Laura Candido de Souza.
20/03/2015
Orientador: Carlos Viana de Carvalho.
Co-orientador: Eduardo Zilberman.
Banca: Carlos Viana de Carvalho. Eduardo Zilberman. Márcio Gomes Pinto Garcia. Marco Antonio Cavalcanti. Tiago Couto Berriel. Marcos Chamon.
Nível: Doutorado
This dissertation is composed of three articles in macroeconomics. The first article explores the macroeconomics effects of the credit deepening processes observed in Peru and Mexico using a standard New Keynesian dynamic general equilibrium model with financial frictions. From the perspective of the model, the effects on consumption, GDP and investment are small. Hence, our results suggest only a modest contribution of credit expansion to the above-trend growth experienced by Peruvian and Mexican economies during our sample period. 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. Therefore, consumption grows more rapidly in the short-run. This consumption boom is amplified in economies with more constrained households. We consider two sources of income inequality in our model: the variance of the idiosyncratic risk 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. The third article tests the effects of a major program of interventions in foreign exchange markets announced by the Central Bank of Brazil to fight excess volatility and exchange rate overshooting. We use a synthetic control approach to determine whether or not the intervention program was successful. Our results suggest that the first foreign exchange intervention program mitigated the depreciation of the real against the dollar. A second announcement made later in the year that the program was going to continue on a smaller basis had a smaller effect, which was not significant. This result is corroborated by a standard event study methodology. We also document that both program did not have an impact on the volatility of the exchange rate.
