文章基本信息

标题：Monetary and Macroprudential Policies: Empirical Evidences from Panel-VAR
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作者：Fernando da Silva Vinhado ; José Angelo Divino
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2016
卷号：13
期号：4
页码：691-731
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：The objective of this paper is to investigate the relationship between monetary and macroprudential policies and the banking sector of the Brazilian economy, exploiting its cross-section structure as a source of interrelations between systemic aspects of those policies and the behavior of banks. Impulse-response functions are computed from the estimation of panel-VAR for 56 institutions that were active in the Brazilian banking sector between 2001 and 2013. Among the results, we can highlight the influence of monetary and macroprudential policies on levels of exposure to financial risk, capital and financial stability of banks. There is a complementarity between the instruments of those policies and the stabilization of inflation. The relationships involving banking metrics reveal preference for liquidity in contexts of higher risks, evidence of a competitive banking structure, and formation of capital buffer that lead to financial stability. This confirms the importance of capital requirements as a tool to maintain a stable financial system.
关键词：monetary policy;macroprudential policy;banks;Panel-VAR.;Política monetária;Política macroprudencial;Bancos;VAR em painel.