Effects of monetary policy transmission mechanism on car sales in Brazil after the real plan

Fernandes, Thiago Rocha; Dantas, Fabiano da Costa

doi:10.1590/0104-530X3780-20

Thiago Rocha Fernandes

Universidade Federal Rural do Semi-árido – UFERSA, Caraúbas, RN, Brasil. E-mail thiago_678@hotmail.com

https://orcid.org/0000-0002-8062-1143

Fabiano da Costa Dantas

Universidade Federal Rural do Semi-árido – UFERSA, Centro Multidisciplinar de Caraúbas, Depto de Ciência e Tecnologia, Caraúbas, RN, Brasil. E-mail fabianodantas@ufersa.edu.br

https://orcid.org/0000-0002-9315-6236

Lag	LR	FPE	AIC	SC	HQ
0	-	9.89E-07	0.362650	0.438564	0.393289
1	2917.331	2.02E-12	-12.73627	-12.28079	-12.55244
2	172.5420	1.13E-12	-13.32032	-12.48528 *	-12.98330 *
3	70.14391	1.01E-12 *	-13.43372 *	-12.21910	-12.94350
4	43.66537 ^* * Indicates lag order selected by the criterion; LR: Sequential Modified LR Test Statistic; FPE: Final Prediction Error; AIC: Akaike Information Criterion; SC: Schwarz Information Criterion; HQ: Hannan-Quinn Information Criterion. Source and Development: Authors.	1.02E-12	-13.42554	-11.83136	-12.78212
5	22.63700	1.14E-12	-13.31707	-11.34333	-12.52046

Lag	Statistics LM	p-value
1	85.06722	0.0000
2	90.88568	0.0000
3	27.69352	0.3222
4	37.61834	0.0504
5	30.44823	0.2079
6	21.25195	0.6785
7	32.12141	0.1545
8	30.64560	0.2010
9	58.24473	0.0002

Residual Correlation (Doornik-Hansen)				Residual Covariance (Urzúa)
Component	JB	df	p-value	Component	JB	Df	p-value
1	142.9484	2	0.0000	1	585.5429	2	0.0000
2	16.79376	2	0.0002	2	50.58093	2	0.0000
3	130.7777	2	0.0000	3	11870.38	2	0.0000
4	44.05973	2	0.0000	4	105.8662	2	0.0000
5	53.44215	2	0.0000	5	340.3584	2	0.0000
Joint	388.0217	10	0.0000	Joint	13829.49	105	0.0000

Test λ trace					Test λ maximum
H₀	H₁	Testing Statistics	Critical Value 95%	Critical Value 99%	H₀	H₁	Testing Statistics	Critical Value 95%	Critical Value 99%
r = 0	r> 0	95.0345 ^ Null hypothesis rejected at significance level of 1%;	68.52	76.07	r = 0	r = 1	42.6215 **	33.46	38.77
r ≤ 1	r> 1	52.4130 ^* * Null hypothesis rejected at significance level of 5%, r = cointegration vector. Source and Development: Authors.	47.21	54.46	r = 1	r = 2	30.7989 ^* * Null hypothesis rejected at significance level of 5%, r = cointegration vector. Source and Development: Authors.	27.07	32.24
r ≤ 2	r> 2	21.6140	29.68	35.65	r = 2	r = 3	14.9719	20.97	25.52
r ≤ 3	r> 3	6.64210	15.41	20.04	r = 3	r = 4	4.64659	14.07	18.63
r ≤ 4	r> 4	1.99550	3.76	6.65	r = 4	r = 5	1.99550	3.76	6.65

Variables	Model^a a Model “C” with constant and “T” with deterministic trend;	Lags ^b b lag value selected according to the criteria of SC;	ShiftFunction	Used Break Date	Statistics Test^c c critical values with 1% significance level. Critical values of Saikkonen Lütkepohl-Test are (Lanne et al., 2002): (i) model with constant: -3.48 (1%); -2.88 (5%) and -2.58 (10%); (ii) model with constant and deterministic trend: -3.55 (1%); -3.03 (5%) and -2.76 (10%). Source and Development: Authors.
LNV	C	2	Impulse Dummy	1999: 06	-4.7156
LNV	C, T	2	Rational Shift	2000: 02	-4.9274
LNM1	C	4	Impulse Dummy	1997: 04	-8.3747
LNM1	C, T	2	Rational Shift	1995: 07	-8.3692
LNIPCA	C	4	Impulse Dummy	1999: 08	- 5.2912
LNIPCA	C, T	2	Rational Shift	1995: 03	-5.2995
LNTXC	C	4	Impulse Dummy	1999: 04	-8.5781
LNTXC	C, T	2	Rational Shift	1995: 07	-8.5482
LNTXJ	C	4	Impulse Dummy	1995: 05	-4.7158
LNTXJ	C, T	2	Rational Shift	1999: 04	-4.7001

LNV	LNIPCA	LNM1	LNTXC	LNTXJ
1.000000	-0.906766	-2.352458	0.457557	-0.273378
	(0.15829) ^* * Standard error; Source and Development: Authors.	(0.42776)	(0.27892)	(0.28119)

Null hypothesis	χ²	Probability
LNIPCA does not Granger cause LNV	1.259001	0.5329
LNM1 does not Granger cause LNV	2.376962	0.3047
LNTXC does not Granger cause LNV	7.399163	0.0247
LNTXJ does not Granger cause LNV	12.81416	0.0016
LNIPCA, LNM1, LNTXC, LNTXJ does not Granger cause LNV	30.24162	0.0002

Variance Decomposition of LNV:
Period	Standard Error	LNV	LNIPCA	LNM1	LNTXC	LNTXJ
1	0.058039	100.0000	0.000000	0.000000	0.000000	0.000000
3	0.073855	91.55794	0.620679	1.745549	1.862147	4.213687
6	0.085230	72.98994	1.287709	1.652563	14.98915	9.080635
9	0.097555	56.14853	1.282262	1.377887	30.58836	10.60296
12	0.101575	52.21150	1.294741	1.280428	34.13202	11.08131
Variance Decomposition of LNIPCA:
Period	Standard Error	LNV	LNIPCA	LNM1	LNTXC	LNTXJ
1	0.279742	0.705552	99.29445	0.000000	0.000000	0.000000
3	0.329253	1.050470	92.09138	0.000667	6.684401	0.173080
6	0.347274	1.086134	91.01208	0.028714	7.432339	0.440731
9	0.352889	1.122921	89.65705	0.138141	7.872560	1.209329
12	0.355294	1.174326	88.82269	0.148974	8.040283	1.813732
Variance Decomposition of LNM1:
Period	Standard Error	LNV	LNIPCA	LNM1	LNTXC	LNTXJ
1	0.015778	0.785501	0.686359	98.52814	0.000000	0.000000
3	0.033615	1.190196	0.799769	95.55700	1.481766	0.971267
6	0.040027	7.955590	3.469094	77.18648	5.314649	6.074184
9	0.043825	7.486102	4.100906	72.14870	7.404268	8.860028
12	0.046033	6.860369	3.790291	66.05549	13.85665	9.437197
Variance Decomposition of LNTXC:
Period	Standard Error	LNV	LNIPCA	LNM1	LNTXC	LNTXJ
1	0.037143	7.420499	0.054974	0.011128	92.51340	0.000000
3	0.085531	4.917530	0.238871	0.116849	94.11917	0.607585
6	0.103303	3.679736	0.477913	0.264716	95.01767	0.559963
9	0.104030	3.988669	0.519213	0.474947	94.22148	0.795692
12	0.104389	3.994388	0.540748	0.607855	93.69146	1.165554
Variance Decomposition of LNTXJ:
Period	Standard Error	LNV	LNIPCA	LNM1	LNTXC	LNTXJ
1	0.115475	0.341089	2.520817	1.166805	0.362823	95.60847
3	0.159751	6.236027	1.444465	2.274755	1.670200	88.37455
6	0.202614	11.80283	2.826634	1.607292	2.180792	81.58245
9	0.228995	11.79856	3.965379	1.423096	4.312208	78.50075
12	0.249198	11.09778	4.317415	1.226100	9.013082	74.34563
Cholesky Ordering: LNV LIPCA LNM1 LTXC LNTXJ

\begin{array}{l} V_{t} = A_{1} + \sum_{j = 1}^{k} α_{j} V_{t - j} + \sum_{j = 1}^{k} β_{j} M 1_{t - j} + \sum_{j = 1}^{k} λ_{j} I P C A_{t - j} + \sum_{j = 1}^{k} δ_{j} T X C_{t - j} + \sum_{j = 1}^{k} γ_{j} T X J_{t - j} + ε_{1 t} \\ M 1_{t} = A_{2} + \sum_{j = 1}^{k} φ_{j} V_{t - j} + \sum_{j = 1}^{k} ω_{j} M 1_{t - j} + \sum_{j = 1}^{k} υ_{j} I P C A_{t - j} + \sum_{j = 1}^{k} μ_{j} T X C_{t - j} + \sum_{j = 1}^{k} π_{j} T X J_{t - j} + ε_{2 t} \\ I P C A_{t} = A_{3} + \sum_{j = 1}^{k} ζ_{j} V_{t - j} + \sum_{j = 1}^{k} σ_{j} M 1_{t - j} + \sum_{j = 1}^{k} ψ_{j} I P C A_{t - j} + \sum_{j = 1}^{k} ξ_{j} T X C_{t - j} + \sum_{j = 1}^{k} θ_{j} T X J_{t - j} + ε_{3 t} \\ T X C_{t} = A_{4} + \sum_{j = 1}^{k} ϕ_{j} V_{t - j} + \sum_{j = 1}^{k} ϑ_{j} M 1_{t - j} + \sum_{j = 1}^{k} ρ_{j} I P C A_{t - j} + \sum_{j = 1}^{k} ς_{j} T X C_{t - j} + \sum_{j = 1}^{k} β_{j} T X J_{t - j} + ε_{4 t} \\ T X J_{t} = A_{5} + \sum_{j = 1}^{k} χ_{j} V_{t - j} + \sum_{j = 1}^{k} φ_{j} M 1_{t - j} + \sum_{j = 1}^{k} Ω_{j} I P C A_{t - j} + \sum_{j = 1}^{k} Ψ_{j} T X C_{t - j} + \sum_{j = 1}^{k} η_{j} T X J_{t - j} + ε_{5 t} \end{array}

[TFN1] ^*
Indicates lag order selected by the criterion; LR: Sequential Modified LR Test Statistic; FPE: Final Prediction Error; AIC: Akaike Information Criterion; SC: Schwarz Information Criterion; HQ: Hannan-Quinn Information Criterion. Source and Development: Authors.

Brasil

Brasil

Effects of monetary policy transmission mechanism on car sales in Brazil after the real plan

Efeitos do mecanismo de tranmissão de política monetária sobre as vendas de automóveis no Brasil pós-plano Real

Abstract