A study on bank credit channel in Brazil: The approach of impulse response functions matching

Detalhes bibliográficos
Autor(a) principal: Bezerra, Jocildo Fernandes
Data de Publicação: 2016
Outros Autores: Lima, Ricardo Chaves, Silva, Igor Ézio Maciel
Tipo de documento: Artigo
Idioma: por
Título da fonte: Economia Aplicada
Texto Completo: https://www.revistas.usp.br/ecoa/article/view/117015
Resumo: This study addresses the issue of bank lending channel in Brazil, regarding its operability, and the identification of supply and demand for loans effects. To do so, we specify a stylized model that characterizes the behavior of credit supply of banks in an environment of uncertainty about future monetary policy. Subsequently, the work estimates empirical and theoretical impulse response functions, respectively from VECM and DSGE models and uses calibration techniques to obtain minimal distance parameters between these two functions (matching). The main motivation to implement this methodology is the possibility to separate the components of supply and demand for loans, which is a recurrent issue in this research field
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spelling A study on bank credit channel in Brazil: The approach of impulse response functions matchingEstudo sobre o canal de crédito bancário no Brasil: Abordagem por meio do matching das funções impulso respostaCredit ChannelVECMMonetary PolicyCanal de CréditoVECMPolítica MonetáriaThis study addresses the issue of bank lending channel in Brazil, regarding its operability, and the identification of supply and demand for loans effects. To do so, we specify a stylized model that characterizes the behavior of credit supply of banks in an environment of uncertainty about future monetary policy. Subsequently, the work estimates empirical and theoretical impulse response functions, respectively from VECM and DSGE models and uses calibration techniques to obtain minimal distance parameters between these two functions (matching). The main motivation to implement this methodology is the possibility to separate the components of supply and demand for loans, which is a recurrent issue in this research fieldO presente estudo aborda a questão do canal de crédito bancário no Brasil considerando a sua operacionalidade e a identificação dos efeitos da oferta e da demanda de empréstimos. Para tanto,especifica-se um modelo estilizado que caracteriza o comportamento da oferta de crédito dos bancos,em um ambiente de incerteza quanto à política monetária futura. Em seguida, estimam-se funções impulso resposta empíricas, obtidas de um modelo VECM, e teóricas, originadas de um modelo DSGE. Usando-se a técnica de calibragem, obtêm-se os parâmetros que determinam a distância mínima (matching) entre os dois tipos de funções em presença de um choque de política monetária. A motivação para o uso dessa metodologia é a possibilidade de separarem os componentes de demanda e de oferta de empréstimos, uma questão recorrente em estudos desta naturezaUniversidade de São Paulo, FEA-RP/USP2016-06-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ecoa/article/view/11701510.11606/1413-8050/ea137674Economia Aplicada; Vol. 20 No. 2 (2016); 245-264Economia Aplicada; Vol. 20 Núm. 2 (2016); 245-264Economia Aplicada; v. 20 n. 2 (2016); 245-2641980-53301413-8050reponame:Economia Aplicadainstname:Universidade de São Paulo (USP)instacron:USPporhttps://www.revistas.usp.br/ecoa/article/view/117015/114627Copyright (c) 2016 Economia Aplicadainfo:eu-repo/semantics/openAccessBezerra, Jocildo FernandesLima, Ricardo ChavesSilva, Igor Ézio Maciel2020-08-14T23:09:28Zoai:revistas.usp.br:article/117015Revistahttps://www.revistas.usp.br/ecoaPUBhttps://www.revistas.usp.br/ecoa/oai||revecap@usp.br1980-53301413-8050opendoar:2023-09-13T12:17:06.069141Economia Aplicada - Universidade de São Paulo (USP)false
dc.title.none.fl_str_mv A study on bank credit channel in Brazil: The approach of impulse response functions matching
Estudo sobre o canal de crédito bancário no Brasil: Abordagem por meio do matching das funções impulso resposta
title A study on bank credit channel in Brazil: The approach of impulse response functions matching
spellingShingle A study on bank credit channel in Brazil: The approach of impulse response functions matching
Bezerra, Jocildo Fernandes
Credit Channel
VECM
Monetary Policy
Canal de Crédito
VECM
Política Monetária
title_short A study on bank credit channel in Brazil: The approach of impulse response functions matching
title_full A study on bank credit channel in Brazil: The approach of impulse response functions matching
title_fullStr A study on bank credit channel in Brazil: The approach of impulse response functions matching
title_full_unstemmed A study on bank credit channel in Brazil: The approach of impulse response functions matching
title_sort A study on bank credit channel in Brazil: The approach of impulse response functions matching
author Bezerra, Jocildo Fernandes
author_facet Bezerra, Jocildo Fernandes
Lima, Ricardo Chaves
Silva, Igor Ézio Maciel
author_role author
author2 Lima, Ricardo Chaves
Silva, Igor Ézio Maciel
author2_role author
author
dc.contributor.author.fl_str_mv Bezerra, Jocildo Fernandes
Lima, Ricardo Chaves
Silva, Igor Ézio Maciel
dc.subject.por.fl_str_mv Credit Channel
VECM
Monetary Policy
Canal de Crédito
VECM
Política Monetária
topic Credit Channel
VECM
Monetary Policy
Canal de Crédito
VECM
Política Monetária
description This study addresses the issue of bank lending channel in Brazil, regarding its operability, and the identification of supply and demand for loans effects. To do so, we specify a stylized model that characterizes the behavior of credit supply of banks in an environment of uncertainty about future monetary policy. Subsequently, the work estimates empirical and theoretical impulse response functions, respectively from VECM and DSGE models and uses calibration techniques to obtain minimal distance parameters between these two functions (matching). The main motivation to implement this methodology is the possibility to separate the components of supply and demand for loans, which is a recurrent issue in this research field
publishDate 2016
dc.date.none.fl_str_mv 2016-06-01
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/ecoa/article/view/117015
10.11606/1413-8050/ea137674
url https://www.revistas.usp.br/ecoa/article/view/117015
identifier_str_mv 10.11606/1413-8050/ea137674
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://www.revistas.usp.br/ecoa/article/view/117015/114627
dc.rights.driver.fl_str_mv Copyright (c) 2016 Economia Aplicada
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2016 Economia Aplicada
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
dc.source.none.fl_str_mv Economia Aplicada; Vol. 20 No. 2 (2016); 245-264
Economia Aplicada; Vol. 20 Núm. 2 (2016); 245-264
Economia Aplicada; v. 20 n. 2 (2016); 245-264
1980-5330
1413-8050
reponame:Economia Aplicada
instname:Universidade de São Paulo (USP)
instacron:USP
instname_str Universidade de São Paulo (USP)
instacron_str USP
institution USP
reponame_str Economia Aplicada
collection Economia Aplicada
repository.name.fl_str_mv Economia Aplicada - Universidade de São Paulo (USP)
repository.mail.fl_str_mv ||revecap@usp.br
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