On testing the Phillips curves, the IS Curves, and the interaction between fiscal and monetary policies

Esta tese é composta por três ensaios sobre testes empíricos de curvas de Phillips, curvas IS e a interação entre as políticas fiscal e monetária. O primeiro ensaio ("Curvas de Phillips: um Teste Abrangente") testa curvas de Phillips usando uma especificação autoregressiva de defasagem distribuída (ADL) que abrange a curva de Phillips Aceleracionista (APC), a curva de Phillips Novo Keynesiana (NKPC), a curva de Phillips Híbrida (HPC) e a curva de Phillips de Informação Rígida (SIPC). Utilizamos dados dos Estados Unidos (1985Q1--2007Q4) e do Brasil (1996Q1--2012Q2), usando o hiato do produto e alternativamente o custo marginal real como medida de pressão inflacionária. A evidência empírica rejeita as restrições decorrentes da NKPC, da HPC e da SIPC, mas não rejeita aquelas da APC. O segundo ensaio ("Curvas IS: um Teste Abrangente") testa curvas IS usando uma especificação ADL que abrange a curva IS Keynesiana tradicional (KISC), a curva IS Novo Keynesiana (NKISC) e a curva IS Híbrida (HISC). Utilizamos dados dos Estados Unidos (1985Q1--2007Q4) e do Brasil (1996Q1--2012Q2). A evidência empírica rejeita as restrições decorrentes da NKISC e da HISC, mas não rejeita aquelas da KISC. O terceiro ensaio ("Os Efeitos da Política Fiscal e suas Interações com a Política Monetária") analisa os efeitos de choques na política fiscal sobre a dinâmica da economia e a interação entre as políticas fiscal e monetária usando modelos SVARs. Testamos a Teoria Fiscal do Nível de Preços para o Brasil analisando a resposta do passivo do setor público a choques no superávit primário. Para a identificação híbrida, encontramos que não é possível distinguir empiricamente entre os regimes Ricardiano (Dominância Monetária) e não-Ricardiano (Dominância Fiscal). Entretanto, utilizando a identificação de restrições de sinais, existe evidência que o governo seguiu um regime Ricardiano (Dominância Monetária) de janeiro de 2000 a junho de 2008.

Relação entre as componentes principais da estrutura a termo da taxa de juros brasileira e as variáveis macroeconômicas

Este trabalho observa como as variáveis macroeconômicas (expectativa de inflação, juro real, hiato do produto e a variação cambial) influenciam a dinâmica da Estrutura a Termo da Taxa de Juros (ETTJ). Esta dinâmica foi verificada introduzindo a teoria de Análise de Componentes Principais (ACP) para capturar o efeito das componentes mais relevantes na ETTJ (nível, inclinação e curvatura). Utilizando-se as estimativas por mínimos quadrados ordinários e pelo método generalizado dos momentos, foi verificado que existe uma relação estatisticamente significante entre as variáveis macroeconômicas e as componentes principais da ETTJ.

Os impactos da comunicação do Banco Central no mercado brasileiro : o choque de notícias

Este trabalho tem como objetivo avaliar o modo que a comunicação do Banco Central do Brasil (comunicados das decisões de política monetária, atas do COPOM e relatórios de inflação) pode impactar os mercados - a reação do mercado financeiro às notícias da autoridade monetária. Nesse sentido, atenta-se para a diferença entre o que se espera que seja a informação e o que de fato a informação é: o choque de notícias. A partir dessa diferença entre a expectativa e o realizado, procura-se analisar o quanto tal desvio é relevante para as variações nos preços de alguns ativos. Encontra-se evidências de que os comunicados das decisões parecem ser bastante eficientes enquanto informantes do futuro da política monetária, o que não acontece para as atas. Ao analisarmos a interação entre comunicados e atas a partir de 2003, vemos que há uma complementaridade dos dois veículos, com o choque de notícias dos comunicados tendo mais impactos sobre maturidades de juros mais curtas e o choque das atas sobre os vértices mais longos. Por fim, as projeções de inflação dos relatórios parecem ser relevantes para movimentar a curva de juros futuros em diversos pontos.

Os determinantes macroeconômicos da estrutura a termo das expectativas de inflação no Brasil

Este trabalho visa analisar a dinâmica das expectativas de inflação em função das condições macroeconômicas. Para tal, extraímos as curvas de inflação implícita na curva de títulos públicos pré-fixados e estimamos um modelo de fatores dinâmicos para sua estrutura a termo. Os fatores do modelo correspondem ao nível, inclinação e curvatura da estrutura a termo, que variam ao longo do tempo conforme os movimentos no câmbio, na inflação, no índice de commodities e no risco Brasil implícito no CDS. Após um choque de um desvio padrão no câmbio ou na inflação, a curva de inflação implícita se desloca positivamente, especialmente no curto prazo e no longo prazo. Um choque no índice de commodities também desloca a curva de inflação implícita positivamente, afetando especialmente a parte curta da curva. Em contraste, um choque no risco Brasil desloca a curva de inflação implícita paralelamente para baixo.

The access to demand

In this paper I argue that, in developing countries, sufficient aggregate demand is not enough to motivate investment and achieve full employment. Besides, according to the Keynesian developmental macroeconomics under construction, competent business enterprises must have access to that demand –access which is denied to most of them because developing countries face the tendency to the cyclical and chronic overvaluation of the exchange rate

Measuring core inflation as the common trend of prices

In recent years, many central banks have adopted inflation targeting policies starting an intense debate about which measure of inflation to adopt. The literature on core inflation has tried to develop indicators of inflation which would respond only to "significant" changes in inflation. This paper defines a measure of core inflation as the common trend of prices in a multivariate dynamic model, that has, by construction, three properties: it filters idiosyncratic and transitory macro noises, and it leads the future leveI of headline inflation. We also show that the popular trimmed mean estimator of core inflation could be regarded as a proxy for the ideal GLS estimator for heteroskedastic data. We employ an asymmetric trimmed mean estimator to take account of possible skewness of the distribution, and we obtain an unconditional measure of core inflation.

Avoiding some costs of inflation and crawling toward hyperinflation : the case of the Brazilian domestic currency substitute

The pattem of a classical hyperinflation is an acute acceleration of the inflation levei accompanied by rapid substitution away from domestic currency. Brazil, however, has becn experiencing inflation leveis well above 1,000% a year since 1988 without entering the classical hyperinflation path. Two elements play key roles in differcntiating the Brazilian case from other hyperinflationary experiences: indexation and the provision of a reliable domestic currency substitute, Le., the provision of liquidity to interest-bearing assets. This paper claims that the existence of this domestic currency substitute is lhe main source of both lhe inability of the Brazilian central bank to fight inflation and of the unwillingness of Brazilians to face the costs of such a fight. The provision of the domestic currency substitute through the banking sector is modeled, and the main macroeconomic consequences of this monetary regime are derived. Those are: the lack of a nominal anchor for the price system due to the passive monetary policy; the endogeneity of seignorage unlikc traditional models of hyperinflation; and lhe ineffectiveness of very high real interest rates.

Ajustamento de uma economia após uma elevação da produtividade

Employing the two sector model of capital accumulation in an open economy, the impact on the path of the following variables: exchange rate, wages, investment, saving, and consequently externaI debt and capital stock afier a permanent and non expected elevation of the economy productivity is determinated. Afier this positive shock, saving rate decreases, current transaction deteriorates and the exchange rate appreciates. Those are equilibrium phenomena from 3D intertemporaI point of view due to the permanent income raise and to the domestic good excess demand that follows the productivity increase. Assuming that the stabilization programa augment the economy productivity, the model could rationalize qualitatively the stylized facts witnessed after those programa.

Economic recovery from the Argentine great depression : institutions, expectations, and the change of macroeconomic regime

This work explores how Argentina overcame the Great Depression and asks whether active macroeconomic interventions made any contribution to the recovery. In particular, we study Argentine macroeconomic policy as it deviated from gold-standard orthodoxy after the final suspension of convertibility in 1929. As elsewhere, fiscal policy in Argentina was conservative, and had little power to smooth output. Monetary policy became heterodox after 1929. The first and most important stage of institutional change took place with the switch from a metallic monetary regime to a fiduciary regime in 1931; the Caja de Conversión (Conversion Office, a currency board) began rediscounting as a means to sterilize gold outflows and avoid deflationary pressures, thus breaking from orthodox "mIes of the game." However, the actual injections of liquidity were small' and were not enough to fully offset the incipient monetary contractions: the "Keynes" effect was weak or negative. Rather, recovery derived from changes in beliefs and expectations surrounding the shift in the monetary and exchange-rate regime,and the delinking of gold flows and the money base. Agents perceivod a new regime, as shown by the path of consumption, investment, and estimated ex ante real interest rates: the "Mundell" effect was dominant. Notably, this change of regime predated a later, and supposedly more significant, stage of institutional reform, namely the creation of the central bank in 1935. Still, the extent of intervention was weak, and insufficient to fully offset externaI shocks to prices and money. Argentine macropolicy was heterodox in terms of the change of regime, but still conservative in terms of the tentative scope of the measures taken .

Inflation persistence and flexible prices

The inability of rational expectation models with money supply rules to deliver inflation persistence following a transitory deviation of money growth from trend is due to the rapid adjustment of the price level to expected events. The observation of persistent inflation in macroeconomic data leads many economists to believe that prices adjust sluggishly and/or expectations must not be rational. Inflation persistence in U.S. data can be characterized by a vector autocorrelation function relating inflation and deviations of output from trend. In the vector autocorrelation function both inflation and output are highly persistent and there are significant positive dynamic cross-correlations relating inflation and output. This paper shows that a flexible-price general equilibrium business cycle model with money and a central bank using a Taylor rule can account for these patterns. There are no sticky prices and no liquidity effects. Agents decisions in a period are taken only after all shocks are observed. The monetary policy rule transforms output persistence into inflation persistence and creates positive cross-correlations between inflation and output.

União monetária Européia : diferenças no mecanismo de transmissão monetária

This study identifies differences in the monetary policy transmission mechanism across countries in the euro area. It is argued that part of the differences in the response of economic activity to monetary policy during the pre-EMU period reflected differences in monetary policy reaction functions, rather than different transmission mechanisms. In particular, monetary policy appears to have been more persistent in Germany and in those countries closely following Germany (such as Netherlands and Austria) in the European Exchange Rate Mechanism. Monetary policy in these countries appears to have had significant effects on domestic output. The corollary is that under EMU other countries—in particular France, Italy, Ireland, and Finland—are expected to see more sensitivity of output to monetary policy under EMU. Nevertheless, a common monetary policy is still found to bring about heterogeneous output responses across countries, reflecting variations in the strength of the interest, credit, and exchange rate channels that remain under EMU.

Essays on economic growth

A fundamental question in development economics is why some economies are rich and others poor. To illustrate the income per capita gap across economies consider that the average gross domestic product (GDP) per capita of the richest 10 percent of economies in the year 2010 was a factor of 40-fold that of the poorest 10 percent of economies. In other words, the average person in a rich economy produces in just over 9 days what the average person in a poor economy produces in an entire year. What are the factors that can explain this difference in standard of living across the world today? With this in view, this dissertation is a conjunction of three essays on the economic growth field which we seek a possible responses to this question. The first essay investigates the existence of resource misallocation in the Brazilian manufacturing sector and measures possible distortions in it. Using a similar method of measurement to the one developed by Hsieh and Klenow (2009) and firm-level data for 1996-2011 we find evidence of misallocation in the manufacturing sector during the observed period. Moreover, our results show that misallocation has been growing since 2005, and it presents a non-smooth dynamic. Significantly, we find that the Brazilian manufacturing sector operates at about 50% of its efficient product. With this, if capital and labor were optimally reallocated between firms and sectors we would obtain an aggregate output growth of approximately 110-180% depending on the mode in which the capital share is measured. We also find that the economic crisis did not have a substantial effect on the total productivity factor or on the sector's misallocation. However, small firms in particular seem to be strongly affected in a global crisis. Furthermore, the effects described would be attenuated if we consider linkages and complementarity effects among sectors. Despite Brazil's well-known high tax burden, there is not evidence that this is the main source of resource misallocation. Moreover, there is a distinct pattern of structural change between the manufacturing sectors in industrialized countries and those in developing countries. Therefore, the second essay demonstrate that this pattern differs because there are some factors that distort the relative prices and also affect the output productivity. For this, we present a multi-sector model of economic growth, where distortions affect the relative prices and the allocation of inputs. This phenomenon imply that change of the production structure or perpetuation of the harmful structures to the growth rate of aggregate output. We also demonstrate that in an environment with majority decision, this distortion can be enhanced and depends on the initial distribution of firms. Furthermore, distortions in relative prices would lead to increases in the degree of misallocation of resources, and that imply that there are distinct patterns of structural changes between economies. Finally, the calibrated results of the framework developed here converge with the structural change observed in the firm-level data of the Brazilian manufacturing sector. Thereafter, using a cross-industry cross-country approach, the third essay investigates the existence of an optimal level of competition to enhance economic growth. With that in mind, we try to show that this optimal level is different from industrialized and under development economies due to the technology frontier distance, the terms of trade, and each economy's idiosyncratic characteristics. Therefore, the difference in competition industry-country level is a channel to explain the output for worker gap between countries. The theoretical and empirical results imply the existence of an inverted-U relationship between competition and growth: starting for an initially low level of competition, higher competition stimulates innovation and output growth; starting from a high initial level of competition, higher competition has a negative effect on innovation and output growth. Given on average industries in industrialized economies present higher competition level. With that if we control for the terms of trade and the industry-country fixed effect, if the industries of the developing economy operated under the same competition levels as of the industrialized ones, there is a potential increase of output of 0.2-1.0% per year. This effect on the output growth rate depends on the competition measurement used.

Política fiscal, crédito subsidiado e seus efeitos sobre a política monetária

Neste trabalho apresentamos um modelo DSGE de pequena escala com economia fechada para estudar os efeitos de um aumento do crédito subsidiado e de uma política fiscal expansionista sobre as decisões de política monetária. O modelo, construído com base na literatura nacional e internacional, é constituído por uma economia fechada, com formação de hábito dos consumidores, firmas atuando em um mercado de competição monopolística (NEISS; NELSON, 2003) e rigidez de preços a la Calvo (CHRISTIANO; EICHENBAUM; EVANS, 2005). O governo é inserido no modelo através da autoridade monetária, que segue a Regra de Taylor definida por Vasconcelos e Divino (2012), e através da autoridade fiscal, que segue uma meta de superávit primário como em Castro et al. (2011). Por fim, o volume de investimento financiado por crédito subsidiado e a taxa deste crédito são definidos exogenamente pela autoridade fiscal, afetando sua restrição orçamentária. Os resultados obtidos sugerem que a política fiscal expansionista é mais importante que o aumento do subsídio ao crédito para o aumento da taxa de juros real neutra. Estes efeitos, porém, explicam pouco da variância das variáveis macroeconômicas quando comparados aos choques de demanda e de produtividade. Além disso, o modelo mostra evidências de um caráter inflacionário recente da política monetária no Brasil.

Taylor rule in Brazil

In this paper, we use the Taylor Rule to characterize empirically the Brazilian monetary policy before and after its major and succesful stabilization plan, Real Plan, launched in 1994. Specifically, we show how the inflation coefficient has changed after the stabilization plan was carried out. This is a natural experiment to test theories surrounding the Taylor Rule in which monetary instability is characterized by an inflation coefficient less than one, whereas monetary stability will have a greater than one coefficient (seeWoodford’s (2003)). Very suprisingly the paper shows that the inflation coefficient has remained less than one even after the stabilization. Our results are quite robust with respect to different samples, lags of variables, proxies for GDP, proxies for potential GDP and even with respect to econometric methods (see Bueno (2005a, 2005b)). The implications are very important both theoretically and empirically. First, it shows some gap in theory that deserves further investigation. Second, it suggests that the inflation targeting regime has been uneffective in Brazil confirming a feeling largerly spread among Brazilians.

Taylor rule in Brazil

In this paper, we use the Taylor Rule to characterize empirically the Brazilian monetary policy before and after its major and succesful stabilization plan, Real Plan, launched in 1994. Specifically, we show how the inflation coefficient has changed after the stabilization plan was carried out. This is a natural experiment to test theories surrounding the Taylor Rule in which monetary instability is characterized by an inflation coefficient less than one, whereas monetary stability will have a greater than one coefficient (seeWoodford’s (2003)). Very suprisingly the paper shows that the inflation coefficient has remained less than one even after the stabilization. Our results are quite robust with respect to different samples, lags of variables, proxies for GDP, proxies for potential GDP and even with respect to econometric methods (see Bueno (2005a, 2005b)). The implications are very important both theoretically and empirically. First, it shows some gap in theory that deserves further investigation. Second, it suggests that the inflation targeting regime has been uneffective in Brazil confirming a feeling largerly spread among Brazilians.