1.

Record Nr.

UNINA9910463615803321

Autore

Catão Luis

Titolo

Monetary transmission in an emerging targeter : the case of Brazil / / Luis Catão, Douglas Laxton, and Adrian Pagan

Pubbl/distr/stampa

Stuttgart, Germany : , : International Monetary Fund, , 2008

©2008

ISBN

1-4623-7597-9

1-4527-7834-5

9786612841422

1-282-84142-4

1-4518-7049-3

Descrizione fisica

1 online resource (44 p.)

Collana

IMF Working Papers

IMF working paper ; ; WP/08/191

Altri autori (Persone)

LaxtonDouglas

PaganAdrian

Disciplina

332.410981

Soggetti

Inflation (Finance) - Brazil - Econometric models

Transmission mechanism (Monetary policy) - Brazil - Econometric models

Monetary policy - Brazil - Econometric models

Electronic books.

Lingua di pubblicazione

Inglese

Formato

Materiale a stampa

Livello bibliografico

Monografia

Note generali

Description based upon print version of record.

Nota di bibliografia

Includes bibliographical references.

Nota di contenuto

Contents; I. Introduction; II. Existing Evidence on Brazil; III. The Structural Model; IV. SVAR Representation; V. Producing Gap Measures; VI. The Brazilian Data Set; VII. SVAR Estimates; VIII. Conclusion; References; Appendix: Derivation of External Liability Equation; Figures; 1. Brazil: Monetary and Price Indicators; 2. Brazil: Output Indicators; 3. Brazil: External Indicators; 4. Brazil: Financial Indicators; 5. BN- and HP-filter Gaps; 6. Impulse-Responses to 100 bp Monetary Tightening, 1999q2:2:007q (in percent); 7. Impulse-Responses to 1% Credit Growth Shock, 1999q2:2007q (in percent)

8. Impulse-Responses to 100 bp Monetary Tightening with HP Gap Measures, 1999:2-2007Q (in percent)9. Impulse-Responses to 100 bp Monetary Tightening, 2001q2-2007q (in percent); 10. Impulse-



Responses to 1% Credit Growth Shock, 2001q2-2007q (in percent); 11. Recursive Coefficient Estimates of Output Gap in Inflation Equation

Sommario/riassunto

This paper lays out a structural model that incorporates key features of monetary transmission in typical emerging-market economies, including a bank-credit channel and the role of external debt accumulation on country risk premia and exchange rate dynamics. We use an SVAR representation of the model to study the monetary transmission in Brazil. We find that interest rate changes have swifter effects on output and inflation compared to advanced economies and that exchange rate dynamics plays a key role in this connection. Importantly, the response of inflation to monetary policy shocks has gro