The External Finance Premium in Brazil: Empirical Analyses Using State Space Models

dc.creatorOliveira, Fernando Nascimento
dc.date2016-03-10
dc.date.accessioned2022-11-03T21:19:25Z
dc.date.available2022-11-03T21:19:25Z
dc.identifierhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/36076
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5048050
dc.descriptionOur 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.   en-US
dc.formatapplication/pdf
dc.languageeng
dc.publisherSociedade Brasileira de Econometriaen-US
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/36076/50036
dc.rightsCopyright (c) 2015 Brazilian Review of Econometricspt-BR
dc.sourceBrazilian Review of Econometrics; Vol. 36 No. 1 (2016); 97-131en-US
dc.sourceBrazilian Review of Econometrics; v. 36 n. 1 (2016); 97-131pt-BR
dc.source1980-2447
dc.subjectExternal Finance Premium (EFP)en-US
dc.subjectState Space Modelsen-US
dc.subjectKalman Filteren-US
dc.subjectMonetary Transmission Mechanismen-US
dc.subjectBalance Sheet Channel.en-US
dc.subjectG30en-US
dc.subjectG32en-US
dc.titleThe External Finance Premium in Brazil: Empirical Analyses Using State Space Modelsen-US
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion


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