O mecanismo de transmissão monetária na economia brasileira pós-Plano Real

Resumo

This paper estimates the monetary transmission mechanism in Brazil as from the Real Plan using a cointegrated VAR model for real money stock, real output, inflation, short- and long-term interest rates. To provide a structural interpretation to the resulting dynamic system, we identify the cointegrating vectors through equilibrium relationships derived from macroeconomic theory. The empirical results evince that the real money stock is a stochastic common trend of the system and that there are three long-run relationships. The first corresponds to the IS curve, establishing a negative relation between the real output gap and the real interest rate. The second cointegrating vector determines the level of international reserves as a function of money velocity, inflation, short- and long-term interest rates. The third cointegrating relationship identifies the monetary reaction rule that the Brazilian Central Bank uses to set the target interest rate (SELIC). Finally, the short-run dynamics implied by the VECM representation and the results of the impulse-response analysis demonstrate that the model fits well the data.

Ficha do documento

Tipo

Artigo científico

Ano

2005

Instituição

Fundação Getúlio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

DOI

10.1590/S0034-71402005000100001

Identificador

oai:repositorio.fgv.br:10438/21334

Temas

Economia

Palavras-chave

Análise de cointegraçãoCurva ISDeterminação de reservasPolítica monetáriaRegra de reação do Banco CentralEconomiaPolítica monetária - BrasilReforma monetária - Brasil