O mecanismo de transmissão da política monetária no Brasil: uma análise em VAR por setor industrial

Abstract

Este artigo analisa o impacto de choques monetários nas principais variáveis macroeconômicas e no produto de setores industriais, no Brasil, entre 1999 e 2008. É utilizada a metodologia de modelos VAR, pela abordagem de Toda & Yamamoto (1995), e funções de impulso-resposta. Verificou-se robustez dos modelos e efetividade da política monetária no período. Os setores industriais respondem negativamente à política monetária exógena, mas com diferença no nível do efeito. Os setores de bens de consumo duráveis apresentam a maior resposta, os de bens de demanda industrial uma reação intermediária, e o de bens de consumo não duráveis a menor resposta.<br>This paper aims to analyze the impact of monetary shocks on main macroeconomic and industrial disaggregated production variables, between 1999 and 2008, in Brazil. We used the VAR methodology, developed by Toda & Yamamoto (1995), and formulation of impulse-response functions. Results show robustness of the models, and effectiveness o monetary policy over the period. Industrial sectors respond negatively to exogenous monetary policy, but show difference on the effect level. Durable goods sectors show the highest response to monetary policy, industrial demand goods sectors have an intermediary reaction, and nondurable goods sector shows the less significant response

Fiscal costs of monetary policy: indirect effects of an interest rate shock on Brazilian public net debt

“…After selecting the order of the vector autoregression with all variables in first differences, we have generated cumulative impulse response functions for a cholesky one standard deviation shock in the SeLIc policy rate. The ordering adopted is similar to the ones verified in christiano et al (1999), Minella (2003), Dedola and Lippi (2005) and Tomazzia and Meurer (2009): industrial production, inflation rate, SeLIc and exchange rate. The rationale for the ordering is that the proxy for the output (industrial production) does not contemporaneously respond to the other variables (and rather affects them) because the level of production is decided before the production takes place; the price level (or in our model the inflation rate) may be affected contemporaneously by current demand and production, while under normal circumstances the exchange rate and the SeLIc only affect it after a time lapse; the SeLIc rate for instance is decided on a regular basis and the central bank has good indicators for assessing the current level of production and prices and then set the base interest rate; and finally the exchange rate is a high-frequency data that is potentially affected contemporaneously by all the information set.…”

Análise dos efeitos da política monetária sobre a atividade econômica no estado de Minas Gerais

“…O segundo modelo teórico de transmissão monetária é o do canal do crédito, pelo qual a política monetária afeta a oferta de crédito e a capacidade dos bancos de financiar a atividade econômica. Tomazzia e Meurer (2009) e Fuinhas (2002) demonstram que o funcionamento desde canal está baseado nas imperfeições do mercado financeiro. Fuinhas (2002) argumenta também que para a existência do canal do crédito devem existir duas condições.…”

Credibility and Monetary Policy under Inflation Targeting

“…However, in the case of the Brazilian economy, for example, consumer participation in the stock market is negligible, which makes the transmission mechanism of little importance in Brazil (Tomazzia and Meurer, 2009). According to Mishkin (2007), "Fluctuations in the stock market, which are influenced by monetary policy, have a significant impact on the overall economy.…”