In this paper, we investigate redistributive effects of conventional monetary policy shocks in Brazil. For that, we use time series of the capital-labor ratio, GDP, inflation, exchange rate and interest rate and estimate a time varying parameter Bayesian VAR with stochastic volatility.
- Speaker
- Date
- Wednesday 8 Jun 2022, 12:00 - 13:00
- Type
- Seminar
- Room
- 2-14
- Building
- Polak Building
The data used for posterior computation comprises the monthly observations of the series between March 2000 to October 2018. The results show a positive and significative response of the capital-labor ratio to contractionary monetary shocks, which lasts at least a semester, suggesting that interest rate shocks have a non-negligible redistributive effect.
The result is not constant over time and changes in the impulse response functions across the sample period were observed due to a time-varying behavior of some of the model parameters.
- Related links
- Department of Economics
