Identification of Monetary Policy Shocks in the Brazilian Market for Bank Reserves
We estimate an identified VAR (SVAR) with contemporaneous restrictions derived from a model of the market for bank reserves, which allows us to disentangle monetary policy shocks from demand shocks for reserves in Brazil. The main results are: i) the Central Bank of Brazil acts in order to smooth the bank reserve market interest rate (Selic); ii) the spread between the Selic rate and the discount rate provides information to estimate the demand curve for borrowed reserves; iii) overidentifying restrictions show that we cannot reject, for any period or model, the interest rate operational target hypothesis, even during the fixed exchange rate regime; iv) the impulse response functions show that shocks to the demand for reserves and to borrowed reserves generate statistically significant responses in real output and the inflation rate; v) all models display the liquidity effect and a small inflation rate puzzle.
Year of publication: |
2007-12
|
---|---|
Authors: | Sales, Adriana Soares ; Tannuri-Pianto, Maria |
Institutions: | Central Bank of Brazil, Research Department |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Some Financial Stability Indicators for Brazil
Sales, Adriana Soares, (2012)
-
Silva, Luiz A. Pereira da, (2012)
-
Coping with a Complex Global Environment: a Brazilian perspective on emerging market issues.
Sales, Adriana Soares, (2012)
- More ...