttp://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessLuporini, Viviane2021-02-04T15:55:40Zoai:revistas.usp.br:article/35938Revistahttps://www.revistas.usp.br/eePUBhttps://www.revistas.usp.br/ee/oaiestudoseconomicos@usp.br||aldrighi@usp.br1980-53570101-4161opendoar:2021-02-04T15:55:40Estudos Econômicos (São Paulo) - Universidade de São Paulo (USP)false
dc.title.none.fl_str_mv The monetary transmission mechanism in Brazil: evidence from a var analysis
title The monetary transmission mechanism in Brazil: evidence from a var analysis
spellingShingle The monetary transmission mechanism in Brazil: evidence from a var analysis
Luporini, Viviane
monetary policy
monetary transmission mechanism
Brazil
política monetária
mecanismo de transmissão monetária
Brasil
title_short The monetary transmission mechanism in Brazil: evidence from a var analysis
title_full The monetary transmission mechanism in Brazil: evidence from a var analysis
title_fullStr The monetary transmission mechanism in Brazil: evidence from a var analysis
title_full_unstemmed The monetary transmission mechanism in Brazil: evidence from a var analysis
title_sort The monetary transmission mechanism in Brazil: evidence from a var analysis
author Luporini, Viviane
author_facet Luporini, Viviane
author_role author
dc.contributor.author.fl_str_mv Luporini, Viviane
dc.subject.por.fl_str_mv monetary policy
monetary transmission mechanism
Brazil
política monetária
mecanismo de transmissão monetária
Brasil
topic monetary policy
monetary transmission mechanism
Brazil
política monetária
mecanismo de transmissão monetária
Brasil
description This article presents evidence on the interest channel of the monetary policy for the Brazilian economy of the 1990s analyzing the effects of an unexpected change in the baseline interest rate on output, prices and the exchange rate in a vector autoregression system. Our main results are: a) a tightening in the monetary policy affects economic activity immediately, reducing the rate of growth of real GDP; b) the exchange rate and prices are affected only after a time interval, with inflation assuming a downward trend only two months after the monetary shock; c) results do not change when the specification is controlled for international conditions, commodity prices or other measures of inflation and economic activity; d) monetary shocks have a significant impact on the volatility of output and inflation in the benchmark model e) monetary shocks have a significant impact on the volatility of the debt/GDP ratio in the control-model.
publishDate 2008
dc.date.none.fl_str_mv 2008-03-01
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://www.revistas.usp.br/ee/article/view/35938
10.1590/S0101-41612008000100001
url https://www.revistas.usp.br/ee/article/view/35938
identifier_str_mv 10.1590/S0101-41612008000100001
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://www.revistas.usp.br/ee/article/view/35938/38655
dc.rights.driver.fl_str_mv Copyright (c) 2008 Viviane Luporini
http://creativecommons.org/licenses/by-nc/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2008 Viviane Luporini
http://creativecommons.org/licenses/by-nc/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
publisher.none.fl_str_mv Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
dc.source.none.fl_str_mv Estudos Econômicos (São Paulo); v. 38 n. 1 (2008); 7-30
1980-5357
0101-4161
reponame:Estudos Econômicos (São Paulo)
instname:Universidade de São Paulo (USP)
instacron:USP
instname_str Universidade de São Paulo (USP)
instacron_str USP
institution USP
reponame_str Estudos Econômicos (São Paulo)
collection Estudos Econômicos (São Paulo)
repository.name.fl_str_mv Estudos Econômicos (São Paulo) - Universidade de São Paulo (USP)
repository.mail.fl_str_mv estudoseconomicos@usp.br||aldrighi@usp.br
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