A transmissão da taxa de juros no Brasil sob uma abordagem não linear

• Autores: Jean Vinícius Marçal, Claudio Roberto Fóffano Vasconcelos, Silvinha Pinto Vasconcelos
• Localización: Nova Economia, ISSN 0103-6351, Año 30, Nº. 1, 2020, págs. 177-201
• Idioma: portugués
• DOI: 10.1590/0103-6351/4691
• Títulos paralelos:
  • The interest rate pass-through in Brazil under a nonlinear approach
• Enlaces
  • Texto completo
• Resumen
  • português

    Resumo O trabalho objetivou analisar o mecanismo de transmissão da política monetária para a taxa de juros de varejo na economia brasileira em uma abordagem não linear. O período de análise foi de março de 2011 a março de 2016. A estratégia empírica consistiu no emprego da abordagem de política monetária para o repasse e do uso do modelo de cointegração não linear, NARDL. Os principais resultados são que para as taxas de empréstimos analisadas encontrou-se evidência da assimetria de curto e longo prazos no repasse da taxa SELIC, bem como o predomínio do sobrerrepasse.

  • English

    Abstract This paper aims to analyze interest rate pass-through mechanism from SELIC to retail interest rate in the Brazilian economy in a nonlinear framework. The review period was from March 2011 to March 2016. The empirical strategy consists in the use of monetary policy approach to interest rate pass-through and use of nonlinear cointegration model NARDL. The main results are that exist evidence of short as well as long-term asymmetry in the interest rate pass-through. We can also conclude that the interest rate pass-through is characterized by the predominance of the more complete pass-through.

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