The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach

Luis Catão () and Adrian Pagan
Additional contact information
Luis Catão: IDB, IMF
Authors registered in the RePEc Author Service: Luís A.V. Catão ()

No 53, NCER Working Paper Series from National Centre for Econometric Research

Abstract: We use an expectation-augmented SVAR representation of an open economy New Keynesian model to study monetary transmission in Brazil and Chile. The underlying structural model incorporates key structural features of Emerging Market economies, notably the role of a bank-credit channel. We find that interest rate changes have swifter effects on output and inflation in both countries compared to advanced economies and that exchange rate dynamics plays an important role in monetary transmission, as currency movements are highly responsive to changes in in policy-controlled interest rates. We also find the typical size of credit shocks to have large effects on output and inflation in the two economies, being stronger in Chile where bank penetration is higher.

Keywords: Monetary Policy; Bank Credit; VAR; Brazil; Chile (search for similar items in EconPapers)
JEL-codes: C51 E31 E52 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2010-03-10
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.ncer.edu.au/papers/documents/WPNo53.pdf (application/pdf)

Related works:
Chapter: The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach (2011)
Working Paper: The Credit Channel and Monetary Transmission in Brazil and Chile: A Structural VAR Approach (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:qut:auncer:2009_66

Access Statistics for this paper

More papers in NCER Working Paper Series from National Centre for Econometric Research Contact information at EDIRC.
Bibliographic data for series maintained by School of Economics and Finance ( this e-mail address is bad, please contact ).