Identification of monetary policy shocks and its effects: FAVAR methodology for the Brazilian economy

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dc.contributor.authorCarvalho, Marina Delmondes de
dc.contributor.authorRossi Junior, Jose Luiz
dc.coverage.cidadeSão Paulopt_BR
dc.coverage.paisBrasilpt_BR
dc.creatorCarvalho, Marina Delmondes de
dc.creatorRossi Junior, Jose Luiz
dc.date.accessioned2023-07-17T15:51:43Z
dc.date.available2023-07-17T15:51:43Z
dc.date.issued2010
dc.description.abstractThis paper applies the factor-augmented vector autoregressive methodology (FAVAR) to analyze the impacy of monetary policy shocks on the Brazilian economy, using 125 monthly series for the period between January of 1995 and September of 2009. Overall, the results obtained were consistent with economic theory and no price puzzle is observed. The paper also compared the FAVAR with the VAR methodologies, concluding that the results were very similar under both methodologies and that the gain of using the FAVAR methodology is very limited when Brazilian data is used to study the effects of monetary shocks.
dc.description.otherThis paper applies the factor-augmented vector autoregressive methodology (FAVAR) to analyze the impacy of monetary policy shocks on the Brazilian economy, using 125 monthly series for the period between January of 1995 and September of 2009. Overall, the results obtained were consistent with economic theory and no price puzzle is observed. The paper also compared the FAVAR with the VAR methodologies, concluding that the results were very similar under both methodologies and that the gain of using the FAVAR methodology is very limited when Brazilian data is used to study the effects of monetary shocks.pt_BR
dc.format.extent32 p.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.issueBEWP 106/2010
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/5815
dc.language.isoInglêspt_BR
dc.publisherInsperpt_BR
dc.publisherIBMEC São Paulopt_BR
dc.relation.ispartofseriesInsper Working Paperpt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordsFAVARpt_BR
dc.subject.keywordsmonetary policypt_BR
dc.subject.keywordsprincipal componentpt_BR
dc.titleIdentification of monetary policy shocks and its effects: FAVAR methodology for the Brazilian economypt_BR
dc.typeworking paper
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeWorking Paperpt_BR

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Coleção Insper Business and Economics Working Papers