Nilda Mercedes Cabrera Pasca.
10/09/2014
Orientador: Carlos Viana de Carvalho.
Co-orientador: Eduardo Zilberman.
Banca: Juliano Assunção. Tiago Couto Berriel. Cezar Santos. Sergio Afonso Lago Alves.
Nível: Doutorado
This thesis is comprised of three articles independent related to macroeconomics. In the first article, we augment a relatively standard dynamic, general equilibrium model with financial frictions, in order to quantify the macroeconomic effects of the credit deepening process observed in Brazil. In the model, a stylized banking sector intermediates credit from patient households to impatient households and firms. The key novelty of the paper is to model the credit constraint faced by (impatient) households as a function of future labor income. We do so motivated by the Brazilian credit deepening process. An important factor behind that process was the emergence of the so-called consignado credit (“payroll lending”,0), whereby creditors are paid straight out of debtors' paychecks. In the calibrated model, credit deepening generates only modest above-trend growth in consumption, investment, and GDP. In the second article, we documented that the association between consumption growth and credit expansion is stronger in countries with higher income inequality. We use an incomplete-markets model with heterogeneous households, idiosyncratic risk and borrowing constraints to corroborate this empirical finding. A loosening of credit constraints mitigates precautionary motives, inducing households to reduce savings along the transition path to the new steady-state. Hence, consumption grows more rapidly in the short-run. This consumption boom is amplified in economies with more constrained households. We consider three sources of income inequality in our model: the variance of the idiosyncratic risk, fiscal policy and the households' fixed level of human capital. They have different implications for the extent to which households are credit constrained in equilibrium. We show that when the source of income inequality comes from households' lowest fixed level of human capital, our model can rationalize the empirical evidence. In the other cases, the opposite occurs. Finally, in the third article, we study the effects of foreign shocks on the Peruvian economy. We use a FAVAR model for estimating the impact of international interest rate shock and commodity price shock. This methodology allows us to explore a large set of macroeconomic data, both foreign and domestic. Our results suggest that positive foreign interest rate shocks reduces GDP and inflation rate and generates a depreciation of the local currency. In the case of commodity price shocks, its effects are consistent with the previous literature in which a positive shock expands GDP, exports and inflation rate.
