Pesquisa Debate Revista Do Programa De Estudos Pos Graduados Em Economia Politica Issn 1806 9029, 2011
Resumo: o presente artigo busca avaliar criticamente as estimativas da curva de Phillips para a e... more Resumo: o presente artigo busca avaliar criticamente as estimativas da curva de Phillips para a economia brasileira no período recente, com respeito a proposição teórica da curva de Phillips aceleracionista que é um dos fundamentos do modelo do Novo Consenso em Política Econômica. Foram avaliadas as três principais hipóteses do modelo aceleracionista identificadas em Serrano (2007) -inércia completa; relação entre hiato do produto e inflação; e choques de oferta com média zero -a partir das estimações dos trabalhos empíricos para o Brasil. Um exame dos resultados desses trabalhos no faz concluir que as hipóteses da curva aceleracionista não se verificam e que, portanto, as conclusões sobre as causas da inflação, da dinâmica inflacionária e dos canais de transmissão da política econômica são diferentes daquelas estabelecidas pelo modelo do Novo Consenso.
* O objetivo deste artigo é tentar esclarecer alguns pontos do extenso debate heterodoxo sobre a ... more * O objetivo deste artigo é tentar esclarecer alguns pontos do extenso debate heterodoxo sobre a taxa de juros monetária, sugerindo o uso do que se chamará de abordagem da taxa de juros exógena. Essa abordagem parte de dois princípios bem gerais, que são: (a) o governo não quebra em sua própria moeda; e (b) os bancos só emprestam para clientes considerados solventes. Buscar-se-á reforçar os argumentos Lavoie (2006), mostrando que esses ficam mais claros e melhor fundamentados a partir dos princípios da abordagem da taxa de juros exógena. Para tanto, discutir-se-ão (a) os problemas com a visão da taxa de juros determinada pela oferta e pela demanda por moeda e (b) a determinação exógena da taxa de juros (e a questão da endogeneidade da quantidade de moeda) e o "spread" dos empréstimos privados de longo prazo sob a ótica da abordagem da taxa de juros exógena.
Resumo Com a implantação do Sistema de Metas de Inflação (SMI) no Brasil, ganhou importância a ne... more Resumo Com a implantação do Sistema de Metas de Inflação (SMI) no Brasil, ganhou importância a necessidade de medir o hiato do produto, que segundo o modelo em que se baseia o SMI, é a principal causa da inflação no longo prazo. O presente artigo visa avaliar criticamente os artigos e estudos feitos pelas instituições oficiais brasileiras (como BACEN e
In this paper we present a heterodox open-economy macroeconomic model aiming to establish an alte... more In this paper we present a heterodox open-economy macroeconomic model aiming to establish an alternative view to the "New Consensus" model and analyze the determinants of long-run inflation, the monetary policy transmission channels, the costs of such policy and some barriers to its implementation. The open-economy New Consensus model with inflation targeting is based on the following theoretical structure: (i) the potential output is determined according to the neoclassical theory of value and distribution; (ii) output depends on the real interest rate and the real exchange rate (iii) the Phillips curve is accelerationist (iv) the exchange rate determination depends on the uncovered interest rate parity in the short run and on the purchasing power parity in the long run; (v) a Taylor rule. The main results of this model are well known. There is no trade-off between inflation and productive capacity, since the later is independent of the effective output; and such policy can always be applied, because it is always possible to the Monetary Authority to fix the real interest rate in line with the natural rate of interest. The alternative model proposed follows the same simplified scheme of the New Consensus model, but altering significantly some theoretical assumptions. (i) First, the potential output or productive capacity of the economy follows the long-run expected effective demand. We use the Sraffian supermultiplier to model the demand led growth of productive capacity. (ii) the output growth rate depends on the real interest rate (through the effect on autonomous spending) and the real exchange rate (through the effect on exports), (iii) the Phillips curve is non accelerationist (partial inertia hypothesis) and depends on the role of nominal exchange rate, on the imported inflation and on the degree of distributive conflict, (iv) the nominal exchange rate depends on the interest rate differential and is subject to speculation, and (v) a Taylor rule. We analyze the alternative model in terms of analytic solution and computer simulations. The main results of this model is that the long-run inflation will depend on imported inflation, on the distributive conflict and on the inertia degree in the economy; demand shocks influences inflation only in the short run, so the main channel to control inflation by MA is by controlling the nominal exchange rate appreciation through the maintenance of an interest rate differential with the rest of the world. From the cost of policy standpoint, the results also differ from that proposed by the New Consensus. First, we show that the policy of inflation control is not neutral in terms of growth rate of productive capacity. This means that a higher inflation targeting or a lower imported inflation ultimately lead to a higher growth rate of productive capacity (so the external constraint can appear in the form of higher imported inflation); moreover, as the policy of inflation control depends largely on a process of nominal exchange rate appreciation, the consequence is that the real exchange rate will also appreciate and this will bring a deteriorating trend on the Balance of Trade and Current Account. Finally, the anti-inflationary policy is not neutral in terms of functional income distribution.
The purpose of this paper is to argue that this sharp slowdown in the growth rate of the Brazilia... more The purpose of this paper is to argue that this sharp slowdown in the growth rate of the Brazilian economy since 2011 can be explained predominantly as due to changes in the orientation of domestic macroeconomic policy, rather than to changes in the external conditions of trade and finance. Moreover, we shall argue that, as the economy was neither constrained by foreign exchange nor by the general scarcity of labor or capital, these changes in macroeconomic policy led to a substantial decrease in the rate of growth of aggregate demand and are chiefly responsible for the lower growth of both output and business investment
The purpose of this paper is to test the validity of the covered interest parity theorem for the ... more The purpose of this paper is to test the validity of the covered interest parity theorem for the Brazilian economy between 2008 and 2013. We will show that, unlike the scarce empirical work that investigated this relation for the Brazilian economy and does not confirm this empirical result, our estimates suggest the covered interest parity theorem holds for Brazilian data. Thus, a byproduct of this work is the evaluation of the characteristics of the Brazilian data and the variables used to estimate the covered parity. We argue that the relevantforeign interest ratevariable to test the CIP in Brazil is that one available to domestic agents, whose proxy is the LIBOR rate plus the Brazilian EMBI+ (the spread between the Brazilian sovereigndebt and the US treasury bonds rate), and we will compare this rate with the Brazilian foreign exchange coupon (which is a tautological closure to the covered parity), which is an alternative way to evaluate the covered parity in Brazil.
Interest parity theorems, namely the covered interest parity (CIP), uncovered interest parity (UI... more Interest parity theorems, namely the covered interest parity (CIP), uncovered interest parity (UIP) and real interest parity (RIP), as part of the basic open macroeconomics framework, are presented in almost every textbook in macroeconomics and international economics. This set of theorems explain how international capital flows make it impossible for a monetary authority to autonomously set their basic real interest rate in relation to the international one. In this work we will trace back the development of these theorems. We argue that although some post-Keynesians nowadays reject uncovered and real interest parities, even in the long period, these interest parity theorems have a Keynesian root. Covered Interest Parity first appears in Keynes 1923s’ A Tract on Monetary Reform. Uncovered Interest Parity theorem relies on early contributions from Keynes (1936), Kaldor (1939) and Tsiang (1958). But it is only during the 70’s, along with the diminished influence of keynesian theory, that other elements such as Rational Expectations and the Efficient Market Hypothesis are incorporated in this open economy framework and together with the PPP lead to the Real Interest Parity. Moreover, during the development of these theorems some interesting questions were tackled such as the role of speculation in destabilizing a floating exchange rate regime and the possibility of setting autonomously real interest rates across countries. Finally, we briefly summarize themain results obtained by the vast empirical literature. While there is great evidence in favor of the CIP, the results known as “UIP failure” and “forward premium puzzle” represent the persistent difficulty to falsify the UIP empirically.
In the present paper we test the validity of the uncovered interest parity theorem to the Brazili... more In the present paper we test the validity of the uncovered interest parity theorem to the Brazilian economy from 2000 to 2014. Our results endorse the empirical failure of this theorem, known in the literature as UIP Failure or Forward Premium Puzzle. The coefficient estimated of the interest rate differential by a GARCH model is negative, contradicting UIP tests for emerging economies. However, using Markov models of regime change, we found two well-defined patterns: during periods of lower volatility the estimated coefficient becomes negative, while in the volatility periods estimated coefficient is positive. The results are consistent with the exogenous interest rate approach in an open economy.
Um modelo de distribuição de renda e inflação por conflito entre salários, lucro e renda de monop... more Um modelo de distribuição de renda e inflação por conflito entre salários, lucro e renda de monopólio de serviços monitorados.
Pesquisa Debate Revista Do Programa De Estudos Pos Graduados Em Economia Politica Issn 1806 9029, 2011
Resumo: o presente artigo busca avaliar criticamente as estimativas da curva de Phillips para a e... more Resumo: o presente artigo busca avaliar criticamente as estimativas da curva de Phillips para a economia brasileira no período recente, com respeito a proposição teórica da curva de Phillips aceleracionista que é um dos fundamentos do modelo do Novo Consenso em Política Econômica. Foram avaliadas as três principais hipóteses do modelo aceleracionista identificadas em Serrano (2007) -inércia completa; relação entre hiato do produto e inflação; e choques de oferta com média zero -a partir das estimações dos trabalhos empíricos para o Brasil. Um exame dos resultados desses trabalhos no faz concluir que as hipóteses da curva aceleracionista não se verificam e que, portanto, as conclusões sobre as causas da inflação, da dinâmica inflacionária e dos canais de transmissão da política econômica são diferentes daquelas estabelecidas pelo modelo do Novo Consenso.
* O objetivo deste artigo é tentar esclarecer alguns pontos do extenso debate heterodoxo sobre a ... more * O objetivo deste artigo é tentar esclarecer alguns pontos do extenso debate heterodoxo sobre a taxa de juros monetária, sugerindo o uso do que se chamará de abordagem da taxa de juros exógena. Essa abordagem parte de dois princípios bem gerais, que são: (a) o governo não quebra em sua própria moeda; e (b) os bancos só emprestam para clientes considerados solventes. Buscar-se-á reforçar os argumentos Lavoie (2006), mostrando que esses ficam mais claros e melhor fundamentados a partir dos princípios da abordagem da taxa de juros exógena. Para tanto, discutir-se-ão (a) os problemas com a visão da taxa de juros determinada pela oferta e pela demanda por moeda e (b) a determinação exógena da taxa de juros (e a questão da endogeneidade da quantidade de moeda) e o "spread" dos empréstimos privados de longo prazo sob a ótica da abordagem da taxa de juros exógena.
Resumo Com a implantação do Sistema de Metas de Inflação (SMI) no Brasil, ganhou importância a ne... more Resumo Com a implantação do Sistema de Metas de Inflação (SMI) no Brasil, ganhou importância a necessidade de medir o hiato do produto, que segundo o modelo em que se baseia o SMI, é a principal causa da inflação no longo prazo. O presente artigo visa avaliar criticamente os artigos e estudos feitos pelas instituições oficiais brasileiras (como BACEN e
In this paper we present a heterodox open-economy macroeconomic model aiming to establish an alte... more In this paper we present a heterodox open-economy macroeconomic model aiming to establish an alternative view to the "New Consensus" model and analyze the determinants of long-run inflation, the monetary policy transmission channels, the costs of such policy and some barriers to its implementation. The open-economy New Consensus model with inflation targeting is based on the following theoretical structure: (i) the potential output is determined according to the neoclassical theory of value and distribution; (ii) output depends on the real interest rate and the real exchange rate (iii) the Phillips curve is accelerationist (iv) the exchange rate determination depends on the uncovered interest rate parity in the short run and on the purchasing power parity in the long run; (v) a Taylor rule. The main results of this model are well known. There is no trade-off between inflation and productive capacity, since the later is independent of the effective output; and such policy can always be applied, because it is always possible to the Monetary Authority to fix the real interest rate in line with the natural rate of interest. The alternative model proposed follows the same simplified scheme of the New Consensus model, but altering significantly some theoretical assumptions. (i) First, the potential output or productive capacity of the economy follows the long-run expected effective demand. We use the Sraffian supermultiplier to model the demand led growth of productive capacity. (ii) the output growth rate depends on the real interest rate (through the effect on autonomous spending) and the real exchange rate (through the effect on exports), (iii) the Phillips curve is non accelerationist (partial inertia hypothesis) and depends on the role of nominal exchange rate, on the imported inflation and on the degree of distributive conflict, (iv) the nominal exchange rate depends on the interest rate differential and is subject to speculation, and (v) a Taylor rule. We analyze the alternative model in terms of analytic solution and computer simulations. The main results of this model is that the long-run inflation will depend on imported inflation, on the distributive conflict and on the inertia degree in the economy; demand shocks influences inflation only in the short run, so the main channel to control inflation by MA is by controlling the nominal exchange rate appreciation through the maintenance of an interest rate differential with the rest of the world. From the cost of policy standpoint, the results also differ from that proposed by the New Consensus. First, we show that the policy of inflation control is not neutral in terms of growth rate of productive capacity. This means that a higher inflation targeting or a lower imported inflation ultimately lead to a higher growth rate of productive capacity (so the external constraint can appear in the form of higher imported inflation); moreover, as the policy of inflation control depends largely on a process of nominal exchange rate appreciation, the consequence is that the real exchange rate will also appreciate and this will bring a deteriorating trend on the Balance of Trade and Current Account. Finally, the anti-inflationary policy is not neutral in terms of functional income distribution.
The purpose of this paper is to argue that this sharp slowdown in the growth rate of the Brazilia... more The purpose of this paper is to argue that this sharp slowdown in the growth rate of the Brazilian economy since 2011 can be explained predominantly as due to changes in the orientation of domestic macroeconomic policy, rather than to changes in the external conditions of trade and finance. Moreover, we shall argue that, as the economy was neither constrained by foreign exchange nor by the general scarcity of labor or capital, these changes in macroeconomic policy led to a substantial decrease in the rate of growth of aggregate demand and are chiefly responsible for the lower growth of both output and business investment
The purpose of this paper is to test the validity of the covered interest parity theorem for the ... more The purpose of this paper is to test the validity of the covered interest parity theorem for the Brazilian economy between 2008 and 2013. We will show that, unlike the scarce empirical work that investigated this relation for the Brazilian economy and does not confirm this empirical result, our estimates suggest the covered interest parity theorem holds for Brazilian data. Thus, a byproduct of this work is the evaluation of the characteristics of the Brazilian data and the variables used to estimate the covered parity. We argue that the relevantforeign interest ratevariable to test the CIP in Brazil is that one available to domestic agents, whose proxy is the LIBOR rate plus the Brazilian EMBI+ (the spread between the Brazilian sovereigndebt and the US treasury bonds rate), and we will compare this rate with the Brazilian foreign exchange coupon (which is a tautological closure to the covered parity), which is an alternative way to evaluate the covered parity in Brazil.
Interest parity theorems, namely the covered interest parity (CIP), uncovered interest parity (UI... more Interest parity theorems, namely the covered interest parity (CIP), uncovered interest parity (UIP) and real interest parity (RIP), as part of the basic open macroeconomics framework, are presented in almost every textbook in macroeconomics and international economics. This set of theorems explain how international capital flows make it impossible for a monetary authority to autonomously set their basic real interest rate in relation to the international one. In this work we will trace back the development of these theorems. We argue that although some post-Keynesians nowadays reject uncovered and real interest parities, even in the long period, these interest parity theorems have a Keynesian root. Covered Interest Parity first appears in Keynes 1923s’ A Tract on Monetary Reform. Uncovered Interest Parity theorem relies on early contributions from Keynes (1936), Kaldor (1939) and Tsiang (1958). But it is only during the 70’s, along with the diminished influence of keynesian theory, that other elements such as Rational Expectations and the Efficient Market Hypothesis are incorporated in this open economy framework and together with the PPP lead to the Real Interest Parity. Moreover, during the development of these theorems some interesting questions were tackled such as the role of speculation in destabilizing a floating exchange rate regime and the possibility of setting autonomously real interest rates across countries. Finally, we briefly summarize themain results obtained by the vast empirical literature. While there is great evidence in favor of the CIP, the results known as “UIP failure” and “forward premium puzzle” represent the persistent difficulty to falsify the UIP empirically.
In the present paper we test the validity of the uncovered interest parity theorem to the Brazili... more In the present paper we test the validity of the uncovered interest parity theorem to the Brazilian economy from 2000 to 2014. Our results endorse the empirical failure of this theorem, known in the literature as UIP Failure or Forward Premium Puzzle. The coefficient estimated of the interest rate differential by a GARCH model is negative, contradicting UIP tests for emerging economies. However, using Markov models of regime change, we found two well-defined patterns: during periods of lower volatility the estimated coefficient becomes negative, while in the volatility periods estimated coefficient is positive. The results are consistent with the exogenous interest rate approach in an open economy.
Um modelo de distribuição de renda e inflação por conflito entre salários, lucro e renda de monop... more Um modelo de distribuição de renda e inflação por conflito entre salários, lucro e renda de monopólio de serviços monitorados.
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