Submitted by Marcelo Fonseca (marcelo.economista@hotmail.com) on 2014-05-19T19:10:06Z No. of bitstreams: 1 Essays on the Credit Channel of Monetary Policy - a Case Study for Brazil.pdf: 3704297 bytes, checksum: 3b1fcaf85bbcf74f3843e7c2c0d1cad9 (MD5) / Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Boa tarde Marcelo, conforme conversamos ao telefone. Att. Suzi 3799-7876 on 2014-05-19T19:47:10Z (GMT) / Submitted by Marcelo Fonseca (marcelo.economista@hotmail.com) on 2014-05-19T21:20:48Z No. of bitstreams: 1 Essays on the Credit Channel of Monetary Policy - a Case Study for Brazil.pdf: 3702737 bytes, checksum: 106ac090d0a4805c2b0d31d85182e2eb (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2014-05-20T11:36:27Z (GMT) No. of bitstreams: 1 Essays on the Credit Channel of Monetary Policy - a Case Study for Brazil.pdf: 3702737 bytes, checksum: 106ac090d0a4805c2b0d31d85182e2eb (MD5) / Made available in DSpace on 2014-05-20T11:38:51Z (GMT). No. of bitstreams: 1 Essays on the Credit Channel of Monetary Policy - a Case Study for Brazil.pdf: 3702737 bytes, checksum: 106ac090d0a4805c2b0d31d85182e2eb (MD5) Previous issue date: 2014-05-06 / O estouro da crise do subprime em 2008 nos EUA e da crise soberana europeia em 2010 renovou o interesse acadêmico no papel desempenhado pela atividade creditícia nos ciclos econômicos. O propósito desse trabalho é apresentar evidências empíricas acerca do canal do crédito da política monetária para o caso brasileiro, usando técnicas econométricas distintas. O trabalho é composto por três artigos. O primeiro apresenta uma revisão da literatura de fricções financeiras, com especial ênfase nas suas implicações sobre a condução da política monetária. Destaca-se o amplo conjunto de medidas não convencionais utilizadas pelos bancos centrais de países emergentes e desenvolvidos em resposta à interrupção da intermediação financeira. Um capítulo em particular é dedicado aos desafios enfrentados pelos bancos centrais emergentes para a condução da política monetária em um ambiente de mercado de capitais altamente integrados. O segundo artigo apresenta uma investigação empírica acerca das implicações do canal do crédito, sob a lente de um modelo FAVAR estrutural (SFAVAR). O termo estrutural decorre da estratégia de estimação adotada, a qual possibilita associar uma clara interpretação econômica aos fatores estimados. Os resultados mostram que choques nas proxies para o prêmio de financiamento externo e o volume de crédito produzem flutuações amplas e persistentes na inflação e atividade econômica, respondendo por mais de 30% da decomposição de variância desta no horizonte de três anos. Simulações contrafactuais demonstram que o canal do crédito amplificou a contração econômica no Brasil durante a fase aguda da crise financeira global no último trimestre de 2008, produzindo posteriormente um impulso relevante na recuperação que se seguiu. O terceiro artigo apresenta estimação Bayesiana de um modelo DSGE novo-keynesiano que incorpora o mecanismo de acelerador financeiro desenvolvido por Bernanke, Gertler e Gilchrist (1999). Os resultados apresentam evidências em linha com aquelas obtidas no artigo anterior: inovações no prêmio de financiamento externo – representado pelos spreads de crédito – produzem efeitos relevantes sobre a dinâmica da demanda agregada e inflação. Adicionalmente, verifica-se que choques de política monetária são amplificados pelo acelerador financeiro. Palavras-chave: Macroeconomia, Política Monetária, Canal do Crédito, Acelerador Financeiro, FAVAR, DSGE, Econometria Bayesiana

Submitted by Pedro Bogado (pedrobogado@gmail.com) on 2013-01-10T14:13:41Z No. of bitstreams: 1 PedroBogado_final.pdf: 351157 bytes, checksum: 8e8aaaca8adbafbbe0148af641564a29 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2013-01-29T16:26:40Z (GMT) No. of bitstreams: 1 PedroBogado_final.pdf: 351157 bytes, checksum: 8e8aaaca8adbafbbe0148af641564a29 (MD5) / Made available in DSpace on 2013-01-29T16:28:57Z (GMT). No. of bitstreams: 1 PedroBogado_final.pdf: 351157 bytes, checksum: 8e8aaaca8adbafbbe0148af641564a29 (MD5) Previous issue date: 2010-11-03 / The identification problem of supply and demand equations for testing the bank lending channel has been discussed in recent decades. This work evaluates the identification strategy carried out in a VECM setting to determine if there is empirical evidence of a bank lending channel in the transmission of monetary policy in Brazil. Monthly aggregate data was used for the period 2001 through 2010. / O problema da identificação de equações de oferta e demanda de crédito para verificação da existência do canal de crédito tem sido sendo bastante discutido nas últimas décadas. Este trabalho avalia a estratégia de identificação via estimação de um modelo de um Modelo Vetorial de Correção de Erros para determinar a relevância do canal de crédito no Brasil. Foram utilizados dados agregados mensais compreendendo o período de 2001 até 2010.

[pt] Esta tese é constituída de três ensaios relacionando crédito bancário à transmissão da política monetária no Brasil. O primeiro ensaio desenvolve um modelo dinâmico estocástico de equilíbrio geral representando a influência do crédito direcionado na transmissão de política monetárial. O modelo é uma versão modificada do modelo de acelerador financeiro introduzido por Bernanke et al. (1999), ao qual é acrescentado um banco de desenvolvimento cuja política de concessão de crédito é determinada pelo governo. O modelo é calibrado de forma a reproduzir características da economia brasileira, e comparam-se equilíbrios em que o banco central e a autoridade monetária atuam de formas cooperativa e não-cooperativa. Os resultados sugerem capacidade limitada de interferência do banco de desenvolvimento sobre a atuação do banco central. O segundo ensaio testou a existência de um canal de balanços contábeis da transmissão de política monetária no Brasil, usando dados desagregados de crédito para capital de giro, entre 2003 e 2010. Utilizando o tamanho da firma, a classificação de risco e as taxas de juros de seus empréstimos como indicadores de grau de acesso da empresa ao crédito, procurou-se verificar se as empresas menores e com histórico de crédito mais caro e arriscado sofrem retração maior no seu volume de crédito em momentos de retraçãoo econômica e/ou elevação de taxas de juros. Para isolar os efeitos do canal de balanços da influência do canal de empréstimos bancários, testes foram feitos isoladamente para cada um dos 15 maiores bancos brasileiros. Estimações através de modelos de regressão linear e probit não apontaram evidência significativa da presença do canal de balanços contábeis. O terceiro ensaio busca verificar se o nível de capital bancário afeta a transmissão da política monetária no Brasil, via canal de empréstimos. Estima-se, utilizando dados bancários mensais referentes ao período de dez/2000 a mai/2008, se os volumes de concessão de crédito de bancos muito e pouco capitalizados respondem de forma diferente a variações da Selic, e testa-se se os bancos pouco capitalizados respondem de forma assimétrica a aumentos e reduções na Selic. Estimações em painel usando medidas distintas de capitalização não encontram evidências significativas destes efeitos. / [en] This PhD thesis comprises three essays on the influence of the bank credit market on monetary policy transmission in Brazil. The first essay introduces a state development bank in a stochastic general equilibrium model featuring a financial accelerator as introduced by Bernanke et al. (1999). The development bank follows a simple linear rule defined according to government goals, instead of the competitive setup applied to the commercial banks. We calibrate the model to reproduce features of the Brazilian economy, and simulate different equilibrium situations involving cooperation or non-cooperation between central bank and development bank. We find that, in both cases, under reasonable restrictions on the scope of development bank actions, the development bank has some influence on macroeconomic stabilization, although small. The second essay tests the presence of a balance sheet channel of monetary policy transmission, using disaggregated data on working capital loans in Brazil, from 2003 to 2010. In order to identify financially constrained firms, we use firm size and the interest rates and risk classification of their previous loans. We perform linear and probit regressions to assess whether smaller and riskier firms present comparatively more pronounced declines on their bank loans following interest rate increases or GDP declines. In order to isolate the balance sheet channel from the bank lending channel, the statistical tests were performed separately on loan data from fifteen banks among the largest in Brazil. The results do not find statistically significant evidence of the balance sheet channel. The third essay examines empirically whether the level of bank capitalization has some influence on monetary policy transmission through a bank lending channel. We use a monthly bank data sample from December 2000 to May 2008 to assess whether the amount of credit supplied by poorly and well capitalized banks react differently to variations of the interest rate, and whether the reaction of poorly capitalized banks to interest rates is asymmetric. Panel data estimations using two different measures of bank capitalization do not find statistically significant evidence of these effects of bank capital on credit supply.

無 / This study investigates the monetary effects under the floating exchange rates and imperfect capital mobility by extending the model of Bernanke and Blinder (1988) into a small open economy. It is shown that with credit channel of monetary transmission explicitly considered, the effect of monetary policy on output may be augmented or lessen in our model depending on whether the exchange rate depreciates or appreciates. In addition, the exchange rate puzzle found in the empirical studies can be explained in our theoretical model. The dynamic adjustment patterns of the output and the exchange rate after an increase in money supply are further examined. Under the case of relative high capital mobility, when the real output gradually adjusts toward a higher level, the exchange rate may overshoot, undershoot, or even counter-shoot during the dynamic adjustment process. This provides another one explanation for the volatility of exchange rates under floating rates. Therefore, as financial markets become more internationalized, the conduct of monetary policy turns more complicated in an open economy.

本文主要研究日本央行實施緊縮性貨幣政策時，日本銀行業貸款組合變動與對實質經濟影響之關係，透過比較貨幣性衝擊、單純產出衰退及總和需求衰退對於銀行貸款組合的影響，以分析銀行在貨幣政策所發揮的功能。經VAR模型實證結果顯示，日本國內貨幣緊縮會使短期實質產出衰退、價格上升；銀行對於家計部門消費信用以及購屋貸款的放款減少、對企業的放款則增加。進一步檢驗不同規模企業貸款發現，銀行對大型企業的放款較為寬鬆，而對於中小企業的放款增幅較不明顯。另一方面，考慮信用標準擴散指數的VAR模型分析發現，日本國內的貨幣緊縮政策使銀行對於家計單位信用標準趨於嚴格的程度最大，再來依序為中型企業、小型企業及大型企業。這些實證結果支持銀行信用管道的存在，也說明銀行在貨幣傳遞機制中扮演重要的角色。 / The paper mainly studies the relationship between the change of Japanese bank loan portfolios and its substantial effect on economy during implementation of monetary tightening policy by Japan authority. Through comparison of monetary impacts, as well as the effects of the downturns in both output and real demand on bank loan portfolios, with the downturns are generated in a way that they produce the same dynamic real output and final demand path as that from a monetary downturn. The empirical results of VAR model reveal that the domestic monetary tightening in Japan would cause decrease in short-term real output and price level rise. General banks offer less consumption credits and house loans for households, but turn to increase loans for enterprises. When further examining the loans for enterprises of different scales, the paper finds that the banks take a looser attitude in offering loans to large-scale enterprises than to small and medium enterprises (SMEs), whose loans seem to have insignificant increase. On the other hand, after analysis of VAR model that considers the credit standard diffusion index, it is found that because of the domestic monetary tightening policy of Japan, the banks’ practices in their offer of credits appear to be strictest to households, and then less strict to SMEs and large enterprises. These facts prove the existence of credit channels of banks, and show the important roles that banks take in monetary transmission mechanism.

到目前為止，國內外對信用分配的實證研究，大抵不脫以總體資料(aggregate datas)說明在貨幣政策的傳導機制中「信用管道」(credit channel)的存在，但要以此解釋信用分配的現象則略顯不足，我們需要的是更直接的證據：那就是在信用管道背後，銀行用來壓抑地雷公司借款的「篩選工具」(Screening Devices)！ 本文便以分析整理個別公司借款資料的方式進行實證研究，首度將樣本區分為「地雷公司」與「正常公司」，以及「金融風暴前、後」的不同時期，並以「臨界放款利率」作為判斷標準。 本文得到以下三點結論： 1. 在三種樣本期間，地雷公司與正常公司所面對的放款供給曲線，幾乎都有後彎現象（除正常公司在金融風暴前例外），表示信用分配現象的確存在，且銀行以利率為信用篩選工具。 2. 在全部樣本期間與金融風暴後，地雷公司所面對的臨界放款利率均較正常公司為低，表示銀行對地雷公司與正常公司的臨界放款利率的確有異，且銀行成功以「數量」壓抑地雷公司借款。 3. 地雷公司與正常公司在金融風暴後，臨界放款利率均有所降低，且地雷公司臨界放款利率降幅（與全部樣本期間相較）較正常公司高出11個百分點，表示「金融風暴」的確會影響銀行授信態度，且對地雷公司影響較大。 實證結果與研究假說一致，並符合我們的直覺。

In the literature, a considerable theoretical and empirical works have investigated the credit channel of monetary transmission mechanism. This dissertation extends the Bernanke and Blinder (1988) model to an open-economy setting with flexible exchange rate and perfect capital mobility. By means of the framework, we examine the exchange rate dynamics and the adjustment of real output. It turns out that, with a significant credit channel effect, the exchange rate puzzle may occur in the short run and in long run. Moreover, in contrast to Dornbusch (1976), this dissertation shows that, depending upon the strength of the credit channel effect, overshooting, undershooting and counter-shooting impact effect may occur when international capital mobility is perfect. / In the literature, a considerable theoretical and empirical works have investigated the credit channel of monetary transmission mechanism. This dissertation extends the Bernanke and Blinder (1988) model to an open-economy setting with flexible exchange rate and perfect capital mobility. By means of the framework, we examine the exchange rate dynamics and the adjustment of real output. It turns out that, with a significant credit channel effect, the exchange rate puzzle may occur in the short run and in long run. Moreover, in contrast to Dornbusch (1976), this dissertation shows that, depending upon the strength of the credit channel effect, overshooting, undershooting and counter-shooting impact effect may occur when international capital mobility is perfect.

A considerable body of theoretical and empirical literature has evaluated the credit channel of monetary transmission. This paper sets up an open-economy model under floating exchange rates with imperfect international capital mobility based on the Bernanke and Blinder model (1988). Employing our model, we show that a change in money supply has different impacts on the economy in many cases compared to the previous literature. The exchange rate puzzle may occur and when the exchange rate puzzle appears, the Fleming proposition is violated. Besides, by means of a cointegration analysis, we empirically verify the particular case of the exchange rate puzzle with the monthly data from May 1984 to January 2005 in Taiwan. Therefore, our empirical evidences can be matched with our theoretical derivations successfully.

Made available in DSpace on 2010-04-20T21:00:15Z (GMT). No. of bitstreams: 4 Peter Edward Cortes Marsden Wilson.pdf.jpg: 18180 bytes, checksum: 378f62fa4a444505d0f66bffd5fa1114 (MD5) Peter Edward Cortes Marsden Wilson.pdf.txt: 94511 bytes, checksum: 0e509be89e8a539fe7af330bd2a759ff (MD5) Peter Edward Cortes Marsden Wilson.pdf: 520574 bytes, checksum: 626902cd5204fca2d18806d0bca5ed92 (MD5) license.txt: 4886 bytes, checksum: 46df1399d9b47500d98a7ac731adf80e (MD5) Previous issue date: 2009-01-29T00:00:00Z / This paper aims to analyze the decline of interest rate and the credit channel mechanism for propelling the secondary mortgage market in Brazil. The macroeconomic stability coupled with falling interest rates and new regulatory framework adopted in 2004, especially to leverage the sector of construction, served as a kick start for the rapid expansion of credit, with attention to real estate. It has established the initial and essential condition, but not sufficient, for creating a secondary market for mortgages in Brazil. In order to find empirical evidence and to analyze the impact of falling interest rates in the issuance of securities a auto-regression (VAR) model (developed by Lehnert, Passmore Sherlund) was used. / Este trabalho tem como objetivo analisar a queda de taxa de juros e o mecanismo de canal de crédito como propulsor do mercado secundário de hipotecas no Brasil. A estabilidade macroeconômica aliada ao movimento de queda da taxa de juros e as novas regras institucionais aprovadas em 2004, especialmente para alavancar o setor de construção civil, serviram como pontapé inicial para a expansão rápida de crédito, com atenção ao imobiliário. Formou-se assim a condição inicial necessária, mas não suficiente, para a criação de um mercado secundário de hipotecas no Brasil. Utiliza-se neste trabalho um modelo VAR desenvolvido por Lehnert, Passmore e Sherlund para estudar os impactos da queda da taxa de juros na emissão de títulos securitizados de crédito imobiliário e aumento do número de transações destes títulos.

This dissertation is a collection of three essays dealing with selected problems of the Euro Area during its most recent crisis. It applies empirical, theoretical, and institutional analyses to gain new insights into many of its financial aspects. The first essay offers an alternative explanation for the surge in government bond spreads. Many researchers attribute this phenomenon to market sentiment and multiple equilibria alone. We show that an often neglected fundamental variable may drive spreads: a decrease in the expected recovery value of private market participants. With an ever-increasing share of crisis countries’ debt held by official creditors, private investors may feel pushed into the position of subordinated creditors. The other two essays both explain the sharp increase in central bank credit from different perspectives. First, from the national perspective, central banks may be confronted with a classical tragedy-of-the-commons problem, which gives rise to an expansionary bias. Second, from the perspective of the ECB, we argue that the empirical patterns surrounding the liquidity provision in December 2011 are reminiscent of a speculative attack on a fixed exchange rate system.