Essays in financial economics
Carregando...
Arquivos
Data
2023-05
Autores
Orientador(res)
Pereira, Luciene Torres de Mello
Ribeiro, Marcel Bertini
Métricas
Título da Revista
ISSN da Revista
Título de Volume
Resumo
This thesis consists of two essays about the causal effects of monetary surprises using the high-frequency identification (HFI) approach for the Brazilian economy. The first essay applies the identification approach to choose a strong instrumental variable that affects the monetary policy indicator. With the identified instrument, the dynamic causal effect is estimated using Local Projection-Instrumental Variable (LP-IV) and Structural Vector Autoregression-Instrumental Variable (SVAR-IV) methods for Impulse Response Function (IRF), in which the macroeconomic model involves economic and financial variables. The results indicate that a contractionary monetary policy decreases economic activity and credit volume. The credit spread increases with significance, and the pricepuzzle prevails. The macroprudential indicator presents a little drop in the short term. Evidence implies that the bank lending channel is affected by monetary surprises. The instrumental variable estimation affects more financial variables than economic variables. The results of LP-IV and SVAR-IV are quantitatively equivalent, except for the macroprudential indicator. The second essay relates to bank channels’ transmission of monetary policy in Brazil. Using data from banks´ balance sheets and high-frequency identification in a Panel LP-IV, we estimate the impacts of monetary surprise for Loans, Non-Performing Loans (NPL), Securities and Derivatives, deposits and repos, and External Financing. The results show a delayed response of bank lending; the NPL increases after one year, and Securities and Derivatives increase in the short term. For the liability side, Deposits and Repos decrease because of the response of time deposits and repos, and External Financing presents a slight increase after one year. Dividing the sample by size and relevance, there are heterogeneous effects in bank lending and time deposits. The heterogeneous response of deposits indicates that the deposit channel can influence the bank lending channel.
Descrição
Palavras-chave
Macrofinance Monetary policy shock High-Frequency Identification Local Projection-IV Proxy-SVAR / SVAR-IV Instrumental variable Bank lending channel Macroeconomia financeira Choque monetário Canais de transmissão Identificação em alta frequência Projeções locais Vetor Autorregressivo Estrutural Variável instrumental Dados em painel