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ApresentacaoArtigo
Teste EconometricoAlternativa
On high interest rates in Brazil
Carlos Alberto Belchior
PET - Economia UnB
01 de Setembro de 2014
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Francisco Lopes
Formacao Academica
Bacharel em economia - UFRJ (1964-67);
Masters em economia - Harvard(1968-69);
Ph.D em economia - Harvard (1971-72).
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Francisco Lopes
Trajetoria
Departamento da UnB (1972-73);
Departamento da EPGE (1974-77);
Departamento da PUC-RJ (1978-);
Presidente do Banco Central (1999).
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Modelo “Keynesiano”ExplicacoesConclusoes do artigo
Curva IS
Partimos da ideia de que poupanca sempre se iguala aoinvestimento:
S = I (r) (1)
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Modelo “Keynesiano”ExplicacoesConclusoes do artigo
Curva IS
Partimos da ideia de que poupanca sempre se iguala aoinvestimento:
S = I (r) (1)
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Modelo “Keynesiano”ExplicacoesConclusoes do artigo
Curva IS
Em seguida, definimos que
S = Sp(u) + Sx(e) + Sg (2)
ondeS ′p(u) > 0,S ′
x(e) < 0.
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Modelo “Keynesiano”ExplicacoesConclusoes do artigo
Curva IS
Em seguida, definimos que
S = Sp(u) + Sx(e) + Sg (2)
ondeS ′p(u) > 0, S ′
x(e) < 0.
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Modelo “Keynesiano”ExplicacoesConclusoes do artigo
Curva IS
Igualando (1) e (2), temos que
I (r) = Sp(u) + Sx(e) + Sg (3)
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Modelo “Keynesiano”ExplicacoesConclusoes do artigo
Curva IS
Igualando (1) e (2), temos que
I (r) = Sp(u) + Sx(e) + Sg (3)
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Modelo “Keynesiano”ExplicacoesConclusoes do artigo
Curva BP
Para o equilıbrio no mercado externo, temos
Sx(e) = FX (R, r) + Dr (4)
ondeFXr > 0,FXR < 0
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Modelo “Keynesiano”ExplicacoesConclusoes do artigo
Curva BP
Para o equilıbrio no mercado externo, temos
Sx(e) = FX (R, r) + Dr (4)
ondeFXr > 0,FXR < 0
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Modelo “Keynesiano”ExplicacoesConclusoes do artigo
Grafico IS-BP
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Modelo “Keynesiano”ExplicacoesConclusoes do artigo
Baixa poupanca
No caso de altos deficits publicos e baixa poupanca privada,observamos
δ(IS)
δ(Sg )> 0,
δ(IS)
δ(Sp)> 0
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Modelo “Keynesiano”ExplicacoesConclusoes do artigo
Baixa poupanca
No caso de altos deficits publicos e baixa poupanca privada,observamos
δ(IS)
δ(Sg )> 0,
δ(IS)
δ(Sp)> 0
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Modelo “Keynesiano”ExplicacoesConclusoes do artigo
Grafico Low Savings
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Modelo “Keynesiano”ExplicacoesConclusoes do artigo
Interferencia cambial
Caso o governo interfira no mercado cambial, terıamos que
δ(IS)
δ(Dr )< 0,
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ApresentacaoArtigo
Teste EconometricoAlternativa
Modelo “Keynesiano”ExplicacoesConclusoes do artigo
Interferencia cambial
Caso o governo interfira no mercado cambial, terıamos que
δ(IS)
δ(Dr )< 0,
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Modelo “Keynesiano”ExplicacoesConclusoes do artigo
Grafico Intervention
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ApresentacaoArtigo
Teste EconometricoAlternativa
Modelo “Keynesiano”ExplicacoesConclusoes do artigo
O que fazer...
Reduzir credito subsidiado;
Diminuir deficit publico;
Aumentar a poupanca privada;
Conclusao anticlimax.
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Especificacoes geraisTeste UtilizadoResultados
Modelo
(Ferreira & Colbano, 2012);
A partir da regra de taylor, construımos
r = β0 + β1 ∗ dPIB + β2 ∗ Sg + β3 ∗ Sp + β4 ∗ ln(CDS) + ut
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Especificacoes geraisTeste UtilizadoResultados
Dados
Dados de painel;
Obtencao de dados a partir do FMI e de Bancos Centrais;
Paıses: Brasil, Turquia, Colombia, Mexico, Australia e Chile.
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ApresentacaoArtigo
Teste EconometricoAlternativa
Especificacoes geraisTeste UtilizadoResultados
Teste de Chow
Capta mudancas estruturais;
Cortes transversais e painel;
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Especificacoes geraisTeste UtilizadoResultados
Teste de Chow para corte transversal
Suponhamos, por exemplo, que estejamos estimando um modelo:
W = β0 + β1 ∗ estudos + ut
e queiramos definir se existe um gap no salario de homens emulheres.
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ApresentacaoArtigo
Teste EconometricoAlternativa
Especificacoes geraisTeste UtilizadoResultados
Teste de Chow para corte transversal
Usando o teste de Chow para tal, fazemos
W = β0 + δ0 ∗ female + β1 ∗ estudos + δ1 ∗ female ∗ estudos + ut
onde female e uma dummy para mulheres na amostra.
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Especificacoes geraisTeste UtilizadoResultados
Teste de Chow para corte transversal
Teste de Hipotese
δ0 = 0, δ1 = 0
Assim, se confirmarmos a hipotese, nao existiria diferencaestrutural na determinacao de salarios entre homens e mulheres.
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Especificacoes geraisTeste UtilizadoResultados
Teste de Chow para corte transversal
Enfim, calculamos
F =SQRP − (SQR1 + SQR2)
SQR1 + SQR2× n − 2(k + 1)
k + 1
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ApresentacaoArtigo
Teste EconometricoAlternativa
Especificacoes geraisTeste UtilizadoResultados
Teste de Chow para dados de painel
Partindo do modelo anterior, mudamos
W = β0 + δ0 ∗ t7 + β1 ∗ estudos + δ1 ∗ t9 ∗ estudos + ut
onde t7 e t9 sao dummys temporais.
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Especificacoes geraisTeste UtilizadoResultados
Teste de Chow para dados de painel - modificado
Ao inves de dummys temporais, elas serao usadas para dadosde paıses;
Diferencas estruturais entre paıses?
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Especificacoes geraisTeste UtilizadoResultados
Resultados da regressao
Ao estimar o nosso modelo por meio de MQO agrupado, obtemos
Coeficiente Erro padrao razao-t
Const 25,9 4,92 5,28
Sg -1,54 0,26 -5,86
Sp -1,22 0,25 -4,85
R2 = 0, 57
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Especificacoes geraisTeste UtilizadoResultados
Teste de Chow modificado
Agora, fazendo o teste de Chow, tem-se que
Coeficiente Erro padrao razao-t
Brasil -72,06 28,85 -2,49
br-Sg -4,45 1,15 -3,86
br-Sp -3,28 1,58 -2,07
F (5, 132) = 5, 04, p − valor = 0, 0082
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ApresentacaoArtigo
Teste EconometricoAlternativa
Multiplos EquilıbriosChoques de juros
(Blanchard & Summers, 1984)
Equilıbrios diversos;
Taxas diferentes exigidas por investidores.
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Multiplos EquilıbriosChoques de juros
(Blanchard & Summers, 1984)
r = f (Sg ) =⇒ Sg = θ(r)
Gracas a essa relacao, pode se configurar um equilıbrio de Paretoinferior.
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Multiplos EquilıbriosChoques de juros
(Bresser & Nakano, 2002)
Equilıbrios diversos para patamar dos juros;
Altos pagamentos da dıvida publica.
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Multiplos EquilıbriosChoques de juros
A jabuticaba brasileira
Poupanca pouco sensıvel a polıtica moentaria;
Poupanca muito sensıvel a polıtica fiscal;
(Borges, 2013).
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Multiplos EquilıbriosChoques de juros
O choque recente
Diminuicao sensıvel;
Manutencao dos gastos;
Pressao inflacionaria.
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Multiplos EquilıbriosChoques de juros
Devemos tentar mais uma vez?
Aumento integral da poupanca;
Deslocamento da IS para um novo equilıbrio.
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Multiplos EquilıbriosChoques de juros
Grafico Multiplos equilıbrios
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Multiplos EquilıbriosChoques de juros
Bibliografia
BLANCHARD, Olivier & SUMMERS, Lawrence. Perspectiveson high world real interest rates. Papers on economic activity,2-1984: p.273-334.
BRESSER-PEREIRA, Luiz Carlos & NAKANO, Yoshiaki.Estrategia de desenvolvimento com estabilidade. Revista deEconomia Polıtica, n.3 2002: p.146-180.
FERREIRA, Gilmar & COLBANO, Fabiano. Taxa de jurosreal de equilıbrio para o Brasil. Textos para Discussao doTesouro Nacional, n.1 2012.
Carlos Alberto Belchior On high interest rates in Brazil
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ApresentacaoArtigo
Teste EconometricoAlternativa
Multiplos EquilıbriosChoques de juros
Bibliografia
LARA RESENDE, Andre. Os limites do possıvel, Penguin,Sao Paulo: 2013.
LOPES, Francisco. A estabilizacao imcompleta. in: Bacha,Edmar & Baumgarten, Monica orgs. (2011):p.116-129.
MARQUES, Luis David. Modelos Dinamicos com dados empainel. Working paper, Universidade de Porto (2000).
Carlos Alberto Belchior On high interest rates in Brazil