MECANISMO DE TRANSMISSÃO DA POLÍTICA MONETÁRIA: CANAL DO CRÉDITO NA ECONOMIA BRASILEIRA – UMA ABORDAGEM COM VAR CLÁSSICO E BAYESIANO

Abstract

This article presents a new contribution to the economic literature, through the analysis of the impact of monetary shocks in the main macroeconomic variables and in the credit market, in Brazil, between 2011 and 2020. Three methodologies of VAR models are used, classical (in the structural and reduced form), and bayesian (in reduced form). The results indicate that after the positive shock in the bank spread, the product moves rapidly in the first months in the negative direction, suggesting that the basic interest rate spreads to the credit market. Through the impulse-response functions, what is perceived is the little influence of the SELIC rate on product and price variables. On the contrary, they influence the interest rate, which may indicate a reaction from Central Bank and expectations to changes in the main economic variables. As for credit, it does not seem to influence most variables.