Template-Type: ReDIF-Paper 1.0
Author-Name:  Marina Delmondes de Carvalho
Author-Name-First: Marina Delmondes de
Author-Name-Last: Carvalho
Author-Name:  José Luiz Rossi Júnior
Author-Name-First: José Luiz
Author-Name-Last: Rossi Júnior
Title: Identification of monetary policy shocks and its effects: FAVAR methodology for the Brazilian economy
Abstract:  This paper applies the factor-augmented vector autoregressive methodology (FAVAR) to analyze the impacy of monetary policy shocks on the Brazilian economy, using 125 monthly series for the period between January of 1995 and September of 2009. Overall, the results obtained were consistent with economic theory and no price puzzle is observed. The paper also compared the FAVAR with the VAR methodologies, concluding that the results were very similar under both methodologies and that the gain of using the FAVAR methodology is very limited when Brazilian data is used to study the effects of monetary shocks.
Length:  31 pages
Creation-Date:  2010
Order-URL: https://repositorio.insper.edu.br/handle/11224/5815
File-URL: https://repositorio.insper.edu.br/handle/11224/5815
File-Format: text/html
File-Function: Full text
Number: 106
Handle: RePEc:aap:wpaper:106