Risco de crédito e as políticas monetárias convencional e não convencional: O caso Brasileiro

Abstract

Banking credit is an important channel of transmission of monetary and financial shocks to the real side of the economy. This paper investigates the relationship between credit risk andmonetary policy, conducted in both conventional and non-conventional ways, and analyzes the effects and channels of transmission of exogenous shocks on credit risk, nominal interest rate and reserve requirements to the business cycle. The model by Gertler & Karadi (2011) ismodified to incorporate endogenous credit risk given by the probability of default in bank loans by the firm. The results of simulations for the Brazilian economy indicate a countercyclical default rate, which acts to compensate banks for losses with the "bad" payers. A more aggressive countercyclical reserve requirements rule contributes to stabilize the business cycle without significantly affecting credit risk.