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

Jean Vinícius Marçal; Claudio Roberto Fóffano Vasconcelos; Silvinha Pinto Vasconcelos

The interest rate pass-through in Brazil under a nonlinear approach

Authors

Jean Vinícius Marçal Federal University of Juiz de Fora https://orcid.org/0000-0003-2233-5840
Claudio Roberto Fóffano Vasconcelos Federal University of Juiz de Fora http://orcid.org/0000-0003-4947-9895
Silvinha Pinto Vasconcelos Federal University of Juiz de Fora https://orcid.org/0000-0002-2950-3854

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.

Author Biographies

Jean Vinícius Marçal, Federal University of Juiz de Fora

Mestre pelo Programa de Pós Graduação em Economia – PPGE da Faculdade de Economia da UFJF

Claudio Roberto Fóffano Vasconcelos, Federal University of Juiz de Fora

Prof. do Programa de Pós Graduação em Economia da UFJF.

Silvinha Pinto Vasconcelos, Federal University of Juiz de Fora

Profa. do Programa de Pós Graduação em Economia da UFJF.

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Published

2020-06-10

How to Cite

MARÇAL, J. V.; VASCONCELOS, C. R. F.; VASCONCELOS, S. P. The interest rate pass-through in Brazil under a nonlinear approach. Nova Economia, [S. l.], v. 30, n. 1, p. 177–201, 2020. Disponível em: https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4691. Acesso em: 17 jul. 2024.

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Issue

Vol. 30 No. 1 (2020)

Section

Regular Issue

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