Crescimento monetário e seu impacto na inflação e taxas de juro estudo aplicado ao mercado monetário moçambicano para o período de 01/96 à 06/08

Abstract

The aim of this study is to analyze the dynamic characteristics of the money market trend, specifically the effect of money growth on the inflation rate and market interest rates in the Mozambican economy. To contemplate these objectives, an analysis of the impulse-response functions and decomposition of the variance arising from the estimation of regressions using the vector autoregressive (VAR) method is carried out. The empirical results of the present work suggest, according to the Granger causality test, that the monetary base is the most exogenous variable in the system (that is, the one that cannot be explained by any other variable in the system), followed by the interest rate of operations on the assets of commercial banks and inflation rate. The interest rate on liability operations is the most endogenous variable and, therefore, affected by all other variables in the system. The analysis of the currency-interest and currency-in fiation relations by the response-impulse and variance decomposition functions led to the following conclusions: (1) only the monetary base and the interest rate on asset operations significantly influence the determination of the interest rate on liability operations, while the inflation rate explains a very small and non-significant margin of variation in this interest rate ; (2) in the money-inflation relation, one notices a slight participation of the monetary base in the explanation of the variance of the forecast error of the inflation rate, and an almost null participation of the active interest rate. However, the expectation that was previously established, deduced from the economic theory inherent to the long-term relationship of monetary growth and inflation, contrasts with the observed results. (TRADUÇÃO NOSSA)