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Uma Avaliação do Canal de Crédito no Brasil
[An Assessment of the Credit Channel in Brazil]

Author

Listed:
  • Souza-Sobrinho, Nelson

Abstract

This work evaluates the bank lending channel in Brazil, in the post-Real Plan period. The work includes descriptive analysis and formal econometric tests based on several indicators of the credit market. First of all, the descriptive analysis shows that the main relationship between credit indicators, monetary policy and economic activity are in line with the predictions of the credit channel theory. Additionally, it highlights the fact that bank loans in Brazil are predominantly short-term, which helps to explain the faster reaction of the economy to monetary shocks. Second, Granger causality tests suggest that loan supply and, to a less extent, bank interest rate spread, are leading indicators of real output. Third, VAR-based impulse response functions suggest that Brazilian banks contract credit supply and increase the interest spread in reaction to a monetary tightening, which ultimately contracts real output. Fourth, tests based on velocity of credit also support the existence of a bank lending channel in Brazil, as suggested by the tests based on indicators of prices and quantities. Finally, we cannot reject the inclusion of credit in traditional estimates of the IS curve. Taken together, the empirical tests suggest that the bank lending channel matters for the monetary policy transmission mechanism in Brazil and conforms with the predictions of the theory.

Suggested Citation

  • Souza-Sobrinho, Nelson, 2003. "Uma Avaliação do Canal de Crédito no Brasil
    [An Assessment of the Credit Channel in Brazil]
    ," MPRA Paper 5160, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:5160
    as

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    File URL: https://mpra.ub.uni-muenchen.de/5160/1/MPRA_paper_5160.pdf
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    Citations

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    Cited by:

    1. Takeda, Tony & Rocha, Fabiana & Nakane, Márcio I., 2005. "The Reaction of Bank Lending to Monetary Policy in Brazil," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 59(1), January.
    2. Antonio Gledson Carvalho & Humberto Gallucci Netto & Joelson Sampaio, 2014. "Private Equity e Venture Capital no Brasil: uma Análise de sua Evolução," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(4), pages 499-515.
    3. de Mello, Luiz & Pisu, Mauro, 2010. "The bank lending channel of monetary transmission in Brazil: A VECM approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 50-60, February.
    4. Minella, André & Souza-Sobrinho, Nelson F., 2013. "Monetary policy channels in Brazil through the lens of a semi-structural model," Economic Modelling, Elsevier, vol. 30(C), pages 405-419.
    5. André Minella & Nelson F. Souza-Sobrinho, 2009. "Monetary Channels in Brazil through the Lens of a Semi-Structural Model," Working Papers Series 181, Central Bank of Brazil, Research Department.

    More about this item

    Keywords

    Bank Lending Channel; Monetary Policy; Credit;

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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