An empirical procedure to evaluate monetary management under exogenous changes in the money supply

Autor(es)

Barbosa, Klenio ^[1] ; Fetter, Seiji ^[2] ; Rocha, Bruno de Paula ^[3]

Afiliação do(s) autor(es)

^[1] Insper Inst Educ & Res, Rua Quata 300, Sao Paulo, SP - Brazil

^[2] Brazilian Minist Finance, Econ Policy Secretariat, Brasilia, DF - Brazil

^[3] Fed Univ ABC, CECS UFABC, Ctr Engn Modeling & Appl Social Sci, Santo Andre - Brazil

• Tipo de documento: Artigo Científico
• Fonte: APPLIED ECONOMICS; v. 51, n. 12, p. 1248-1267, MAR 9 2019.
• Citações Web of Science: 0

Resumo

This article proposes an empirical procedure to evaluate central banks' monetary management in a presence of exogenous changes in the money supply. Monetary shocks deviate the market interest rate from the target, and the monetary authority decides its optimal intervention in the money market, bearing in mind the benefits and costs of re-establishing its target interest rate. According to monetary management theory, typically a central bank will allow for variation in the interest rate within a range around the target interest rate, thereby intervening in the money market when the interest rate trends toward a point outside that range. In this context, we develop an empirical strategy to analyse central bank's reactions to exogenous money changes by making a statistical comparison of the actual and the estimated intraday shift in the money supply. We also employ our method to test the reactions of the Brazilian Central Bank to liquidity shifts caused by changes in the Treasury Single Account (TSA) balance. Using different metrics of analysis, the applications of our procedure confirms the predictions of the optimal monetary management theory. (AU)

• Processo FAPESP: 97/13032-3 - Fatores condicionantes da base monetaria e o controle monetario: uma analise da conta corrente do tesouro nacional no banco central.
• Beneficiário: Klenio de Souza Barbosa
• Modalidade de apoio: Bolsas no Brasil - Iniciação Científica