A eficácia do crédito como canal de transmissão da política monetária no Brasil : estratégia de identificação da oferta e demanda de crédito

Abstract

The main objective of this study was to investigate empirical evidence about the effectiveness of the credit as a monetary policy transmission channel in Brazil for the period 2002-2012, in which the ratio of credit to GDP has grown substantially. The demand identification strategy and credit supply was by shocks in the real volume of credit and market interest rates, respectively. To fulfill the purpose of research used in different time series models VARs and analyzed impulse response functions and the decomposition of the variance of errors. It also examined the response of some banks in the balance sheet variables (securities and bank deposits) and spread to a tightening in monetary policy, identified by a shock in the Selic rate. The results indicated the coexistence of traditional channel of interest rate with the bank credit channel. Thus, since the evidence is favorable to the credit channel, it is advisable that the monetary authorities give more attention to the effects of monetary policy on the spread and the level of market interest rates, since the effect of monetary policy on these variables, that is, on the supply of credit, enhances the response of the real economy.