Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/91078
Authors: 
Cerqueira, Vinícius dos Santos
Ribeiro, Márcio Bruno
Martinez, Thiago Sevilhano
Year of Publication: 
2011
Series/Report no.: 
Texto para Discussão, Instituto de Pesquisa Econômica Aplicada (IPEA) 1639
Abstract (Translated): 
This paper attempts to extend empirical investigations about the asymmetric effects of monetary shocks in the Brazilian economy. We specify and estimate a nonlinear smooth transition vector autoregressive model including output, price level, exchange rate and a monetary policy indicator (Selic rate). Impulse response functions showed that positive and negative monetary shocks have asymmetric effects on output growth and inflation. Regarding to the business cycle, contractionary monetary shocks showed stronger effects in low-growth states while expansionary shocks were stronger in highergrowth periods. In addition, we found that inflation and output growth are rigid to countercyclical monetary shocks.
JEL: 
E32
E52
C32
C52
Document Type: 
Working Paper

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