Política monetária e taxa de câmbio em uma pequena economia aberta: uma análise empírica para o Brasil [Monetary policy and exchange rate in a small open economy: an empirical analysis for Brazil]

Andreza Palma ()

Nova Economia, 2017, vol. 27, issue 2, 119-155

Abstract: The objective of this study is to verifyhow monetary policy responds to exchange rate shocks in Brazil underinflation targeting regime, by considering thetwo-way relationship between these variables (monetary policy and exchange rate).Following Bjørnland and Halvorsen (2014), we estimate a structural VAR model that is identified by a combination of sign and short-term (zero) restrictions (Cholesky-sign decomposition). The results obtained show that there is an important and significant response of monetary policy to exchange rate shocks. The response of monetary policy is immediate, which leads us to conclude that neglecting the contemporary interaction between these variables may lead to inaccurate results.Furthermore, there was no significant evidence of any puzzle in response of the exchange rate and inflation to monetary policy shocks.

Keywords: Structural VAR; monetary policy; exchange rate shocks; Cholesky-sign decomposition; small open economy (search for similar items in EconPapers)
JEL-codes: C32 E31 H62 (search for similar items in EconPapers)
Date: 2017
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