Mensurando um Índice de Condições Monetárias amplo para o Brasil
Abstract
The purpose of this essay is to measure a broad Monetary Conditions Index (MCI) applied to the Brazilian case, which presents the current relationship between the product of the economy, the interest rate and the exchange rate and the fiscal result of the government. The study applies an ARDL cointegration limits test approach to estimate the weights / coefficients of variables in the broad ICM for Brazil in the period 2002: Q4 to 2018: Q1. The result indicates a greater weight to the interest rate channel, followed by the exchange rate channel and, finally, by the channel of the fiscal result, implication this, which puts in priority the interest rate channel in determining the level of production in Brazil. The broad index of monetary conditions obtained reasonably well traces the policy direction of the Central Bank of Brazil (BCB) for the period studied, so it can serve as an adequate indicator of the BCB's monetary policy stance.
Downloads
References
BANCO CENTRAL DO BRASIL – BCB. Atas do Copom. Disponível em:
BATINI, N.; TURNBULL, K. Dynamic Monetary Conditions Index for the UK. Journal of Policy Modeling. Bank of England, London-UK, v. 24, 257–28, 2002.
BROWN, R. L.; DURBIN, J.; EVANS, J. M. J. Techniques for Testing the Constancy of Regression Relationships over Time. Journal of the Royal Statistical Society, 37(2), 149-192, 1975.
CAETANO, S. M.; SILVA Jr., G. E.; CÔRREA, W. L. T. Abordagem discreta para a dinâmica da taxa Selic-meta. Economia Aplicada, v. 15, n. 2, 199-221, 2011.
CARNEIRO, D. D. & WU, T. Contas externas e política monetária. Revista Brasileira de Economia. Rio de Janeiro, v.58, n 3, jul/set 2004.
DICKEY, D. A.; FULLER, W. A. Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366), 427-431, 1979.
DUGUAY, P. Empirical Evidence on the Strength of the Monetary Transmission Mechanism in Canada: An Aggregate Approach. Journal of Monetary Economics, v. 33, n. 1, 39-61, 1996.
EIKA, K. H. ERICSSON, N. e NYMOEN R. Hazards in implementing a monetary conditions index. Oxford Bulletin of Economics and Statistics, v. 58, n. 4, 765-90, 1996.
ELLIOT, G.; ROTHEMBERG, T.; STOCK, J. H. Efficient Tests for an Autoregressive Unit Root. Econometrica, v. 64, n. 4, 813-836. 1996.
ENGLE, R. F. GRANGER, C. W. J. Co-integration and error correction: representation, estimation and testing. Econometrica, n. 55, 251-76, 1987.
ERICSSON, N. R., JANSEN E. S., KERBESHIAN N. A. e NYMOEN R. Interpreting a monetary conditions index in economic policy. BIS Conference Papers, v. 6,1998.
FREEDMAN, C. The Role of Monetary Conditions and the Monetary Conditions Index in the Conduct of Policy. Bank of Canada Review, n.53, v.9, 1995.
FREEDMAN, C. The use of indicators and of the monetary conditions index in Canada. Balino, T. e Cottarelli C. (eds), Frameworks for monetary stability, cap.18, International Monetary Fund, Washington, 1994.
FROCHEN, P. Monetary condition indices. Banque de France Bulletin Digest, n.31, july, 1996.
GERLACH, S.; SMETS, F. MCIs and monetary policy. European Economic Review, 44, 1677-1700, 2000.
IPEADATA. Taxa de câmbio nominal (média mensal de venda) – (R$/US$). Disponível em:
JOHANSEN, S. Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59, 1551–1580, 1991.
KANNAN, R., SANYAL, S. e BIHARI BHOI, B. Monetary condition index for India. Reserve Bank of India Occasional Papers, 27(3), pp. 57-86, 1999.
KESRIYELI, M.; KOCAKER, I. Monetary condition index: A monetary condition for Turkey. Central Bank of the Republic of Turkey, Discussion Paper, n. 9908, 1999.
KWIATKOWSKI, D.; PHILLIPS, P. C. B.; SCHMIDT, P.; SHIN, Y. Testing the Null Hypothesis of Stationary Against the Alternative of a Unit Root: How Sure are We that Economic Time Series are Non-Stationary? Journal of Econometrics, 54, 159-178, 1992.
LATTIE, C. Estimating monetary conditions index for Jamaica. Paper presented at the 31st Annual Monetary Studies Conference, 18-21 October, 1999, Paramaribo, Suriname, 1999.
MAYES, D. G.; VIRÉN, M. The exchange rate and monetary conditions in the euro area. Bank of Finland Discussion Papers 27/98, 1998.
ORIELA, K. Estimation of weights for the monetary conditions index in Albania. Special Conference of the Bank of Greece, 2011.
PEI-THA, G.; KIAN-TENG, K. Estimating monetary policy rules: An optimal monetary conditions index for Malaysia”, International Research Journal of Finance and Economics; 2008(14), 196-211, 2008.
PESARAN, M. H., SHIN, Y., SMITH, R. P. Pooled Mean Group Estimation of Dynamic Heterogeneous Panels. Journal of the American Statistical Association, 94 (446), 621-634, 1999.
PESARAN, M. H.; SHIN, Y. An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis. Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium. Cambridge University Press, 1999.
PESARAN, M. H.; SHIN, Y.; SMITH, R. J. Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 163, 289-326, 2001.
PHILLIPS, P. C. B. e HANSEN, B. E. Statistical Inference in Instrumental Variables Regression with I (1) Processes. The Review of Economic Studies, 57 (1), 99-125, 1999.
PHILLIPS, P. C. B.; PERRON, P. Testing for a Unit Root in Time Series Regression. Biometrika, 75(2), 335–346, 1988.
WAI-CHING, P. A monetary policy rule: The augmented monetary conditions index for Philippines using UECM and bounds tests. MONASH University, Department of Economics Discussion Papers 04/10, 2010.
Copyright (c) 2022 A Economia em Revista - AERE

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.