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

Abstract

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.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 30 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.