Assessing the Impact of conventional Monetary Policy on the Capital-Labor ratio in Brazil
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SeriesPhD Lunch Seminars
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Speaker
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FieldEconometrics
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LocationErasmus University Rotterdam, Campus Woudestein, Polak 2-18
Rotterdam -
Date and time
June 08, 2022
12:00 - 13:00
In this paper, we investigate redistributive effects of conventional monetary policy shocks in Brazil. For that, we use time series of the capital-labor ratio, GDP, inflation, exchange rate and interest rate and estimate a time varying parameter Bayesian VAR with stochastic volatility. The data used for posterior computation comprises the monthly observations of the series between March 2000 to October 2018. The results show a positive and significative response of the capital-labor ratio to contractionary monetary shocks, which lasts at least a semester, suggesting that interest rate shocks have a non-negligible redistributive effect. The result is not constant over time and changes in the impulse response functions across the sample period were observed due to a time-varying behavior of some of the model parameters.