A monthly indicator of Brazilian GDP. The Brazilian business cycle and growth cycle

This paper constructs an indicator of Brazilian GDP at the monthly ftequency. The peculiar instability and abrupt changes of regimes in the dynamic behavior of the Brazilian business cycle were explicitly modeled within nonlinear ftameworks. In particular, a Markov switching dynarnic factor model was used to combine several macroeconomic variables that display simultaneous comovements with aggregate economic activity. The model generates as output a monthly indicator of the Brazilian GDP and real time probabilities of the current phase of the Brazilian business cycle. The monthly indicator shows a remarkable historical conformity with cyclical movements of GDP. In addition, the estimated filtered probabilities predict ali recessions in sample and out-of-sample. The ability of the indicator in linear forecasting growth rates of GDP is also examined. The estimated indicator displays a better in-sample and out-of-sample predictive performance in forecasting growth rates of real GDP, compared to a linear autoregressive model for GDP. These results suggest that the estimated monthly indicator can be used to forecast GDP and to monitor the state of the Brazilian economy in real time.

Public debt indexation and denomination, the case of Brazil: a comment

In this work I analyze the model proposed by Goldfajn (2000) to study the choice of the denomination of the public debt. The main purpose of the analysis is pointing out possible reasons why new empirical evidence provided by Bevilaqua, Garcia and Nechio (2004), regarding a more recent time period, Önds a lower empirical support to the model. I also provide a measure of the overestimation of the welfare gains of hedging the debt led by the simpliÖed time frame of the model. Assuming a time-preference parameter of 0.9, for instance, welfare gains associated with a hedge to the debt that reduces to a half a once-for-all 20%-of-GDP shock to government spending run around 1.43% of GDP under the no-tax-smoothing structure of the model. Under a Ramsey allocation, though, welfare gains amount to just around 0.05% of GDP.

What happens after the central bank of Brazil increases the target interbank rate by 1%?

I start presenting an explicit solution to Taylorís (2001) model, in order to illustrate the link between the target interest rate and the overnight interest rate prevailing in the economy. Next, I use Vector Auto Regressions to shed some light on the evolution of key macroeconomic variables after the Central Bank of Brazil increases the target interest rate by 1%. Point estimates show a four-year accumulated output loss ranging from 0:04% (whole sample, 1980 : 1-2004 : 2; quarterly data) to 0:25% (Post-Real data only) with a Örst-year peak output response between 0:04% and 1:0%; respectively. Prices decline between 2% and 4% in a 4-year horizon. The accumulated output response is found to be between 3:5 and 6 times higher after the Real Plan than when the whole sample is considered. The 95% confidence bands obtained using bias-corrected bootstrap always include the null output response when the whole sample is used, but not when the data is restricted to the Post-Real period. Innovations to interest rates explain between 4:9% (whole sample) and 9:2% (post-Real sample) of the forecast error of GDP.

The effect of social security, demography and technology on retirement

This article investigates the causes in the reduction of labor force participation of the old. We argue that the changes in social security policy, in technology and in demography may account for most of the changes in retirement over the second part of the last century in the U.S. economy. We develop a dynamic general equilibrium model with endogenous retirement that embeds social security legislation. The model is able to match very closely the increase in the retirement rate of males aged 65 and older. It also quanti es the isolated impact on retirement and on the solvency of the social security system of the di¤erent factors. The model suggests that technological and demographic changes had a strong in uence on retirement, so that it would have increased signi cantly even if the social security rules had not changed. However, as the latter became much more generous in the past, changes in social security policy can account not only for a sizeable part of the expansion of retirement, but also for the most of the observed increase in the social security expenses as a share of GDP.

The effect of social security, demography and technology on retirement

This article investigates the causes in the reduction of labor force participation of the old. We argue that the changes in social security policy, in technology and in demography may account for most of the changes in retirement over the second part of the last century in the U.S. economy. We develop a dynamic general equilibrium model with endogenous retirement that embeds social security legislation. The model is able to match very closely the increase in the retirement rate of males aged 65 and older. It also quanti es the isolated impact on retirement and on the solvency of the social security system of the di¤erent factors. The model suggests that technological and demographic changes had a strong in uence on retirement, so that it would have increased signi cantly even if the social security rules had not changed. However, as the latter became much more generous in the past, changes in social security policy can account not only for a sizeable part of the expansion of retirement, but also for the most of the observed increase in the social security expenses as a share of GDP.

What happens after the Central Bank of Brazil increases the target interbank rate by 1%?

In this paper I use Taylor's (2001) model and Vector Auto Regressions to shed some light on the evolution of some key macroeconomic variables after the Central Bank of Brazil, through the COPOM, increases the target interest rate by 1%. From a quantitative perspective, the best estimate from the empírical analysis, obtained with a 1994 : 2 - 2004 : 2 subsample of the data, is that GDP goes through an accumulated decline, over the next four years, around 0.08%. Innovations to interest rates explain around 9.2% of the forecast erro r of GDP.

Comments on public debt indexation and denomination, the case of Brazil

In this work I analyze the model proposed by Goldfajn (2000) to study the choice of the denomination of the public debt. Some potential shortcmomings of the mo dei in explaining the data are discussed. Measures of the overestimation of the welfare gains of reducing distortions from taxation, under the model's simplified time frame, are also provided. Assuming a time-preference parameter of 0.9, for instance, welfare gains associated with a hedge to the debt that reduces to half a once-for-all 20o/o-of-GDP shock to governemnt spending run around 1.43% of GDP under the no-tax-smoothing structure of the model. Under a Ramsey allocation, though, welfare gains amount to just around 0.05% of GDP.

A restatement of the welafare costs of inflation. The wast of scarce resources in the manufacturing , banking and household sectors

Lucas (2000) estimates that the US welfare costs of inflation are around 1% of GDP. This measurement is consistent with a speci…c distorting channel in terms of the Bailey triangle under the demand for monetary base schedule (outside money): the displacement of resources from the production of consumption goods to the household transaction time à la Baumol. Here, we consider also several new types of distortions in the manufacturing and banking industries. Our new evidences show that both banks and firms demand special occupational employments to avoid the inflation tax. We de…ne the concept of ”the foat labor”: The occupational employments that are aflected by the in‡ation rates. More administrative workers are hired relatively to the bluecollar workers for producing consumption goods. This new phenomenon makes the manufacturing industry more roundabout. To take into account this new stylized fact and others, we redo at same time both ”The model 5: A Banking Sector -2” formulated by Lucas (1993) and ”The Competitive Banking System” proposed by Yoshino (1993). This modelling allows us to characterize better the new types of misallocations. We …nd that the maximum value of the resources wasted by the US economy happened in the years 1980-81, after the 2nd oil shock. In these years, we estimate the excess resources that are allocated for every speci…c distorting channel: i) The US commercial banks spent additional resources of around 2% of GDP; ii) For the purpose of the firm foating time were used between 2.4% and 4.1% of GDP); and iii) For the household transaction time were allocated between 3.1% and 4.5 % of GDP. The Bailey triangle under the demand for the monetary base schedule represented around 1% of GDP, which is consistent with Lucas (2000). We estimate that the US total welfare costs of in‡ation were around 10% of GDP in terms of the consumption goods foregone. The big di¤erence between our results and Lucas (2000) are mainly due to the Harberger triangle in the market for loans (inside money) which makes part of the household transaction time, of the …rm ‡oat labor and of the distortion in the banking industry. This triangle arises due to the widening interest rates spread in the presence of a distorting inflation tax and under a fractionally reserve system. The Harberger triangle can represent 80% of the total welfare costs of inflation while the remaining percentage is split almost equally between the Bailey triangle and the resources used for the bank services. Finally, we formulate several theorems in terms of the optimal nonneutral monetary policy so as to compare with the classical monetary theory.

Taxas de matrícula e gastos em educação no Brasil

Neste trabalho avaliamos, sob a Ûtica macroeconÙmica, o custo do atraso educacional brasileiro. Utilizamos uma vers„o do modelo de crescimento neocl·ssico com formulaÁ„o minceriana para o capital humano no qual, para uma parametrizaÁ„o apropriada, simulamos o impacto sobre os agregados macroeconÙmicos de um perÖl factÌvel de gasto em educaÁ„o com gastos sistematicamente maiores a partir de 1933. Gastos mais elevados permitiriam matrÌculas adicionais no ensino p˙blico e a maior escolaridade da populaÁ„o aumentaria a produtividade do trabalho, impactando sobre os agregados macro. Dessa forma, esta abordagem requer o valor de gastos por aluno, de modo que reproduzimos aqui o n˙mero anual de matrÌculas iniciais nos trÍs nÌveis de ensino (prim·rio, secund·rio e terci·rio), a taxa de matrÌcula bruta para cada um desses nÌveis de 1933 a 2005 e uma sugest„o de c·lculo de uma sÈrie histÛrica de gastos em educaÁ„o para o referido perÌodo. Seguindo esta abordagem, o PIB em 2004, por exemplo, poderia ser sido atÈ 27% maior do que o observado. Uma outra quest„o que buscamos responder nesse trabalho È o impacto sobre os agregados macroenÙmicos da universalizaÁ„o dos ensinos prim·rio e secund·rio j· nos anos 50 e 60. Embora tal polÌtica pudesse ter levado a um produto 26% maior em 2004, esta requeriria investimentos substanciais em educaÁ„o, algo superior a 10% do PIB de 1958 a 1962, por exemplo.

Privatização aspectos fiscais e dívida pública

Este trabalho analisa os efeitos do programa de desestatização brasileiro sobre acumulação da dívida pública no período 1995-1999. objetivo central avaliar se utilização de receitas auferidas com alienação de ativos estatais concessões de serviços públicos no abatimento de dívidas de curto prazo tem efeito significativo sobre redução ou contenção do crescimento da dívida pública alteração do seu perfil, com reflexos sobre as necessidades de financiamento do setor público. Como possível contribuição adicional, esta dissertação apresenta um conjunto de dados, em geral pouco conhecidos, relativos às empresas estatais, ao programa de desestatização dívida pública, considerados de interesse geral. Dentre os principais aspectos discutidos no trabalho destacam-se os seguintes, referentes ao período 1995-1999. economia de juros obtida por meio do uso de recursos da privatização no resgate da dívida mobiliária interna de emissão do Tesouro Nacional atingiu R$ 8,8 bilhões, contra R$ 0,5 bilhão que Tesouro deixou de arrecadar na forma de dividendos das empresas privatizadas. No que tange aos efeitos da privatização sobre os estoques de dívidas, calcularam-se reduções de R$ 27,6 bilhões R$ 30,8 bilhões no saldo nas emissões de títulos competitivos dessa dívida, respectivamente. redução da dívida líquida do setor público alcançou 8,4% do PIB, tendo as privatizações estaduais contribuído com 3,6% do PIB. Adicionalmente, as necessidades de financiamento do setor público foram reduzidas em 5,4% do PIB. Esses são alguns resultados obtidos, por meio de metodologia de cálculo descrita no trabalho utilizando-se dados efetivamente observados, com os valores em moeda corrente preços de dezembro de 1999. Acrescenta-se esses resultados melhoria do desempenho das estatais remanescentes de alguns indicadores fiscais, com impactos positivos sobre dívida e déficit públicos. análise dos resultados indica que contribuição da privatização para redução da dívida do setor público esforço de ajuste fiscal pode ser significativa, mesmo no curto prazo. utilização de receitas de privatização para abater diversas dívidas governamentais as dívidas transferidas para setor privado reduziram carga de juros incidentes sobre dívida, seu estoque déficit público no período sob análise. privatização possibilitou, ainda, melhoria do perfil da dívida reestruturação de passivos do setor público.

Análise da proposta de reforma tributária (EC nº 42) do governo Lula

As mudanças tributárias realizadas na última década priorizaram o ajuste fiscal com uma elevação da carga de impostos que saltou de 27% do PIB, em 1994, para cerca de 36% do PIB, em 2003. Esse aumento da carga tributária esteve associado principalmente ao aumento das contribuições sociais cumulativas. Além dessa crescente cumulatividade, outras características que têm marcado o sistema tributário brasileiro são a complexidade e os conflitos federativos que alimentam uma profunda guerra fiscal entre Estados e municípios. Em abril de 2003, o Governo Lula encaminhou ao Congresso Nacional uma ampla proposta de reforma tributária, tendo como objetivos principais (i) simplificar o sistema tributário brasileiro, (ii) reduzir a cumulatividade dos tributos e (iii) acabar com a guerra fiscal. Apesar do reconhecimento generalizado de que a carga tributária brasileira é excessivamente elevada, o governo federal limitou-se a assumir o compromisso de não promover aumentos adicionais de impostos. Inserido nesse contexto, este estudo analisa (i) o quadro fiscal brasileiro, procurando identificar as reais restrições que impedem a redução da carga tributária brasileira e (ii) as medidas tributárias propostas pelo Governo Lula, destacando suas implicações sobre o desenvolvimento econômico brasileiro.

Internacionalização, democracia e gasto social na América Latina, 1980-1999

Neste trabalho examinamos o impacto da globalização sobre os gastos sociais nos países da América Latina. Para medir o nível de internacionalização das economias latino-americanas, construímos um novo indicador de abertura financeira baseada na codificação proposta por Dennis Quinn (1997). Nossos resultados apontam para duas lógicas sobre a qual os efeitos da globalização se fazem sentir. A abertura comercial tem um impacto negativo sobre o gasto social, enquanto a abertura financeira se relaciona positivamente com o mesmo tipo de gasto. Além disso, governos democráticos tendem a gastar mais em programas sociais. De modo geral, nossa pesquisa conclui que a globalização é um fenômeno complexo, apresentando simultaneamente conseqüências positivas e negativas para o financiamento dos programas sociais na América Latina.

Efeitos da taxa de câmbio na poupança interna: análise teórica e evidências empíricas para o caso brasileiro

Este trabalho tem como principal objetivo investigar as relações entre nível da taxa de câmbio real, poupança externa e poupança doméstica no Brasil. Dentro do modelo aqui explorado, casos de sobrevalorização excessiva do câmbio real levam à redução de margens de lucro nos setores de produção de bens comercializáveis, resultando numa queda importante no nível de poupança agregada doméstica, bem como na substituição da poupança doméstica pela poupança externa. A análise econométrica realizada para a economia brasileira indica que há uma relação estável de longo prazo entre taxa de câmbio e poupança interna, e que desvalorizações relativas da taxa de câmbio real têm impactos positivos e significantes sobre a poupança doméstica no período estudado. Além disso, os resultados das estimativas confirmam a existência de substituição de poupança doméstica por poupança externa

Trade in intermediate goods and total factor productivity

We develop and calibrate a model where differences in factor endowments lead countries to trade intermediate goods, and gains from trade reflect in total factor productivity. We perform several output and growth decompositions, to assess the impact that barriers to trade, as well as changes in terms of trade, have on measured TFP. We find that for very poor economies gains from trade are large, in some cases representing a doubling of GDP. Also, that an improvement in the terms of trade - by allowing the use of a better mix of intermediate inputs in the production process - translates into productivity growth.

Risk sharing and the household collective model

When the joint assumption of optimal risk sharing and coincidence of beliefs is added to the collective model of Browning and Chiappori (1998) income pooling and symmetry of the pseudo-Hicksian matrix are shown to be restored. Because these are also the features of the unitary model usually rejected in empirical studies one may argue that these assumptions are at odds with evidence. We argue that this needs not be the case. The use of cross-section data to generate price and income variation is based Oil a definition of income pooling or symmetry suitable for testing the unitary model, but not the collective model with risk sharing. AIso, by relaxing assumptions on beliefs, we show that symmetry and income pooling is lost. However, with usual assumptions on existence of assignable goods, we show that beliefs are identifiable. More importantly, if di:fferences in beliefs are not too extreme, the risk sharing hypothesis is still testable.