Causalidade e cointegração entre as taxas de juro nominais e a oferta monetária em Moçambique de janeiro de 2001 a novembro de 2007

Abstract

The present work presents the Johansen cointegration test in the context of vector autoregressive models (VAR) in the analysis of causality and cointegration between nominal interest rates and money supply in Mozambique from January 2001 to November 2007. The work It involves two main steps: The literature review where an approach is made on the theoretical aspects of money supply and interest rate, time series, unit root tests, cointegration and vector autoregressive models (VAR). From the analysis of the tests performed, it is concluded that the series of money supply (M2) and interest rates on credits and deposits (TJC30 and TJD30) are stationary in first differences and that there are long-term relationships between them, they are represented by two cointegrating equations. The error correction mechanism shows that in the relationship equation of TJD30 and M2, 30% of the imbalances between TJD30 and M2 in the previous period are corrected in the following period. In the relationship equation of the TJC30 and M2, 31% of the imbalances between the TJC30 and M2 in the previous period are corrected in the following period. The speed of adjustment in the two equations is relatively strong, as it takes 3 periods to re-establish the long-term equilibrium. According to the result of the Ckolesky variance decomposition, the money supply (M2) has a significant influence on the behavior of nominal interest rates, with an increase over time, reaching more significant values ​​from the fifth period of innovation onwards. The result of the impulse response function of interest rates on loans and deposits (TJC30,TJD30) in relation to innovations or amplitude of the standard deviation in the money supply (M2) showed relevant effects, thus showing the existence of interrelations in the behavior of series. (TRADUÇÃO NOSSA)