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Artigos • Rev. econ. contemp. 18 (2) • May-Aug 2014 • https://doi.org/10.1590/141598481826   copy

The effects of monetary policy on brazilian product: empirical evidence using signs restrictions

Authorship SCIMAGO INSTITUTIONS RANKINGS

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)UHLIG, H. The robustness of identified VAR conclusions about money. A comment. Carnegie Rochester Series in Public Economics, n. 49, p. 245-263, 1998. , 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.

Vector Autoregression; monetary policy shocks; identification

Instituto de Economia da Universidade Federal do Rio de Janeiro Avenida Pasteur, 250 sala 114, Palácio Universitário, Instituto de Economia, 22290-240 Rio de Janeiro - RJ Brasil, Tel.: 55 21 3938-5242 - Rio de Janeiro - RJ - Brazil
E-mail: rec@ie.ufrj.br
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