Mecanismo de transmissão da política monetária: Canal do crédito na economia brasileira – Uma abordagem com VAR clássico e bayesiano

Felipe Vieira Passos () and Roberto Meurer ()
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Felipe Vieira Passos: Universidade Católica de Brasília (UCB)
Roberto Meurer: Universidade Federal de Santa Catarina (UFSC)

Revista de Economia Mackenzie (REM), 2022, vol. 19, issue 2, 188-229

Abstract: This article presents a new contribution to the economic literature, through the analysis of the impact of monetary shocks in the main macroeconomic varia-bles and in the credit market, in Brazil, between 2011 and 2020. Three method-ologies of VAR models are used, classical (in the structural and reduced form), and bayesian (in reduced form). The results indicate that after the positive shock in the bank spread, the product moves rapidly in the first months in the negative direction, suggesting that the basic interest rate spreads to the credit market. Through the impulse-response functions, what is perceived is the little influence of the Selic rate on product and price variables. On the contrary, they influence the interest rate, which may indicate a reaction from Central Bank and expectations to changes in the main economic variables. As for credit, it does not seem to in-fluence most variables.

Keywords: monetary transmission mechanism; credit channel; classical VAR; Bayesian VAR; Central Bank. (search for similar items in EconPapers)
JEL-codes: C32 E44 E51 E52 G28 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:aft:journl:v:19:2:2022:jul:dec:p:188-229

DOI: 10.5935/1808-2785/rem.v19n2p.188-229

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