O crédito como mecanismo de transmissão da política monetária: aspectos teóricos e evidências empíricas para o Brasil [Credit as a transmission mechanism for monetary policy: theoretical aspects and empirical evidence for Brazil]

Mateus Abrita, Angelo Rondina Neto, Luma de Oliveira and Eliane Araujo
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Luma de Oliveira: UFRGS

Nova Economia, 2014, vol. 24, issue 2, 225-242

Abstract: This paper analyzes the operability and efficiency of the credit channel as a transmission mechanism for monetary policy in Brazil, during the period of January, 2001 to September, 2011. To this end, two IS equations were estimated, with different specifications for the actual interest rate – with and without credit – in order to measure the intensity and timing of response of variations on the product’s interest rate. In this effort, the model of vector error correction (VEC) was used as a methodology. Results for the two equations confirm the effectiveness of the credit channel in Brazil, because it is noted that, by including the credit variable, the negative effects of a shock in the actual interest rate on the product are more severe and affect it more quickly than without considering the that variable

Keywords: monetary policy; credit channel; vector of error correction (VEC) (search for similar items in EconPapers)
JEL-codes: E00 E50 E52 (search for similar items in EconPapers)
Date: 2014
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