Since 2014
The External Finance Premium in Brazil: Empirical Analyses Using State Space Models
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
The External Finance Premium in Brazil: Empirical Analyses Using State Space Models
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| Creator |
Oliveira, Fernando Nascimento; IBMEC/RJ
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| Subject |
External Finance Premium (EFP), State Space Models, Kalman Filter, Monetary Transmission Mechanism, Balance Sheet Channel.
G30, G32 |
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| Description |
Our objective in this paper is to estimate the external finance premium (EFP), which is a non observable variable, of firms in Brazil using state space models. For this purpose, we built an original database with confidential and public data containing balance sheet information of 5,026 public and private firms from the third quarter of 1994 to the fourth quarter of 2010. Our results show that the average and volatility of the EFP of small firms is higher than those of large firms and that the EFP is more sensitive to monetary policy for small firms than for large firms. These empirical evidences point to the importance of the balance sheet channel of the transmission mechanism of monetary policy in Brazil.
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| Publisher |
Sociedade Brasileira de Econometria
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| Contributor |
—
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| Date |
2016-03-10
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/36076
10.12660/bre.v36n12016.36076 |
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| Source |
Brazilian Review of Econometrics; Vol 36, No 1 (2016); 97-131
Brazilian Review of Econometrics; Vol 36, No 1 (2016); 97-131 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/36076/50036
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| Rights |
Copyright (c) 2015 Brazilian Review of Econometrics
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