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Macroeconomic relevance of credit channels: Evidence from an emerging economy under inflation targeting

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  • Auel, Matias Carlos
  • de Mendonça, Helder Ferreira

Abstract

This article presents a contribution to the empirical literature concerning credit channels in emerging economies. Based on data from 2002 to 2009, three sets of GMM models are considered in this article for analyzing the macroeconomic relevance of the credit channels in Brazil: (i) the first set analyzes the effects of shocks on economic variables which are essential for credit supply; (ii) the second set considers the effects of the same variables used in the previous case on credit spread; and (iii) the third set takes into account the effects of changes in the credit market conditions on the product. In addition, with the intention of showing the effects of shocks on the variables which are relevant in the GMM models for credit supply, spread, and product, a VAR analysis is made. Finally, with the objective of testing the results, a GMM system model is built. The findings denote that the effects of economic shocks on credit supply and on credit spread are in accordance with the credit channel theory. In particular, it is observed that shocks on the interest rate are not transmitted directly to the economy but through the credit channels.

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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 28 (2011)
Issue (Month): 3 (May)
Pages: 965-979

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Handle: RePEc:eee:ecmode:v:28:y:2011:i:3:p:965-979

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Web page: http://www.elsevier.com/locate/inca/30411

Related research

Keywords: Credit channels Credit supply Credit spread Macroeconomic variables Brazilian economy;

References

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Cited by:
  1. Gabriel Barros Tavares Peixoto & Gabriel Caldas Montes, 2014. "Risk-Taking Channel, Bank Lendingchannel And The “Paradox Of Credibility”: Empirical Evidence For Brazil," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 030, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].

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