An Assessment of the Credit Channel in Brazil

This work evaluates the bank lending channel in Brazil, in the post-Real Plan period. The work includes descriptive analysis and formal econometric tests based on several indicators of the credit market. First of all, the descriptive analysis shows that the main relationship between credit indicators, monetary policy and economic activity are in line with the predictions of the credit channel theory. Additionally, it highlights the fact that bank loans in Brazil are predominantly short-term, which helps to explain the faster reaction of the economy to monetary shocks. Second, Granger causality tests suggest that loan supply and, to a less extent, bank interest rate spread, are leading indicators of real output. Third, VAR-based impulse response functions suggest that Brazilian banks contract credit supply and increase the interest spread in reaction to a monetary tightening, which ultimately contracts real output. Fourth, tests based on velocity of credit also support the existence of a bank lending channel in Brazil, as suggested by the tests based on indicators of prices and quantities. Finally, we cannot reject the inclusion of credit in traditional estimates of the IS curve. Taken together, the empirical tests suggest that the bank lending channel matters for the monetary policy transmission mechanism in Brazil and conforms with the predictions of the theory.Bank Lending Channel; Monetary Policy; Credit

Inequality and Poverty: Stylized Facts and Simulations

This paper analyses the relations between poverty, inequality and economic growth in Brazil. First of all, based on recent research, it shows characteristics and historical evolution of inequality and poverty. These characteristics are not novelty to specialized research, but drawing them as stylized facts gives a comprehensive idea of the matter. Then the work builds simulations based on Mendonça & Paes de Barros’s methodology (1997). These simulations depict the impact of economic growth and inequality on poverty and agree with both empirical evidences from recent papers and results found by those authors. The exercise shows an inverse relation between growth and poverty, and a positive one between inequality and poverty. Finally, the paper criticizes the recent Brazilian research.poverty; inequality; economic growth; public policy; education

Estimating Ibovespa's Volatility

This paper estimates the conditional volatility of the main Brazilian stock market index (Ibovespa), using traditional models of the GARCH family and models of stochastic volatility (SV). Most model selection and performance criteria suggest that both aproaches capture well Ibovespa's volatility, with a slight advantage of the EGARCH(1,1) model. Additionally, the two approaches also behave similarly in practical applications such as the calculation of Value at Risk (VaR).Conditional volatility; Garch; Ibovespa.

The Role of Interest Rates in the Brazilian Business Cycle

This paper offers additional insights on the relationship between interest rates and business cycles in Brazil. First, I document that Brazilian interest rates are very volatile, counter-cyclical and positively correlated with net exports, as observed in other emerging economies. Next, I present a dynamic general equilibrium model in which firms face working capital constraints and labor supply is independent of consumption. This parsimonious model, appropriately calibrated to the Brazilian economy, predicts that interest rate shocks can explain about one third of output fluctuations and generates business cycle regularities consistent with the Brazilian data.

Uma Avaliação do Canal de Crédito no Brasil

This work evaluates the bank lending channel in Brazil, in the post-Real Plan period. The work includes descriptive analysis and formal econometric tests based on several indicators of the credit market. First of all, the descriptive analysis shows that the main relationship between credit indicators, monetary policy and economic activity are in line with the predictions of the credit channel theory. Additionally, it highlights the fact that bank loans in Brazil are predominantly short-term, which helps to explain the faster reaction of the economy to monetary shocks. Second, Granger causality tests suggest that loan supply and, to a less extent, bank interest rate spread, are leading indicators of real output. Third, VAR-based impulse response functions suggest that Brazilian banks contract credit supply and increase the interest spread in reaction to a monetary tightening, which ultimately contracts real output. Fourth, tests based on velocity of credit also support the existence of a bank lending channel in Brazil, as suggested by the tests based on indicators of prices and quantities. Finally, we cannot reject the inclusion of credit in traditional estimates of the IS curve. Taken together, the empirical tests suggest that the bank lending channel matters for the monetary policy transmission mechanism in Brazil and conforms with the predictions of the theory

Desigualdade e Pobreza: Fatos Estilizados e Simulações

This paper analyses the relations between poverty, inequality and economic growth in Brazil. First of all, based on recent research, it shows characteristics and historical evolution of inequality and poverty. These characteristics are not novelty to specialized research, but drawing them as stylized facts gives a comprehensive idea of the matter. Then the work builds simulations based on Mendonça & Paes de Barros’s methodology (1997). These simulations depict the impact of economic growth and inequality on poverty and agree with both empirical evidences from recent papers and results found by those authors. The exercise shows an inverse relation between growth and poverty, and a positive one between inequality and poverty. Finally, the paper criticizes the recent Brazilian research

Extração da Volatilidade do Ibovespa

This paper estimates the conditional volatility of the main Brazilian stock market index (Ibovespa), using traditional models of the GARCH family and models of stochastic volatility (SV). Most model selection and performance criteria suggest that both aproaches capture well Ibovespa's volatility, with a slight advantage of the EGARCH(1,1) model. Additionally, the two approaches also behave similarly in practical applications such as the calculation of Value at Risk (VaR)

Uma Avaliação do Canal de Crédito no Brasil

This work evaluates the bank lending channel in Brazil, in the post-Real Plan period. The work includes descriptive analysis and formal econometric tests based on several indicators of the credit market. First of all, the descriptive analysis shows that the main relationship between credit indicators, monetary policy and economic activity are in line with the predictions of the credit channel theory. Additionally, it highlights the fact that bank loans in Brazil are predominantly short-term, which helps to explain the faster reaction of the economy to monetary shocks. Second, Granger causality tests suggest that loan supply and, to a less extent, bank interest rate spread, are leading indicators of real output. Third, VAR-based impulse response functions suggest that Brazilian banks contract credit supply and increase the interest spread in reaction to a monetary tightening, which ultimately contracts real output. Fourth, tests based on velocity of credit also support the existence of a bank lending channel in Brazil, as suggested by the tests based on indicators of prices and quantities. Finally, we cannot reject the inclusion of credit in traditional estimates of the IS curve. Taken together, the empirical tests suggest that the bank lending channel matters for the monetary policy transmission mechanism in Brazil and conforms with the predictions of the theory

SAMBA: Stochastic Analytical Model with a Bayesian Approach

We develop and estimate a DSGE model for the Brazilian economy, to be used as part of the macroeconomic modeling framework at the Central Bank of Brazil. The model combines the building blocks of standard DSGE models (e.g., price and wage rigidities and adjustment costs) with the following features that better describe the Brazilian economy: (i) a fiscal authority pursuing an explicit target for the primary surplus; (ii) administered or regulated prices as part of consumer prices; (iii) external finance for imports, amplifying the effects of changes in external financial conditions on the economy; and (iv) imported goods used in the production function of differentiated goods. It also includes the presence of financially constrained households. We estimate the model with Bayesian techniques, using data starting in 1999, when inflation targeting was implemented. Model evaluation, based on impulse response functions, moment conditions, variance error decomposition and initial forecasting exercises, suggests that the model can be a useful tool for policy analysis and forecasting.

Valores de referência de alguns elementos-traço em solos intemperizados da região Norte brasileira

Solos formados a partir de sedimentos do Grupo Barreiras apresentam, em geral, baixos teores de ferro, mineralogia caulinítica, elevadas quantidades de quartzo na fração areia e pequena quantidade de carbono orgânico. Determinaram-se os teores de Cd, Co, Cr, Ni e Zn extraídos com água régia, em bloco digestor, em Argissolos Amarelos e Latossolos Amarelos sob vegetação natural do Pará e Amapá. Regressão linear múltipla foi utilizada para correlacionar os parâmetros de solo e os teores desses metais. Melhores correlações foram obtidas entre Fe, Mn, argila, silte e Cd, Co, Cu, Zn, Cr, Ni. Não foi encontrada correlação entre o pH e os teores de metais. Argila e areia apresentaram correlação inversa com os metais, porém de mesma magnitude, sendo necessária a exclusão de uma delas no modelo de regressão. Em geral, os teores dos elementos estudados foram inferiores aos encontrados em solos formados a partir de outros materiais de origem. O Mn foi incluído no modelo de regressão linear múltipla do Cd e Co, em função de sua associação com esses metais. O silte foi significativo nas equações para Cr e Co, o que pode ser devido à presença de minerais de argila e óxidos de Fe e Mn em agregados ferruginosos e argilosos de tamanho silte. Estas equações podem ser úteis quando se deseja conhecer, em termos gerais, quais as quantidades que determinada amostra teria se o solo em questão não estivesse contaminado ou sujeito a uso antrópico, podendo ser utilizadas na avaliação da contaminação do solo por estes metais.Soils formed from the Barreiras Group sediments, located mainly along the coast of Brazil Northern and Northeastern regions, generally present low concentrations of iron oxides and total organic carbon, high quantities of quartz in the sand fraction, and kaolinitic clay mineralogy. The objective of the present study was to quantify the pseudo total concentrations of Cd, Co, Cu, Cr, Mn, Ni, Zn and Fe in Xhantic Udox and Xhantic Udult soils derived from these sediments. The reference sites were covered by native vegetation and located in the States of Pará and Amapá, Brazil. Multiple linear regression analysis was applied to determine correlations between soil parameters and the levels of these metals. The best correlation was obtained between Fe, Mn, clay, and silt contents, and Cd, Co, Cu, Zn, Cr, Ni. A correlation between pH and these metal levels was not found. Clay and sand contents showed a negative inverse correlation with the metal levels,of same magnitude but with a different sign; this was the reason for excluding one of the parameters in the regression model. In general, the contents of the elements were lower than those found in soils formed from other parent materials. The Mn content was included in the model of multiple linear regression for Cd and Co, due to its association with these last metals. Silt level showed to have a significant influence in the equations for Cr and Co, which is attributed to the presence of clay minerals and Fe and Mn oxides in ferruginous and clay aggregates of silt size. The equations obtained in this paper, are useful to predict, in general terms, the amounts of those heavy metals in an unknown soil sample, if the soil material were not contaminated or affected by land usage. Thus, they may be applied to evaluate soil contamination by the studied heavy metals