Analysing monetary policy's transmission mechanisms through effective and expected interest rates: An application of MS-models, Bayesian VAR and cointegration approaches for Brazil
This work applies Markov-switching models, a Bayesian vector autoregressive (BVAR) and Cointegration approach to verify the empirical relationships between expected and effective short-term interest rates in Brazil. The main results corroborate the theoretical notion that the Central Bank can smooth...
Saved in:
Main Authors: | , , |
---|---|
Format: | Article |
Language: | English |
Published: |
Inderscience Publishers
2014
|
Online Access: | http://www.scopus.com/inward/record.url?eid=2-s2.0-84905221862&partnerID=40&md5=b4c7ee21b33651894036077dd23aec2c http://cmuir.cmu.ac.th/handle/6653943832/37577 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Chiang Mai University |
Language: | English |
id |
th-cmuir.6653943832-37577 |
---|---|
record_format |
dspace |
spelling |
th-cmuir.6653943832-375772014-12-09T05:48:14Z Analysing monetary policy's transmission mechanisms through effective and expected interest rates: An application of MS-models, Bayesian VAR and cointegration approaches for Brazil Moreira R.R. Chaiboonsri C. Chaitip P. This work applies Markov-switching models, a Bayesian vector autoregressive (BVAR) and Cointegration approach to verify the empirical relationships between expected and effective short-term interest rates in Brazil. The main results corroborate the theoretical notion that the Central Bank can smooth adjustments in effective short-term interest rates, as the latter affect expected short-term rates, thereby influencing long-term interest rates, which are fundamental for controlling output activity and price changes. Moreover, the MS-models show that these empirical relationships are more significant under a 'higher response regime'. In turn, the BVAR test yields impulseresponse functions showing that shocks in expected rates have more persistent impacts on effective rates than the latter have on the former. Finally, the Cointegration and Vector Error Correction approaches are used as a robustness test and confirm the idea of a co-movement between expected and effective interest rates in Brazil. These results support the notion that Brazilian monetary policy is transparent, predictable and efficient. © 2014 Inderscience Enterprises Ltd. 2014-12-09T05:48:14Z 2014-12-09T05:48:14Z 2014 Article 17520479 10.1504/IJMEF.2014.063836 http://www.scopus.com/inward/record.url?eid=2-s2.0-84905221862&partnerID=40&md5=b4c7ee21b33651894036077dd23aec2c http://cmuir.cmu.ac.th/handle/6653943832/37577 English Inderscience Publishers |
institution |
Chiang Mai University |
building |
Chiang Mai University Library |
country |
Thailand |
collection |
CMU Intellectual Repository |
language |
English |
description |
This work applies Markov-switching models, a Bayesian vector autoregressive (BVAR) and Cointegration approach to verify the empirical relationships between expected and effective short-term interest rates in Brazil. The main results corroborate the theoretical notion that the Central Bank can smooth adjustments in effective short-term interest rates, as the latter affect expected short-term rates, thereby influencing long-term interest rates, which are fundamental for controlling output activity and price changes. Moreover, the MS-models show that these empirical relationships are more significant under a 'higher response regime'. In turn, the BVAR test yields impulseresponse functions showing that shocks in expected rates have more persistent impacts on effective rates than the latter have on the former. Finally, the Cointegration and Vector Error Correction approaches are used as a robustness test and confirm the idea of a co-movement between expected and effective interest rates in Brazil. These results support the notion that Brazilian monetary policy is transparent, predictable and efficient. © 2014 Inderscience Enterprises Ltd. |
format |
Article |
author |
Moreira R.R. Chaiboonsri C. Chaitip P. |
spellingShingle |
Moreira R.R. Chaiboonsri C. Chaitip P. Analysing monetary policy's transmission mechanisms through effective and expected interest rates: An application of MS-models, Bayesian VAR and cointegration approaches for Brazil |
author_facet |
Moreira R.R. Chaiboonsri C. Chaitip P. |
author_sort |
Moreira R.R. |
title |
Analysing monetary policy's transmission mechanisms through effective and expected interest rates: An application of MS-models, Bayesian VAR and cointegration approaches for Brazil |
title_short |
Analysing monetary policy's transmission mechanisms through effective and expected interest rates: An application of MS-models, Bayesian VAR and cointegration approaches for Brazil |
title_full |
Analysing monetary policy's transmission mechanisms through effective and expected interest rates: An application of MS-models, Bayesian VAR and cointegration approaches for Brazil |
title_fullStr |
Analysing monetary policy's transmission mechanisms through effective and expected interest rates: An application of MS-models, Bayesian VAR and cointegration approaches for Brazil |
title_full_unstemmed |
Analysing monetary policy's transmission mechanisms through effective and expected interest rates: An application of MS-models, Bayesian VAR and cointegration approaches for Brazil |
title_sort |
analysing monetary policy's transmission mechanisms through effective and expected interest rates: an application of ms-models, bayesian var and cointegration approaches for brazil |
publisher |
Inderscience Publishers |
publishDate |
2014 |
url |
http://www.scopus.com/inward/record.url?eid=2-s2.0-84905221862&partnerID=40&md5=b4c7ee21b33651894036077dd23aec2c http://cmuir.cmu.ac.th/handle/6653943832/37577 |
_version_ |
1681421371894136832 |