Assimetrias nas respostas dos Estados brasileiros aos choques na política monetária e no câmbio

Abstract

This paper seeks to detect asymmetries of the responses of quarterly growth rate of state s economic activity level and prices to monetary policy and exchange rate shocks. It also estimates the relative importance of the response of state s economic activity levels to common and specific shocks. The objective is to contribute on the investigation whether Brazilian states are an Optimum Currency Area. The study contributes to the literature by adopting, in this type of analysis, a model of Factor-Augmented Vector Autoregression (FAVAR), identified by signal restrictions. Nowcast methodology and an unbalanced data panel were used to overcome the problems of low quality and little extension of state s economic activity data. The results show that the model with the extended sample of state s economic activity levels is better with regard to the identification of structural shocks at the state level. It was found a significant symmetry in price responses and an unpredictability in the response of state s activity levels to monetary policy and exchange rate shocks. The two states with the highest participation in the Brazilian GDP, São Paulo and Rio de Janeiro, have response to common shocks relatively high in relation to the specific (110.86% and 99.38% respectively). There are also two states with low participation in the Brazilian GDP, Ceará and Pará, with high relative importance of common shocks responses (109.27% and 92.84% respectively).