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Transmission of monetary policy through the wealth channel in Brazil: Does the type of asset matter?

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  • Rossi, Jose Luiz
  • Delmondes de Carvalho Rossi, Marina
  • Carvalho Cunha, Daniel

Abstract

This paper studies the transmission of the monetary policy through the wealth channel in Brazil. Using a structural Bayesian model, we analyze the importance of the different components of wealth in the transmission of the monetary policy in Brazil. The paper finds that the wealth effect works in Brazil only through the evolution of real estate prices. Both, public debt and stock market wealth, play no role in the transmission of monetary policy in Brazil. In the case of public debt, unlike what is argued in the literature, the paper finds that the existence of public debt indexed to the short-term policy rate has no impact in the relevance of the wealth effect of government bonds.

Suggested Citation

  • Rossi, Jose Luiz & Delmondes de Carvalho Rossi, Marina & Carvalho Cunha, Daniel, 2019. "Transmission of monetary policy through the wealth channel in Brazil: Does the type of asset matter?," Research in International Business and Finance, Elsevier, vol. 50(C), pages 279-293.
    • Handle: RePEc:eee:riibaf:v:50:y:2019:i:c:p:279-293
    DOI: 10.1016/j.ribaf.2019.06.009
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    1. Rosalinda Arriaga Navarrete. & Miriam Sosa Castro. & Abigail Rodríguez Nava., 2020. "Impactos monetarios sobre la rentabilidad del mercado accionario en México: Un análisis de cambio de régimen Markoviano. (Monetary Impacts on the Mexican Stock Market Returns: A Markov Switching Appro," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 187-216, November.
    2. Cohen, Lior, 2023. "The effects of the BoJ's ETF purchases on equities and corporate investment," Economic Modelling, Elsevier, vol. 129(C).

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    More about this item

    Keywords

    Public debt; Housing market; Wealth effect; Monetary policy;
    All these keywords.

    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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