Pedro Henrique da Silva Castro.

16/04/2018

Orientador: Márcio Gomes Pinto Garcia.

Co-orientador: Tiago Couto Berriel.

Banca: Carlos Viana de Carvalho. Eduardo Zilberman. Marco Bonomo. Bernardo Vasconcellos Guimarães.

Essays on macroeconomics and monetary policy

Nível: Doutorado

This thesis is comprised of three articles. The first two investigate the relationship between monetary policy power and the prevalence of governmental credit (featuring interest rates that are insensitive to the monetary cycle) in the economy. The first shows that the available microeconometric evidence is not necessarily informative about the macroeconomic phenomenon of interest, as this depends not only on the average micro effect but also on external effects that capture general equilibrium forces. As an illustration it shows a simple New-Keynesian model with working capital credit, where (i) the macroeconomic effect is usually significantly weaker than the associated micro effect; and (ii) inflation becomes more responsive to monetary policy when governmental credit is present, as this mitigates the cost-channel. Giving sequence, the second article extends the analysis with a medium-sized DSGE model where governmental credit is used to finance the acquisition of physical capital by firms. Not relying on a cost-channel, it shows that under some calibrations the presence of governmental credit increases monetary policy power over inflation. The model is then estimated to Brazil using Bayesian techniques. The results suggest that monetary policy power is indeed reduced for both output and inflation, but more for the former than for the later, implying a lower sacrifice ratio. The estimated effects are small, nonetheless. The model is also used to show that the subsidized governmental credit is little effective in boosting steady-state aggregate investment as the government is unable to distinguish between investment projects that would or would not be done without subsidies.  Finally, the third article studies to what extent the effects of capital flows on a small open economy's business cycle depend on the type of the inflow (e.g., whether a bond or a stock inflow, a liability or an asset flow). For such it build an open economy New-Keynesian model with financial frictions. In a first general analysis it identifies direct mechanisms through which inflows may have differentiated effects depending or their type. It is shown how these differences have implications for the conduct of sterilized FX interventions. The relevancy of these mechanisms is then examined using a calibrated version of the model, and it is concluded that they are probably of little significance.