Mensurando um Índice de Condições Monetárias amplo para o Brasil
Palavras-chave:
Política Monetária, Condições Monetárias, canais de transmissão, cointegração
Resumo
O objetivo deste estudo é mensurar um Índice de Condições Monetárias (ICM) amplo para o Brasil que apresente a relação vigente entre o produto da economia, a taxa de juros, a taxa de câmbio e o resultado fiscal do governo. O estudo aplica o método ARDL para estimar os pesos/coeficientes das variáveis no ICM amplo para o Brasil no período 2002:Q4 a 2018:Q1. O resultado indica um peso maior do canal de transmissão da taxa de juros seguido pelo canal da taxa de câmbio e, por último, pelo canal do resultado fiscal, implicação esta, que coloca em primazia o canal da taxa de juros na determinação do nível de produto no Brasil. O índice de condições monetárias amplo obtido traça razoavelmente bem a direção de política monetária para o período estudado, portanto, pode servir como um indicador adequado da orientação adotada pela autoridade monetária.
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Referências
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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: 2018.
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.
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.
Publicado
2022-10-31
Como Citar
Cardoso Faro, K. (2022). Mensurando um Índice de Condições Monetárias amplo para o Brasil . A Economia Em Revista - AERE, 30(2). https://doi.org/10.4025/econrev.v30i2.65092
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