Asymmetric effects of monetary policy in Brazil

Aragón, Edilean Kleber da Silva Bejarano; Portugal, Marcelo Savino

doi:10.1590/s0101-41612009000200002

Cited by 6 publications

(4 citation statements)

References 30 publications

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“…Aragón and Portugal (2009) [ 35 ] check whether the effects of monetary policy actions on output in Brazil were asymmetric. For this, they estimated Markov-switching models allowing for positive and negative shocks to affect the growth rate of output in an asymmetric fashion in expansion and recession states.…”

Section: Empirical Analysis Of the Political Cycle On The Taylor Rules In South Americamentioning

confidence: 99%

Taylor’s rule, political cycle, and Latin America—An analysis of time series in search of responsibility for monetary stabilization

Oliveira

Mourão

2021

PLoS ONE

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The decades before 1990 were dramatic for Latin American economies. However, from 1990 onwards, a set of policies followed by the various states in the region acheived economic stabilization with real income recovery. The attribution of this success has been disputed by politicians, economists and officials from international economic support institutions. This work will analyze the responsibility for this success in 4 economies in the region (Brazil, Colombia, Mexico and Peru). Through the combined analysis of ARDL, Markov states and structural breaks, we highlight different sources of responsibility in different periods. Additionally, detailing the states of each regime, we verify the duration of the regimes related to inflation rates and to interest rates in the region. We identify specific governments as associated with moments of economic stabilization in the region, so the hypothesis of the political cycle cannot be rejected for the set of results achieved. As policy implication, we claim that Taylor rules are endogenous to Political Budget Cycles and so stabilization plans are restricted to political tenures.

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Section: Empirical Analysis Of the Political Cycle On The Taylor Rules In South Americamentioning

confidence: 99%

Taylor’s rule, political cycle, and Latin America—An analysis of time series in search of responsibility for monetary stabilization

Oliveira

Mourão

2021

PLoS ONE

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“…In a more recent paper, Tenreyro and Thwaites (2013) also suggest that monetary policy transmission has asymmetric effects, with the authors finding a greater effect on output (and inflation) in an expansion. Dolado, Maria-Dolores, and Ruge-Murcia (2005); Peersman and Smets (2001); Aragón and Portugal (2009); and, more recently, Barigozzi et al (2014) have also investigated the topic of asymmetric monetary policy in eurozone economies. Despite these studies, across advanced economies, no real consensus has been reached in this area of research.…”

Section: Literature Reviewmentioning

confidence: 99%

“…This technique has been used extensively to examine monetary policy transmission in advanced economies such as the United Kingdom, the US, and the eurozone. Dolado, Maria-Dolores, and Ruge-Murcia (2005); Peersman and Smets (2001); and Aragón and Portugal (2009) have all carried out similar studies for advanced economies, but the technique has seldom been applied to the PRC or other emerging market economies. This gives us a unique opportunity to examine any asymmetry or nonlinearity in the PRC's monetary policy transmission channel.…”

Section: Markov Switching Modelmentioning

confidence: 99%

Examining Monetary Policy Transmission in the People's Republic of China–Structural Change Models with a Monetary Policy Index

Egan

Leddin

2016

Asian Development Review

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This paper estimates augmented versions of the Investment-Saving curve for the People's Republic of China in an attempt to examine the relationship between monetary policy and the real economy. It endeavors to account for any structural break, nonlinearity, or asymmetry in the transmission process by estimating a breakpoint model and a Markov switching model. The Investment-Saving curve equations are estimated using a Monetary Policy Index, which has been calculated using the Kalman filter. This index will account for the various monetary policy tools, both quantitative and qualitative, that the People's Bank of China has used over the period 1991-2014. The results of this paper suggest that monetary policy has an asymmetric affect depending on the level of output in relation to potential, and that the People's Republic of China's exchange rate policy has restricted the effectiveness of the People's Bank of China's monetary policy response.

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“…Finally, we also assess whether the IRPT depends on the phases of the business cycle. In the literature, various studies have noted that the effect of monetary policy is asymmetric with regard to the phases of the business cycle (Aragon & Portugal, 2009). The impact of monetary policy on output is more substantial during the recession in the U.S., Germany, French, Spain, Austria, and Belgium (Garcia & Schaller, 2002;Dolado & Maria-Dolores, 2006;Peersman & Smets, 2001;Kaufmann, 2002).…”

Section: Introduction 11 Backgroundmentioning

confidence: 99%

Policy Rates Pass-Through in Indonesia’s Dual Banking System: Does Business Cycle Matter?

Triwibowo

Oktaviani²,

Ginanjar

et al. 2022

JIMF

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This paper examines the pass-through of the policy rate to conventional and Islamic bank rates during the recessionary and expansionary episodes for the case of Indonesia. Applying an error-correction modelling to monthly data from June 2014 to April 2021, our findings confirm that the interest rate pass-through is sensitive to the business cycle for both conventional and Islamic banks. The policy rate pass-through to deposit rates is higher during the recession for both banking types. We also note that the lending rates of conventional banks fully adjust to the policy rate in the recessionary phase. The findings for Islamic financing rates are interesting. Namely, they tend to move inversely with the policy rates during the expansionary period. Meanwhile, depending on the rates, they are either over-responsive or less responsive during the recessionary phase. Finally, the degree of short-run adjustment in most banking rates is not influenced by the business cycle. These findings suggest that Islamic banking rates are less synchronized to the monetary policy rate, indicating that sharia-based banking barely supports counter-cyclical monetary policy.

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Asymmetric effects of monetary policy in Brazil

Cited by 6 publications

References 30 publications

Taylor’s rule, political cycle, and Latin America—An analysis of time series in search of responsibility for monetary stabilization

Taylor’s rule, political cycle, and Latin America—An analysis of time series in search of responsibility for monetary stabilization

Examining Monetary Policy Transmission in the People's Republic of China–Structural Change Models with a Monetary Policy Index

Policy Rates Pass-Through in Indonesia’s Dual Banking System: Does Business Cycle Matter?

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