MONEY AND CREDIT IN THE BRAZILIAN ECONOMY: A MODEL WITH ERROR CORRECTION VECTORS

Abstract

This article searches for the relation between money, credit and aggregated product in the Brazilian experience during the 1980/1989 period. A key element of the study is the estiamtion of Errors Correction Vectors Model which allows the identification of relations between variables in the short and long terms, in opposition to conventional methodologies which analyze only shortterm relations. The text starts with the stocastic properties of the different series, paying special attention to its integration orders. Then de model is estimaded through the method of maximuin similarity outlined by Johansen (1989) and Johansen/Juselius (1990). At the end, the estimation is used for analyzing the time pattern of impulses and answers between the variables. A relevant outcome is that changes of product have been caused mainly by monetary shocks while the credit shorks exerted a smaller influence.