IDEAS home Printed from https://ideas.repec.org/a/nov/artigo/v30y2020i1p177-201.html
   My bibliography  Save this article

A transmissão da taxa de juros no Brasil sob uma abordagem não linear [The interest rate pass-through in Brazil under a nonlinear approach]

Author

Listed:
  • Jean Vinícius Marçal

    (UFJF)

  • Claudio Roberto Fóffano Vasconcelos

    (UFJF)

  • Silvinha Pinto Vasconcelos

    (UFJF)

Abstract

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.

Suggested Citation

  • Jean Vinícius Marçal & Claudio Roberto Fóffano Vasconcelos & Silvinha Pinto Vasconcelos, 2020. "A transmissão da taxa de juros no Brasil sob uma abordagem não linear [The interest rate pass-through in Brazil under a nonlinear approach]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 30(1), pages 177-201, January-A.
    • Handle: RePEc:nov:artigo:v:30:y:2020:i:1:p:177-201
    as

    Download full text from publisher

    File URL: https://www.scielo.br/pdf/neco/v30n1/1980-5381-neco-30-01-0177.pdf
    Download Restriction: no
    File URL: https://www.scielo.br/scielo.php?script=sci_arttext&pid=S0103-63512020000100177&lng=en&nrm=iso&tlng=pt
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    transmissão da taxa de juros; modelo autorregressivo de defasagem distribuída não linear; política monetária;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nov:artigo:v:30:y:2020:i:1:p:177-201. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Lucas Resende de Carvalho (email available below). General contact details of provider: https://edirc.repec.org/data/fufmgbr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.