Macroeconomic uncertainty and monetary policy transmission in Brazil: a TVAR approach

IF 1.4 Q3 ECONOMICS

International Review of Applied Economics Pub Date : 2023-07-04 DOI:10.1080/02692171.2023.2240241

Luckas Sabioni Lopes, Wilson Luiz Rotatori Corrêa

引用次数: 1

Abstract

ABSTRACT This article assesses the impact of uncertainties on the effectiveness of monetary policy in Brazil after the adoption of the inflation-targeting regime. We employ the methodology of autoregressive vectors with an endogenous threshold (TVAR) with a general uncertainty indicator (IGI), proposed as a linear combination of four existing proxies for the Brazilian context. The sample covers 2003 to June 2022 at a monthly frequency. The results show the IGI variable has the highest degree of correlation with economic recessions in the country among all the analysed indicators. Moreover, in regimes of high uncertainty, the responses of the output gap, inflation, and inflationary expectations to interest rate shocks are severely reduced. Therefore, we conclude that an increase in macroeconomic uncertainties can reduce the effectiveness of monetary policy in Brazil.

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巴西宏观经济的不确定性与货币政策传导：TVAR方法

摘要本文评估了在采用通胀目标制后，不确定性对巴西货币政策有效性的影响。我们采用了具有内生阈值的自回归向量（TVAR）和一般不确定性指标（IGI）的方法，该方法是巴西背景下四个现有代理的线性组合。样本涵盖2003年至2022年6月，每月一次。结果显示，在所有分析指标中，IGI变量与该国经济衰退的相关性最高。此外，在高度不确定性的制度中，产出缺口、通货膨胀和通货膨胀预期对利率冲击的反应会严重降低。因此，我们得出结论，宏观经济不确定性的增加会降低巴西货币政策的有效性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Applied Economics ECONOMICS-

CiteScore

4.30

自引率

4.50%

发文量

期刊介绍： International Review of Applied Economics is devoted to the practical applications of economic ideas. Applied economics is widely interpreted to embrace empirical work and the application of economics to the evaluation and development of economic policies. The interaction between empirical work and economic policy is an important feature of the journal. The Journal is peer reviewed and international in scope. Articles that draw lessons from the experience of one country for the benefit of others, or that seek to make cross-country comparisons are particularly welcomed. Contributions which discuss policy issues from theoretical positions neglected in other journals are also encouraged.