Monetary policy, inflation and the level of economic activity in Brazil after the Real Plan: stylized facts from SVAR models

Céspedes, Brisne J. V.; Lima, Elcyon Caiado Rocha; Maka, Alexis

doi:10.1590/s0034-71402008000200001

Cited by 17 publications

(16 citation statements)

References 45 publications

(11 reference statements)

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“…Esta opção está baseada nos achados de Sims et al (1990), que mostram que em modelos autoregressivos, os resultados de testes em nível são assintoticamente consistentes. Ademais, esta suposição vem sendo adotada por estudos de várias economias, como os de Bernanke e Gertler (1995) (EUA), Dedola & Lippi (2005) (países desenvolvidos) e Céspedes et al (2008) (Brasil).…”

Section: Evidências Empíricas Do Mecanismo De Transmissão No Brasil Dunclassified

O Regime de Metas Inflacionárias: Teoria e Evidências no Brasil 2002-2008

Rabelo¹

2013

Eco.Reg.

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Section: Evidências Empíricas Do Mecanismo De Transmissão No Brasil Dunclassified

O Regime de Metas Inflacionárias: Teoria e Evidências no Brasil 2002-2008

Rabelo¹

2013

Eco.Reg.

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“…Swanson and Granger (1997) were the first to apply graphical models to identify contemporaneous causal order of a SVAR, followed by Bessler and Lee (2002), Demiralp and Hoover (2003) and Céspedes et al (2008) [CLM]. The last three articles adopt a procedure that uses statistical properties of the sample -more specifically, conditional independence relations between the variables to select overidentifying restrictions to estimate structural VARs.…”

Section: Identification Of Svarsmentioning

confidence: 99%

“…Uncovering some stylized facts about short-run fluctuations of the Brazilian economy after the Real Plan, Céspedes et al (2008) [CLM] find that not only do unanticipated movements of the exchange rate have large inflationary effect, but also large real effects. This suggests that the exchange rate is an important component in any model aimed at explaining the behavior of the Brazilian economy after the Real Plan.…”

Section: Introductionmentioning

confidence: 99%

Monetary Policy and Exchange Rate Shocks in Brazil: Sign Restrictions versus A New Hybrid Identification Approach

Lima¹,

Maka²,

Alves³

2011

Brazilian Review of Econometrics

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This paper analyzes the impacts of monetary policy, exchange rate, demand, and supply exogenous disturbances on the Brazilian economy using a structural vector autoregression model identified by two alternative methodologies. The first uses sign restrictions on impulse responses based on an open-economy macroeconomic model. The second (hybrid) is a new methodology that combines the first one with restrictions on the contemporaneous causal interrelationships among variables, derived by directed acyclic graphs.A comparison of the results shows that while the effects of exchange rate shocks are nearly the same, the effects of monetary policy shocks depend on the methodology adopted. There is a strong response of the exchange rate to demand shocks and to shocks originating in the foreign exchange market. Exchange rate shocks have an important role in explaining short-run fluctuations of prices and output. We conclude that the exchange rate is an independent source of shocks and a shock absorber.

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“…O trabalho relaciona-se a um vasto e diversificado corpo de literatura produzida no exterior e no Brasil e o faz de várias formas: pelo uso do VAR, vincula-se aos trabalhos seminais de Sims (1972de Sims ( , 1980de Sims ( , 1986, Bernanke e Blinder (1992); e, aqui no Brasil, aos de Minella (2001), Luporini (2008), Sales e Pianto (2007), Catão e Pagan (2009), Teles (2006), Céspedes et al (2008). Por enfatizar a restrição de sinais, tem a ver com Faust (1998), Canova e De Nicoló (2002), Canova e Pina (1999) 5 e, na medida em que essa restrição de sinais é por tempo limitado, vincula-se aos trabalhos de Uhlig (1998Uhlig ( , 2005.…”

Section: Introductionunclassified

Os efeitos da política monetária sobre o produto no Brasil: evidência empírica usando restrição de sinais

Bezerra

Silva²,

Lima³

2014

Rev. econ. contemp.

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Bezerra, J. F.; SILVA, I., É., M.; LIMA, R., C. os efeitos da política monetária sobre o produto no brasil: evidência empírica usando restrição de THE EFFECTS OF MONETARY POLICY ON BRAZILIAN PRODUCT: EMPIRICAL EVIDENCE USING SIGNS RESTRICTIONSABSTRACT: This study aims to examine the effects of monetary policy shocks on quarterly GDP and monthly industrial production in Brazil, from 1995 to 2010. The method employed was Vectors Autoregression (VAR), as proposed by Uhlig (2005), which allows the dynamics of GDP and industrial production to freely adjust to the remaining variables' sign restrictions. The results show that shocks to the monetary policy variable produce effects of greater intensity when compared to previous studies. The historical variance decomposition shows that shocks have kept GDP below its trend during the period 1996-2002, whereas in the case of industrial product, this pattern occurs throughout the entire studying period.

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Monetary policy, inflation and the level of economic activity in Brazil after the Real Plan: stylized facts from SVAR models

Cited by 17 publications

References 45 publications

O Regime de Metas Inflacionárias: Teoria e Evidências no Brasil 2002-2008

O Regime de Metas Inflacionárias: Teoria e Evidências no Brasil 2002-2008

Monetary Policy and Exchange Rate Shocks in Brazil: Sign Restrictions versus A New Hybrid Identification Approach

Os efeitos da política monetária sobre o produto no Brasil: evidência empírica usando restrição de sinais

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