The Effects of Monetary Policy in Brazil: Results from Agnostic Identification

Mendonca, Mario Jorge Cardoso; Medrano, Luis; Sachsida, Adolfo

doi:10.2139/ssrn.1259942

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The Effects of Monetary Policy in Brazil: Results from Agnostic Identification

19 Pages Posted: 29 Aug 2008

See all articles by Mario Jorge Cardoso Mendonca

Mario Jorge Cardoso Mendonca

Institute of Applied Economic Research (IPEA) - Directory of Macroeconomic Policy & Studies (DIMAC)

Adolfo Sachsida

Institute for Applied Economic Research (IPEA); Institute of Applied Economic Research (IPEA)

Date Written: August 27, 2008

Abstract

This article investigates the effects of monetary policy shocks in the Brazilian economy through the period of July/1999 to January/2008. We follow the procedures suggested by Uhlig (2005) to verify the impact of the monetary policy shock over both inflation and output. The main consequences of a contractionary monetary policy shock are: instantaneous real GDP declines that are large in magnitude; and a drop of 0.4 percent in the price index (IPCA) during the first five months after the shock.

Keywords: Monetary policy, Vector autoregressions, Bayesian econometrics, Agnostic identification and monetary shock

JEL Classification: E51, E52

Suggested Citation: Suggested Citation

Cardoso Mendonca, Mario Jorge and Medrano, Luis Alberto and Sachsida, Adolfo, The Effects of Monetary Policy in Brazil: Results from Agnostic Identification (August 27, 2008). Available at SSRN: https://ssrn.com/abstract=1259942 or http://dx.doi.org/10.2139/ssrn.1259942