Relações causais entre o mercado financeiro e o ciclo de negócios no Brasil

Abstract

The study of causal relationships between the financial market and the business cycle is fundamental to understanding how financial variables affect the real economy. Comprehension of this interaction can provide an adequate basis for the economic policy maker to make decisions. If variables such as interest rates, exchange rate, inflation and credit could influence GDP, understanding this dynamic will help, in theory, to predict trends, identify risks, opportunities, and guide policies to promote stable growth. This dissertation seeks to capture the main causal relationships between the financial market and the business cycle in Brazil, focusing on the feedbacks between financial variables and macroeconomic variables. The article innovates in relation to the Brazilian literature by introducing interest spreads in a Bayesian VAR identified by heteroscedasticity. According to Brunnermeier, Palia, Sastry, and Sims (2020), the introduction of these spreads allows a better identification of financial disturbances and monetary policy. The main results: a greater effect of exogenous shocks of business credit on GDP than those of credit to households, as in Da Silva e Zilberman (2017); the exogenous shocks of increased financial uncertainty (spread between the Selic rate and the preferential rate charged to large bank customers) affect output in the short-term; both the spreads and credit variables have a low predictive capacity for economic fluctuations.