Topic
SELIC
About: SELIC is a research topic. Over the lifetime, 85 publications have been published within this topic receiving 420 citations.
Papers published on a yearly basis
Papers
TL;DR: In this article, a modified version of the Taylor rule for the Brazilian economy in the period 2000-2010 is presented, which is based on the inclusion of a proxy for the international interest rate in the original equation.
Abstract: With the purpose of evaluating Brazilian Central Bank's (BCB) conduct of monetary policy after the adoption of inflation targeting (IT), we estimate a modified version of the Taylor rule for the Brazilian economy in the period 2000-2010. The term modified refers to an important innovation with regard to the reviewed literature: the inclusion of a proxy for the international interest rate in the original equation. This study reinforces and expands results achieved by Modenesi (2011) and also provides a new evidence that the BCB reacts to foreign interest rates when setting its basic rate (Selic). The BCB has reduced autonomy: Selic is endogenous not only to domestic conditions (inflation and output gaps) but also to foreign interest rates (measured by the LIBOR). The evidence provided might support the argument that BCB policy is ruled by a proconservative convention substantiated in the adoption of a Taylor rule containing three distinctive features: (1) a high degree of interest rate smoothness; (2) a hi...
29 citations
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TL;DR: In this paper, the authors show that the bank lending channel exists in Brazil: after an increase (decrease) in the basic interest rate (Selic), banks reduce (increase) the quantity of new loans and raise (lower) interest rates.
Abstract: Using the different response timings of credit demand and supply, we isolate supply shifts after monetary policy shocks. We show that the bank lending channel exists in Brazil: after an increase (decrease) in the basic interest rate (Selic), banks reduce (increase) the quantity of new loans and raise (lower) interest rates. However, contrary to the empirical literature for the US, we find evidence that large banks react more than smaller ones to monetary policy shocks. Results may have important implications for monetary policy transmission in light of the recent wave of concentration in the Brazilian banking industry.
27 citations
TL;DR: The authors investigates monetary policy in Brazil following a shift to a floating exchange rate alongside inflation targeting adoption, showing that the Central Bank behaves according to the Taylor principle by raising the overnight Selic policy interest rate more than the amount by which expected inflation exceeds the target.
25 citations
TL;DR: In this paper, the authors analyzed the term structures of disagreement in expectations regarding the future values of these variables and investigated the driving factors of disagreement, paying special attention to the influence of monetary authorities' credibility.
Abstract: Based on market expectations reported by the Central Bank of Brazil for the SELIC interest rate, the IPCA inflation, the exchange rate (BRL/USD) and the growth rate of industrial production for four different forecasting horizons, this work analyzes the term structures of disagreement in expectations regarding the future values of these variables. It also investigates the driving factors of disagreement, paying special attention to the influence of monetary authorities’ credibility. An extensive regression analysis shows that the levels of the term structures of disagreement are negatively related to the output gap (although this result is not very robust); and that the levels of the term structures of disagreement in expectations about the IPCA inflation rate and the SELIC interest rate have a strong negative relationship with central bankers’ credibility; this relationship is positive in the case of the growth rate of industrial production.
24 citations
TL;DR: In this paper, the authors show that maintaining a high interest rate is inherent to the strategy for conduction of the monetary policy and that the present policy for defining the basic interest rate of the economy, based on the response to inflation considering both market prices and administered prices, is onerous for the Brazilian society.
Abstract: After surpassed more than a half decade since the adoption of inflation targeting in Brazil, it can be seen that maintaining a high interest rate is inherent to the strategy for the conduction of the monetary policy. The objective of this paper is to show that the present policy for defining the basic interest rate of the economy, based on the response to inflation considering both market prices and administered prices, is onerous for the Brazilian society. Based on findings from empirical evidence in the period 1999-2004, the adoption of a core inflation, a change in the time horizon for definition of targets, and, in common agreement between Banco Central do Brasil and National Treasury a definition of these inflation targets, as a framework to increase efficiency of the monetary regime creating possibilities for reducing the Selic rate is proposed.
JEL Classification: E52; E58.
20 citations
Related Topics (5)
Performance Metrics
| Year | Papers |
|---|---|
| 2021 | 2 |
| 2020 | 2 |
| 2019 | 1 |
| 2018 | 6 |
| 2017 | 2 |
| 2016 | 4 |