2013
DOI: 10.1590/s0034-71402013000400006
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Um Termômetro para as Macro-Prudenciais

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Cited by 8 publications
(11 citation statements)
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“…In particular, we compare impulse response functions of several variables to technology and monetary policy shocks (which we add to the model for this exercise only) around two steady states: One with low and the other with high levels of credit. 15 In the first steady state, we calibrate τ W L = 0.28 to match the ratio of individual noncollateralized credit to GDP of 4 percent, τ S = 0.07 to match the ratio of individual collateralized credit to GDP of two percent, and τ K = 0.031 to match the ratio of firm credit to GDP of 9 percent. These figures correspond to the amount of credit we observe in the Brazilian economy at the beginning of 2004 (see Figure 3), when the credit deepening process described above arguably started.…”
Section: The Propagation Of Shocks In High-and Low-credit Economiesmentioning
confidence: 99%
“…In particular, we compare impulse response functions of several variables to technology and monetary policy shocks (which we add to the model for this exercise only) around two steady states: One with low and the other with high levels of credit. 15 In the first steady state, we calibrate τ W L = 0.28 to match the ratio of individual noncollateralized credit to GDP of 4 percent, τ S = 0.07 to match the ratio of individual collateralized credit to GDP of two percent, and τ K = 0.031 to match the ratio of firm credit to GDP of 9 percent. These figures correspond to the amount of credit we observe in the Brazilian economy at the beginning of 2004 (see Figure 3), when the credit deepening process described above arguably started.…”
Section: The Propagation Of Shocks In High-and Low-credit Economiesmentioning
confidence: 99%
“…where c t is aggregate consumption, l t is labor, r t is nominal interest rate, π t is inflation, and ε b , because it affects the effective interest rate (for details and some micro-foundations, see Kanczuk, 2013), can be thought of a credit shock over households. The parameter σ h measures habit persistency, σ c governs intertemporal substitution elasticity, and w steady , l steady , and c steady are steady state values of wage, labor, and consumption, respectively.…”
Section: Modelmentioning
confidence: 99%
“…This paper seeks to provide evidence of such shocks for Brazil, in light of the increasing research on this topic for other countries. Empirical works for Brazil employing the same methodology of this paper are unavailable, with somehow related studies for the credit market relying on the DSGE methodology (KANCZUK, 2013;CARVALHO et al 2018). Other studies of credit markets for Brazil have focused on the bank lending channel of monetary policy, as in Souza Sobrinho (2003), Takeda et al (2005), Oliveira and Neto (2008), Mello and Pisu (2010), Coelho et al (2010) and Ramos-Tallada (2015).…”
Section: Introductionmentioning
confidence: 99%