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https://locus.ufv.br//handle/123456789/21727
Tipo: | Artigo |
Título: | Monetary policy and transmission mechanism in Brazil: an empirical model |
Autor(es): | Corrêa, Wilson Luiz Rotatori Caetano, Sidney Martins |
Abstract: | 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. |
Palavras-chave: | Monetary policy VAR Cointegration Brazil |
Editor: | Empirical Economics |
Tipo de Acesso: | Springer-Verlag |
URI: | https://doi.org/10.1007/s00181-012-0610-4 http://www.locus.ufv.br/handle/123456789/21727 |
Data do documento: | Ago-2013 |
Aparece nas coleções: | Artigos |
Arquivos associados a este item:
Arquivo | Descrição | Tamanho | Formato | |
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artigo.pdf Until 2100-12-31 | Texto completo | 361,37 kB | Adobe PDF | Visualizar/Abrir ACESSO RESTRITO |
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