The monetary transmission mechanism in Brazilevidence from a var analysis

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.

Ficha do documento

Tipo

Artigo científico

Ano

2008

Instituição

Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária

Fonte

Estudos Econômicos

Idioma

Inglês

Acesso

Não informado

DOI

10.1590/S0101-41612008000100001

Identificador

oai:revistas.usp.br:article/35938

Licença

http://creativecommons.org/licenses/by-nc/4.0

Palavras-chave

política monetáriamecanismo de transmissão monetáriaBrasilmonetary policymonetary transmission mechanismBrazil