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Asymmetric effects of monetary policy in BrazilAsymmetric effects of monetary policy in Brazil.doc

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Asymmetric effects of monetary policy in BrazilAsymmetric effects of monetary policy in Brazil

Asymmetric effects of monetary policy in Brazil ? ? Edilean Kleber da Silva Bejarano AragónI,*; Marcelo Savino PortugalII IProfessor of Economics at UFPB IIProfessor of Economics at UFRGS and CNPq researcher. E-mail: msp@ufrgs.br ? ? ABSTRACT In this paper, we check whether the effects of monetary policy actions on output in Brazil are asymmetric. Therefore, we estimate Markov-switching models that allow positive and negative shocks to affect the growth rate of output in an asymmetric fashion in expansion and recession states. In general, results show that: i) the real effects of negative monetary shocks are larger than those of positive shocks in an expansion; ii) in a recession, the real effects of positive and negative shocks are the same; iii) there is no evidence of asymmetry between the effects of countercyclical monetary policies; and iv) it is not possible to assert that the effects of a positive (or negative) shock are dependent upon the phase of the business cycle. Keywords: monetary policy, asymmetries, positive and negative shocks, business cycle, Markov-switching models JEL classification: E52, E32, C32 RESUMO Neste trabalho, examinamos se os efeitos das a??es de política monetária sobre o produto s?o assimétricos no Brasil. Para isto, estimamos modelos Markov-switching que permitem que choques positivos e negativos afetem a taxa de crescimento do produto de forma assimétrica nos estados de expans?o e recess?o econ?mica. Em geral, os resultados mostram que: i) os efeitos reais de choques monetários negativos s?o maiores do que os de choques positivos em uma expans?o; ii) em uma recess?o, os efeitos reais de choques positivos e negativos s?o iguais; iii) n?o há evidência de assimetria entre os efeitos de políticas monetárias contracíclicas; iv) n?o se pode afirmar que os efeitos de choques positivos (ou negativos) dependem da fase do ciclo econ?mico. Palavras-chave: política monetária, assimetrias, choques negativos e positivos, ciclo de negóc