Efeito das instabilidades financeiras nas dinâmicas da economia brasileira (2000 - 2015)

Abstract

This paper presents the differences in macroeconomic dynamics that occurred during instabilities in the Brazilian financial market from 2000 to 2015. In this regard, we introduced the Brazilian financial stress index and investigated its interaction with real activity, inflation and monetary policy using a Markov-switching VAR model. We could verify distinct economic reactions during stressful periods. At the same time, the observed effects of financial instability shocks do not differ in real activity between developed and developing countries. Furthermore, policies that cause opposite effects in stable and stressful regimes indicate that a government might deepen a financial crisis if policy-makers implements a policy used successfully during a regime that is economically and behaviorally dissimilar from tense states.