Monetary shocks and the economic cycles in the brazilian economy: an application of models var

Abstract

ABSTRACT This paper proposes verifying the effects of monetary shocks on real variables in the Brazilian economy, from 1980 to 1999. The theoretical framework is based on monetary business cycle models. These models use the hypothesis of incomplete information with rational expectations to explain the temporary effects of monetary disturbances on real variables. It was used, for that goal, an econometric application of structural VAR (Vector autoregressions). The selected series are: the cycle of GDP, consumption, investment, and the cycle of money as the nominal shock. The results indicate that the impacts of monetary business cycles are significant in the Brazilian economy, favoring the arguments of Monetary Business Cycles Models. Keywords: Monetary Business Cycles Models, Incomplete information, and Structural VAR. Key words: Monetary Business Cycles Models; incomplete information; Structural VAR. Classificação JEL: E32, D82, C32. Artigo recebido em mar. 2009 e aceito para publicação em jun. 2011.