An��lise em tempo real de comportamento explosivo em pre��os no Brasil

O objetivo deste trabalho �� determinar a exist��ncia de comportamento explosivo em pre��os no mercado brasileiro e identificar quando essas explos��es ocorreram. Para tanto, foi utilizada uma nova metodologia recursiva de testes de raiz unit��ria, que identifica in��cio e fim de explos��es de pre��os em tempo real. Foram escolhidos os ��ndices de mercado (Bovespa ajustado pelo d��lar e pelo dividend yield do mercado) e a s��rie de pre��os IGP-DI (taxa de infla����o mensal e acumulada em 12 meses) por apresentarem evid��ncias de comportamento explosivo ao longo do tempo. Os resultados obtidos apontaram a exist��ncia de comportamentos explosivos nas s��ries do Ibovespa ajustado pelo d��lar nos anos de 1997, 2006 e 2008 (per��odo anterior �� quebra do Banco Lehman Brothers) e na taxa de infla����o acumulada em 12 meses nas d��cadas de 80 e 90, previamente ao Plano Real.

Transmiss��o assim��trica de um choque de liquidez banc��rio para o cr��dito no Brasil: evid��ncias sobre impacto ��s empresas durante a crise financeira de 2008/2009

Esta disserta����o estuda o impacto do choque de liquidez no sistema financeiro nacional (SFN) sobre o cr��dito ��s empresas ap��s a quebra do Lehman Brothers, em setembro/2008. O choque ocorreu de forma diferenciada aos players do mercado nacional, de modo que algumas institui����es financeiras passaram por forte restri����o de recursos, ao passo que outras receberam um volume acentuado de dep��sitos. Para expurgar poss��veis efeitos de demanda por cr��dito, utiliza-se a abordagem de efeitos fixos por atividade econ��mica, de modo que os coeficientes estimados reflitam a oferta de cr��dito dos bancos. Os resultados obtidos corroboram, em diferentes graus, as hip��teses delineadas, com destaque para dois pontos: (i) a elasticidade do cr��dito empresarial aos dep��sitos �� diferente entre os grupos de bancos que t��m aumento ou diminui����o desta forma de funding, fato consistente com os modelos que preveem que os agentes tendem a manter mais liquidez em um contexto de incerteza sist��mica; (ii) com a escassez de recursos externos e do mercado de capitais nacional ap��s a quebra do Lehman Brothers, as grandes empresas tiveram que recorrer ao segmento banc��rio, e na disputa pelos recursos oriundos desta fonte levaram vantagem comparativa em rela����o ��s pequenas e m��dias empresas.

Tr��s ensaios sobre pol��tica monet��ria e cr��dito

In the first essay, "Determinants of Credit Expansion in Brazil", analyzes the determinants of credit using an extensive bank level panel dataset. Brazilian economy has experienced a major boost in leverage in the first decade of 2000 as a result of a set factors ranging from macroeconomic stability to the abundant liquidity in international financial markets before 2008 and a set of deliberate decisions taken by President Lula's to expand credit, boost consumption and gain political support from the lower social strata. As relevant conclusions to our investigation we verify that: credit expansion relied on the reduction of the monetary policy rate, international financial markets are an important source of funds, payroll-guaranteed credit and investment grade status affected positively credit supply. We were not able to confirm the importance of financial inclusion efforts. The importance of financial sector sanity indicators of credit conditions cannot be underestimated. These results raise questions over the sustainability of this expansion process and financial stability in the future. The second essay, ���Public Credit, Monetary Policy and Financial Stability���, discusses the role of public credit. The supply of public credit in Brazil has successfully served to relaunch the economy after the Lehman-Brothers demise. It was later transformed into a driver for economic growth as well as a regulation device to force private banks to reduce interest rates. We argue that the use of public funds to finance economic growth has three important drawbacks: it generates inflation, induces higher loan rates and may induce financial instability. An additional effect is the prevention of market credit solutions. This study contributes to the understanding of the costs and benefits of credit as a fiscal policy tool. The third essay, ���Bayesian Forecasting of Interest Rates: Do Priors Matter?���, discusses the choice of priors when forecasting short-term interest rates. Central Banks that commit to an Inflation Target monetary regime are bound to respond to inflation expectation spikes and product hiatus widening in a clear and transparent way by abiding to a Taylor rule. There are various reports of central banks being more responsive to inflationary than to deflationary shocks rendering the monetary policy response to be indeed non-linear. Besides that there is no guarantee that coefficients remain stable during time. Central Banks may switch to a dual target regime to consider deviations from inflation and the output gap. The estimation of a Taylor rule may therefore have to consider a non-linear model with time varying parameters. This paper uses Bayesian forecasting methods to predict short-term interest rates. We take two different approaches: from a theoretic perspective we focus on an augmented version of the Taylor rule and include the Real Exchange Rate, the Credit-to-GDP and the Net Public Debt-to-GDP ratios. We also take an ���atheoretic��� approach based on the Expectations Theory of the Term Structure to model short-term interest. The selection of priors is particularly relevant for predictive accuracy yet, ideally, forecasting models should require as little a priori expert insight as possible. We present recent developments in prior selection, in particular we propose the use of hierarchical hyper-g priors for better forecasting in a framework that can be easily extended to other key macroeconomic indicators.

Estudo emp��rico do comportamento dos dep��sitos das institui����es financeiras brasileiras durante a crise de 2008

A motiva����o do trabalho surgiu dos efeitos causados pela crise imobili��ria nos Estados Unidos em 2008, sendo a quebra do banco de investimento ���Lehman Brothers��� o estopim para uma s��rie de eventos. No Brasil, os efeitos foram diversos, o presente trabalho se aprofundou nos efeitos sobre as capta����es, analisando se houve uma corrida banc��ria dos pequenos e m��dios bancos para os grandes. Este estudo foi feito por meio da an��lise de quebra estrutural baseada nos testes OLS Cusum introduzido por Ploberger e Kramer (1992) e Teste F por Chow (1960), bem como por meio da an��lise de dados em painel, utilizando as metodologias de an��lise de cluster e o modelo de efeitos fixos. De um modo geral, os nossos resultados demonstram que efetivamente ocorreu uma transfer��ncia massiva de recursos dos pequenos e m��dios bancos para os grandes.

Financial governance: the Brazilian experience on prudential regulation and its impacts on the effects of the 2008 financial crisis

The Brazilian economy was severely hit by the 2008 crisis. In the beginning of the crisis, the vast majorities of the economic agents and authorities thought that Brazil could face some sort of decoupling since some macroeconomic fundamentals were very good. What we saw, however, was that the Brazilian economy was not decoupled, and expectations faced a huge deterioration soon after the bankruptcy of Lehman Brothers in September 15th. Two aspects regarding the impact of crisis in Brazil, however, deserve a great deal of attention: (a) although deep, the impact did not last for a long time. Actually, the GDP growth experienced a good recovery in the second quarter of 2009, showing that the health of the Brazilian economy was good; (b) the Brazilian banking system performed very well during the crisis, although we cannot say the system was not in danger in the worst time of the crisis. In spite of the confidence crisis faced by the banking system 1, it showed a great deal of resilience. In this aspect, we argue that the restructure faced by the banking system in the aftermath of the Real Plan, as well as the development of a solid supervision regulation helped a lot the system to avoid the systemic crisis that was an open possibility to the Brazilian banking system in the end of 2008. These notes, thus, discusse why the Brazilian banking system performed pretty well in the 2008 financial crisis and how the Brazilian banking (and prudential) regulation can be taken as responsible for this good performance. More specifically, the paper back to the middle of the 1990s, when the Real Plan was implemented, in order to understand the role played by the restructuring of the Brazilian financial system in helping to pave the way to the great resilience experienced by the Brazilian banking system during the 2008 crisis. More specifically, the prudential regulation that was implemented in Brazil in the aftermath of the Real Plan seems to play a decisive role in the resilience of the system nowadays.

A grande recess��o: oportunidade para o Brasil alcan��ar os pa��ses desenvolvidos

A crise financeira do subprime e o colapso do sistema financeiro, com a quebra do Lehman Brothers no terceiro trimestre de 2008, desencadeou um fen��meno com m��ltiplas dimens��es e distinto da crise financeira em si, chamado Grande Recess��o. Nesse cen��rio, as economias dos pa��ses centrais saem da normalidade e passam a ser regidas por comportamentos induzidos pela incerteza, medo, p��nico etc., nos quais prevalece a l��gica da desalavancagem, da balance sheet recession, da avers��o ao risco e da demanda de ativos com sinais trocados, gerando instabilidades persistentes nesses mercados. Do ponto de vista pol��tico e social, o consenso desaparece e o sistema econ��mico, suas institui����es e a ideologia que as justifica tornam-se disfuncionais, exigindo constante interven����o do Estado. O paradigma liberalizante que vigorava desde 1980 entra em crise e passa a ser questionado pelos fatos e pela crescente insatisfa����o da popula����o. Como entender o que acontecer�� com a economia global nesse contexto? Quais as consequ��ncias para o Brasil? A Grande Recess��o representa uma amea��a ou uma oportunidade para n��s? Neste texto, vamos utilizar paralelos hist��ricos recorrendo a experi��ncias similares, como a Grande Depress��o de 1890 e a Grande Depress��o de 1930. Com base nesses paralelos hist��ricos, vamos fazer algumas conjecturas e levantar hip��teses sobre o que poder�� acontecer nos pr��ximos anos no Brasil.