teoria macroeconÔmica ii eco1217 um modelo is-lm com restrição de financiamento externo para...
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TEORIA MACROECONÔMICA IIECO1217
Um Modelo IS-LM com Restrição de Financiamento Externo para Explicar As Crises Brasileiras do Século XXI
Aula 21 - 19/05/2005 Professores: Dionísio Dias CarneiroMárcio Gomes Pinto Garcia
Presentation Plan
1. Introduction
2. Floating Period Stylized Facts
3. The CK Model for Segmented Financial Markets
4. Policy Conclusions
1999 2000 2001 2002*GDP Growth 0.8% 4.4% 1.5% 1.5%Inflation (CPI) 8.9% 6.0% 7.7% 12.5%Exchange Rate Depreciation 48.0% 9.3% 18.7% 52.3%Nominal Interest Rate (Selic) 24.8% 17.4% 17.2% 19.2%Real Interest Rate 14.6% 10.8% 8.9% 11.1% **Fiscal Surplus (%GDP)
Primary 3.3% 3.6% 3.8% 3.9% Nominal -5.8% -3.6% -3.5% -4.6%Current Account
USD Billion -25.3 -24.2 -23.2 -7.8 %GDP -4.8% -4.1% -4.6% -1.7%
TABLE 1: Macroeconomic Indicators of the Floating Period of the Real Plan
*Source: Average forecast compiled by the Brazilian Central Bank
(available at http://www4.bcb.gov.br/gci/Readout/R20021220.pdf ).
**Computed with the year-end forecast for the nominal Selic rate of 25%.
EQUATION (1)
tTttttt CURSSEifpii ))/(ln( 0**
it : domestic interest rate
it*: international interest rate
fpt : forward premium
Et(ln(ST/S0)) : expected depreciation
CURt : currency risk premium
Interest Rate Decomposition
0%
10%
20%
30%
40%
50%
60%
70%
Ja
n-9
5
Ap
r-9
5
Ju
l-9
5
Oc
t-9
5
Ja
n-9
6
Ap
r-9
6
Ju
l-9
6
Oc
t-9
6
Ja
n-9
7
Ap
r-9
7
Ju
l-9
7
Oc
t-9
7
Ja
n-9
8
Ap
r-9
8
Ju
l-9
8
Oc
t-9
8
Ja
n-9
9
Ap
r-9
9
Ju
l-9
9
Oc
t-9
9
Ja
n-0
0
Ap
r-0
0
Ju
l-0
0
Oc
t-0
0
Ja
n-0
1
Ap
r-0
1
Ju
l-0
1
Oc
t-0
1
Ja
n-0
2
Ap
r-0
2
Ju
l-0
2
Oc
t-0
2
One-Year-Domestic Rate
Interest Rate Decomposition
0%
10%
20%
30%
40%
50%
60%
70%
Jan
-95
May
-95
Sep
-95
Jan
-96
May
-96
Sep
-96
Jan
-97
May
-97
Sep
-97
Jan
-98
May
-98
Sep
-98
Jan
-99
May
-99
Sep
-99
Jan
-00
May
-00
Sep
-00
Jan
-01
May
-01
Sep
-01
Jan
-02
May
-02
Sep
-02
One-Year-US Treasury Rate One-Year-Domestic Rate
Interest Rate Decomposition
0%
10%
20%
30%
40%
50%
60%
70%
Ja
n-9
5
Ma
y-9
5
Se
p-9
5
Ja
n-9
6
Ma
y-9
6
Se
p-9
6
Ja
n-9
7
Ma
y-9
7
Se
p-9
7
Ja
n-9
8
Ma
y-9
8
Se
p-9
8
Ja
n-9
9
Ma
y-9
9
Se
p-9
9
Ja
n-0
0
Ma
y-0
0
Se
p-0
0
Ja
n-0
1
Ma
y-0
1
Se
p-0
1
Ja
n-0
2
Ma
y-0
2
Se
p-0
2
One-Year-US Treasury Rate Forward Premium One-Year-Domestic Rate
Interest Rate Decomposition
0%
10%
20%
30%
40%
50%
60%
70%
Ja
n-9
5
Ma
y-9
5
Se
p-9
5
Ja
n-9
6
Ma
y-9
6
Se
p-9
6
Ja
n-9
7
Ma
y-9
7
Se
p-9
7
Ja
n-9
8
Ma
y-9
8
Se
p-9
8
Ja
n-9
9
Ma
y-9
9
Se
p-9
9
Ja
n-0
0
Ma
y-0
0
Se
p-0
0
Ja
n-0
1
Ma
y-0
1
Se
p-0
1
Ja
n-0
2
Ma
y-0
2
Se
p-0
2
One-Year-US Treasury Rate Forward PremiumCovered-Interest-Parity Differential One-Year-Domestic Rate
Measures of Country Risk Premium for Brazil
0 %
5 %
1 0 %
1 5 %
2 0 %
2 5 %
3 0 %
Ja
n-9
5
Ma
y-9
5
Se
p-9
5
Ja
n-9
6
Ma
y-9
6
Se
p-9
6
Ja
n-9
7
Ma
y-9
7
Se
p-9
7
Ja
n-9
8
Ma
y-9
8
Se
p-9
8
Ja
n-9
9
Ma
y-9
9
Se
p-9
9
Ja
n-0
0
Ma
y-0
0
Se
p-0
0
Ja
n-0
1
Ma
y-0
1
Se
p-0
1
Ja
n-0
2
Ma
y-0
2
Se
p-0
2
log
an
nu
al
ra
te
Covered-Interest-Parity Differentia l C -Bond Spread
EQUATION (1)
tTttttt CURSSEifpii ))/(ln( 0**
it : domestic interest rate
it*: international interest rate
fpt : forward premium
Et(ln(ST/S0)) : expected depreciation
CURt : currency risk premium
EQUATION (2)
it : domestic interest rate
it*: international interest rate
fpt : forward premium
Et(ln(ST/S0)) : expected depreciation
CURt : currency risk premium
CIPDt : covered-interest-parity differential
ttTtttttt CIPDCURSSEiCIPDfpii ))/(ln( 0**
Interest and Exchange Rates: The First Crisis Bout
1.50
1.75
2.00
2.25
2.50
2.75
3.00
Jan
-00
Feb
-00
Mar
-00
Ap
r-00
May
-00
Jun
-00
Jul-0
0
Au
g-0
0
Sep
-00
Oct
-00
No
v-00
Dec
-00
Jan
-01
Feb
-01
Mar
-01
Ap
r-01
May
-01
Jun
-01
Jul-0
1
Au
g-0
1
Sep
-01
Oct
-01
No
v-01
Dec
-01
Jan
-02
Feb
-02
Mar
-02
BRL/USD - Exchange Rate
Interest and Exchange Rates: The First Crisis Bout
-5%
0%
5%
10%
15%
20%
25%
Jan
-00
Feb
-00
Mar
-00
Ap
r-00
May
-00
Jun
-00
Jul-0
0
Au
g-0
0
Sep
-00
Oct
-00
No
v-00
Dec
-00
Jan
-01
Feb
-01
Mar
-01
Ap
r-01
May
-01
Jun
-01
Jul-0
1
Au
g-0
1
Sep
-01
Oct
-01
No
v-01
Dec
-01
Jan
-02
Feb
-02
Mar
-02
1.5
1.75
2
2.25
2.5
2.75
3
BR
L/U
SD
Exc
han
ge
Rat
e
BRL/USD - Exchange Rate Selic
Interest and Exchange Rates: The First Crisis Bout
-5%
0%
5%
10%
15%
20%
25%
Jan
-00
Feb
-00
Mar
-00
Ap
r-00
May
-00
Jun
-00
Jul-0
0
Au
g-0
0
Sep
-00
Oct
-00
No
v-00
Dec
-00
Jan
-01
Feb
-01
Mar
-01
Ap
r-01
May
-01
Jun
-01
Jul-0
1
Au
g-0
1
Sep
-01
Oct
-01
No
v-01
Dec
-01
Jan
-02
Feb
-02
Mar
-02
1.5
1.75
2
2.25
2.5
2.75
3
BR
L/U
SD
Exc
han
ge
Rat
e
BRL/USD - Exchange Rate Selic C-Bond Yield
Interest and Exchange Rates: The First Crisis Bout
-5%
0%
5%
10%
15%
20%
25%
Jan
-00
Feb
-00
Mar
-00
Ap
r-00
May
-00
Jun
-00
Jul-0
0
Au
g-0
0
Sep
-00
Oct
-00
No
v-00
Dec
-00
Jan
-01
Feb
-01
Mar
-01
Ap
r-01
May
-01
Jun
-01
Jul-0
1
Au
g-0
1
Sep
-01
Oct
-01
No
v-01
Dec
-01
Jan
-02
Feb
-02
Mar
-02
1.5
1.75
2
2.25
2.5
2.75
3
BR
L/U
SD
Exc
han
ge
Rat
e
BRL/USD - Exchange Rate Selic C-Bond Yield One-Year Interest Rate
Interest and Exchange Rates: The First Crisis Bout
-5%
0%
5%
10%
15%
20%
25%
Jan
-00
Feb
-00
Mar
-00
Ap
r-00
May
-00
Jun
-00
Jul-0
0
Au
g-0
0
Sep
-00
Oct
-00
No
v-00
Dec
-00
Jan
-01
Feb
-01
Mar
-01
Ap
r-01
May
-01
Jun
-01
Jul-0
1
Au
g-0
1
Sep
-01
Oct
-01
No
v-01
Dec
-01
Jan
-02
Feb
-02
Mar
-02
1.5
1.75
2
2.25
2.5
2.75
3
BR
L/U
SD
Exc
han
ge
Rat
e
BRL/USD - Exchange Rate Selic C-Bond Yield One-Year Interest Rate Domestic USD Rate
Interest and Exchange Rates: The First Crisis Bout
-5%
0%
5%
10%
15%
20%
25%
Jan
-00
Feb
-00
Mar
-00
Ap
r-00
May
-00
Jun
-00
Jul-0
0
Au
g-0
0
Sep
-00
Oct
-00
No
v-00
Dec
-00
Jan
-01
Feb
-01
Mar
-01
Ap
r-01
May
-01
Jun
-01
Jul-0
1
Au
g-0
1
Sep
-01
Oct
-01
No
v-01
Dec
-01
Jan
-02
Feb
-02
Mar
-02
log
annu
al r
ate
1.5
1.75
2
2.25
2.5
2.75
3
BR
L/U
SD
BRL/USD - Exchange Rate CBONDSPD - CIPD Selic One-Year Interest Rate
C-Bond Yield Domestic USD Rate Forward Premium
The First Crisis Bout (2001)
-5%
0%
5%
10%
15%
20%
25%
Jan
-00
Feb
-00
Mar
-00
Ap
r-00
May
-00
Jun
-00
Jul-0
0
Au
g-0
0
Sep
-00
Oct
-00
No
v-00
Dec
-00
Jan
-01
Feb
-01
Mar
-01
Ap
r-01
May
-01
Jun
-01
Jul-0
1
Au
g-0
1
Sep
-01
Oct
-01
No
v-01
Dec
-01
Jan
-02
Feb
-02
Mar
-02
log
annu
al r
ate
1.5
1.75
2
2.25
2.5
2.75
3
BR
L/U
SD
BRL/USD - Exchange Rate Selic One-Year Interest RateC-Bond Yield Domestic USD Rate Forward PremiumCBONDSPD - CIPD
The Second Crisis Bout (2002)
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
35%
Jan
-00
Mar
-00
May
-00
Jul-0
0
Sep
-00
No
v-00
Jan
-01
Mar
-01
May
-01
Jul-0
1
Sep
-01
No
v-01
Jan
-02
Mar
-02
May
-02
Jul-0
2
Sep
-02
No
v-02
log
an
nu
al r
ate
1.5
1.75
2
2.25
2.5
2.75
3
3.25
3.5
3.75
4
BR
L/U
SD
BRL/USD - Exchange Rate Selic One-Year Interest RateC-Bond Yield Domestic USD Rate Forward PremiumCBONDSPD - CIPD
Forward Premium Decomposition: Expected Depreciation and Currency Risk Premium
-30%
-20%
-10%
0%
10%
20%
30%
Jan
-00
Mar
-00
May
-00
Jul-0
0
Sep
-00
No
v-00
Jan
-01
Mar
-01
May
-01
Jul-0
1
Sep
-01
No
v-01
Jan
-02
Mar
-02
May
-02
Jul-0
2
Sep
-02
No
v-02
1.6
2
2.4
2.8
3.2
3.6
4
BR
L/U
SD
Exc
han
ge
Rat
e
BRL/USD - Exchange Rate
Forward Premium Decomposition: Expected Depreciation and Currency Risk Premium
-30%
-20%
-10%
0%
10%
20%
30%
Jan
-00
Mar
-00
May
-00
Jul-0
0
Sep
-00
No
v-00
Jan
-01
Mar
-01
May
-01
Jul-0
1
Sep
-01
No
v-01
Jan
-02
Mar
-02
May
-02
Jul-0
2
Sep
-02
No
v-02
1.6
2
2.4
2.8
3.2
3.6
4
BR
L/U
SD
Exc
han
ge
Rat
e
BRL/USD - Exchange Rate Forward Premium
Forward Premium Decomposition: Expected Depreciation and Currency Risk Premium
-30%
-20%
-10%
0%
10%
20%
30%
Jan
-00
Mar
-00
May
-00
Jul-0
0
Sep
-00
No
v-00
Jan
-01
Mar
-01
May
-01
Jul-0
1
Sep
-01
No
v-01
Jan
-02
Mar
-02
May
-02
Jul-0
2
Sep
-02
No
v-02
1.6
2
2.4
2.8
3.2
3.6
4
BR
L/U
SD
Exc
han
ge
Rat
e
BRL/USD - Exchange Rate Forward Premium Expected Depreciation
Forward Premium Decomposition: Expected Depreciation and Currency Risk Premium
-30%
-20%
-10%
0%
10%
20%
30%
Ja
n-0
0
Ma
r-0
0
Ma
y-0
0
Ju
l-0
0
Se
p-0
0
No
v-0
0
Ja
n-0
1
Ma
r-0
1
Ma
y-0
1
Ju
l-0
1
Se
p-0
1
No
v-0
1
Ja
n-0
2
Ma
r-0
2
Ma
y-0
2
Ju
l-0
2
Se
p-0
2
No
v-0
2
log
an
nu
al r
ate
1.6
2
2.4
2.8
3.2
3.6
4
BR
L/U
SD
BRL/USD - Exchange Rate Forward Premium Currency Risk Expected Depreciation
BRL and USD Domestic Yield Curves: 10/22/2002
0%
10%
20%
30%
40%
50%
60%
70%
1 month 6 months 1 year 2 years 3 years
Term
% p
er y
ear
Domestic Interest Rate in BRL Domestic Interest Rate in USD
Summary of Stylized Facts
1. In both large depreciation episodes, 2001 and 2002, the country risk measure given by the C-Bond spread increased, although the increase was much more pronounced in the latter episode than in the former. This latter episode is associated with large exchange rate outflows from Brazil.
2. In the 2001 episode, the country-risk measure given by the covered-interest-parity differential and the domestic USD interest rate decreased, while they increased significantly during the 2002 episode. Conversely, the forward premium increased substantially in 2001, and became negative in 2002.
3. The negative forward premium gave rise to an inverted yield curve of USD domestic rates that surpassed the BRL yield curve for maturities up to one-year.
4. The 2002 depreciation created an expectation of nominal appreciation of the BRL, a very unusual situation. Nevertheless, the currency risk remained positive in both depreciation episodes.
I + G = CF (3)
A version of the Caballero and Krishnamurthy [2002] model for
segmented financial markets
I : domestic investment, G : government outlays, CF : net capital inflows
I + G = CF (3)
I + G IL (4)
IL : international liquidity (financial claims on future cash flows that can be sold to foreign and domestic lenders alike)
I + G = CF (3)
I + G IL (4)
(5) 00
pdpd
i
I,
i
I;i,iI
id
External Schock
International Liquidity
I(id,ip) + G
I + G
i0*
(a) Dual-Liquidity Model
id
External Schock
International Liquidity
I(id,ip) + G
I + G
i0*
(a) Dual-Liquidity Model
I + G
id
i0*
I(id,ip) + G
External Schock
i*
(b) Standard Model
Figure 1: External Crises
I + G = CF (3)
I + G IL (4)
(5) 00
pdpd
i
I,
i
I;i,iI
ILGi,iIpd (6)
I + G = CF (3)
I + G IL (4)
(5) 00
pdpd
i
I,
i
I;i,iI
ILGi,iIpd (6)
êii pd (7)
I + G = CF (3)
I + G IL (4)
(5) 00
pdpd
i
I,
i
I;i,iI
ILGi,iIpd (6)
êii pd (7)
MGI,iLp
(8)
I + G
i p M
S´
I
L S
International Liquidity Constraint
Figure 2: Equilibrium
I + G = CF (3)
I + G IL (4)
(5) 00
pdpd
i
I,
i
I;i,iI
ILGi,iIpd (6)
êii pd (7)
MGI,iLp
(8)
e
ip
International Liquidity Constraint
Figure 3: Interest and Exchange Rate
Exchange Rate and Country & Term Risk Premia
-5%
0%
5%
10%
15%
20%
Ja
n-0
0
Ma
r-0
0
Ma
y-0
0
Ju
l-0
0
Se
p-0
0
No
v-0
0
Ja
n-0
1
Ma
r-0
1
Ma
y-0
1
Ju
l-0
1
Se
p-0
1
No
v-0
1
Ja
n-0
2
Ma
r-0
2
Ma
y-0
2
Ju
l-0
2
Se
p-0
2
No
v-0
2
C-Bond Spread
Exchange Rate and Country & Term Risk Premia
-5%
0%
5%
10%
15%
20%
Ja
n-0
0
Ma
r-0
0
Ma
y-0
0
Ju
l-0
0
Se
p-0
0
No
v-0
0
Ja
n-0
1
Ma
r-0
1
Ma
y-0
1
Ju
l-0
1
Se
p-0
1
No
v-0
1
Ja
n-0
2
Ma
r-0
2
Ma
y-0
2
Ju
l-0
2
Se
p-0
2
No
v-0
2
C-Bond Spread One-Year Term Premium
Exchange Rate and Country & Term Risk Premia
-5%
0%
5%
10%
15%
20%
25%
Jan
-00
Mar
-00
May
-00
Jul-0
0
Sep
-00
No
v-00
Jan
-01
Mar
-01
May
-01
Jul-0
1
Sep
-01
No
v-01
Jan
-02
Mar
-02
May
-02
Jul-0
2
Sep
-02
No
v-02
log
an
nu
al r
ate
1.5
1.75
2
2.25
2.5
2.75
3
3.25
3.5
3.75
4
BR
L/U
SD
BRL/USD - Exchange Rate C-Bond Spread One-Year Term Premium
CONCLUSION• To further the financial integration of the
Brazilian economy with international financial markets. This will increase the amount of international liquidity of the economy.
CONCLUSION
• To increase the exportability of the economy. This implies both larger exports and larger imports. It is not akin to import substitution.
CONCLUSION
• To increase the fiscal effort, in order to help dispel the doubts over the sustainability of the public debt. If the goal is achieved, the initial fiscal effort will support higher growth, lower interest expenditures and higher fiscal revenues.
CONCLUSION
• To increase the credibility of the monetary authority, by conferring instrument independence to the Brazilian Central Bank to use monetary policy to achieve the inflation target set outside the Central Bank in the best possible way.
CONCLUSION
• To resume the debt management efforts to lengthen the debt profile while reducing the indexation to the exchange rate and to the Selic short term rate. This will require larger use of inflation-linked bonds
Seguem os gráficos atualizados
FED FUNDS AND SELIC RATESFed Funds Target x Selic Target
15,00%
17,00%
19,00%
21,00%
23,00%
25,00%
27,00%
jan
-00
ab
r-0
0
jul-
00
ou
t-0
0
jan
-01
ab
r-0
1
jul-
01
ou
t-0
1
jan
-02
ab
r-0
2
jul-
02
ou
t-0
2
jan
-03
ab
r-0
3
jul-
03
ou
t-0
3
jan
-04
ab
r-0
4
jul-
04
ou
t-0
4
jan
-05
ab
r-0
5
SE
LIC
1,00%
2,00%
3,00%
4,00%
5,00%
6,00%
7,00%
FE
D F
UN
DS
Selic Target Fed Funds Target
Interest Rate DecompositionInterest Rate Decomposition
0%
5%
10%
15%
20%
25%
30%n
ov
/01
fev
/02
ma
i/02
ag
o/0
2
no
v/0
2
fev
/03
ma
i/03
ag
o/0
3
no
v/0
3
fev
/04
ma
i/04
ag
o/0
4
no
v/0
4
fev
/05
log
an
nu
al r
ate
One-Year-US Interest Rate Forward Premium
Covered-Interest-Parity Differential One-Year-Domestic Interest Rate
Measures of Country Risk Premium for Brazil
Interest Rate Decomposition
0%
5%
10%
15%
20%
25%
30%
35%
no
v/0
1
jan
/02
ma
r/0
2
ma
i/02
jul/0
2
se
t/0
2
no
v/0
2
jan
/03
ma
r/0
3
ma
i/03
jul/0
3
se
t/0
3
no
v/0
3
jan
/04
ma
r/0
4
ma
i/04
jul/0
4
se
t/0
4
no
v/0
4
jan
/05
ma
r/0
5
ma
i/05
log
an
nu
al r
ate
Covered-Interest-Parity Differential C-Bond Spread
Interest and Exchange Rates: The Recent Post-Crises Period
0%
5%
10%
15%
20%
25%m
ai/
03
ag
o/0
3
no
v/0
3
fev
/04
ma
i/0
4
ag
o/0
4
no
v/0
4
fev
/05
2.25
2.5
2.75
3
3.25
BRL/USD - Exchange Rate Selic One-Year Interest Rate (%) C-Bond Yield
Domestic USD Rate Forward Premium CBONDSPD - CIPD
Interest and Exchange Rates: The second Crisis Bout
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
35%
40%ja
n/0
0
ab
r/0
0
jul/
00
ou
t/0
0
jan
/01
ab
r/0
1
jul/
01
ou
t/0
1
jan
/02
ab
r/0
2
jul/
02
ou
t/0
2
jan
/03
ab
r/0
3
jul/
03
ou
t/0
3
jan
/04
ab
r/0
4
jul/
04
ou
t/0
4
jan
/05
ab
r/0
5
1.5
1.75
2
2.25
2.5
2.75
3
3.25
3.5
3.75
4
BRL/USD - Exchange Rate Selic One-Year Interest Rate (%) C-Bond Yield
Domestic USD Rate Forward Premium CBONDSPD - CIPD
Forward Premium Decomposition: Expected Depreciation and Currency Risk
-30%
-20%
-10%
0%
10%
20%
30%ja
n/0
0
abr/
00
jul/
00
ou
t/00
jan
/01
abr/
01
jul/
01
ou
t/01
jan
/02
abr/
02
jul/
02
ou
t/02
jan
/03
abr/
03
jul/
03
ou
t/03
jan
/04
abr/
04
jul/
04
ou
t/04
jan
/05
abr/
05
1.6
2
2.4
2.8
3.2
3.6
4
BRL/USD - Exchange Rate Forward Premium Currency Risk Expected Depreciation
Exchange Rate and Country & Term Risk Premia
-5%
0%
5%
10%
15%
20%
25%ja
n/0
0
abr/
00
jul/0
0
ou
t/00
jan
/01
abr/
01
jul/0
1
ou
t/01
jan
/02
abr/
02
jul/0
2
ou
t/02
jan
/03
abr/
03
jul/0
3
ou
t/03
jan
/04
abr/
04
jul/0
4
ou
t/04
jan
/05
abr/
05
1.5
1.75
2
2.25
2.5
2.75
3
3.25
3.5
3.75
4
BR
L/U
SD
Exc
han
ge
Rat
e
BRL/USD - Exchange Rate C-Bond Spread One-Year Term Premium
BRAZIL:Growth, Saving and Investment
0.00
5.00
10.00
15.00
20.00
25.00
30.00
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
Year
% o
f G
DP
-4.00
0.00
4.00
8.00
12.00
16.00
20.00
% p
er y
ear
and
% o
f G
DP
Investment Domestic Saving Foreign Saving GDP Growth