O canal de empréstimo e o papel das captações externas

Abstract

I use VAR and banking data to evaluate the lending channel in Brazil, from 2000 to 2011, after considering the following shocks: commodity price, country risk premium, and monetary shock. Among several aggregates, I originally verified the response of external liabilities of the financial institutions to the proposed shocks. In particular, external liabilities, despite of being mainly directed to expand credit supply, are not able to counteract the effects pursued by the monetary authority when moving its policy interest rate. Moreover, liquid assets are found to be an important destination in the presence of a riskier environment. The VAR identification strategy guarantees the absence of puzzles.