Autor: Carlos Viana de Carvalho

WP 094 E se o Brasil não tivesse adotado câmbio flutuante em 1999

Resumo – Estimamos um modelo dinâmico, estocástico, de equilíbrio geral para a economia brasileira, levando em conta explicitamente a transição do sistema de bandas cambiais para o regime de metas para a inação com câmbio flutuante, ocorrida em 1999. O modelo estimado produz dinâmicas bastante distintas sob os dois regimes monetários. Construímos, então, algumas histórias contra factuais da transição entres os dois regimes, utilizando as séries de choques estruturais estimados. Nossos resultados sugerem que a manutenção das bandas cambiais teria sido praticamente inviável, na medida em que a taxa de juros teria que ter permanecido em níveis extremamente elevados por vários trimestres e a atividade econômica teria contraído fortemente. Acelerar o ritmo de desvalorização da taxa de câmbio após a Crise da Ásia teria produzido taxas de inação e de juros maiores e atividade econômica um pouco mais fraca. Por último, o modelo sugere que o primeiro semestre de 1998 pode ter oferecido uma janela de oportunidade para uma transição suave entre os dois regimes monetários. Download do Paper Ano: 2016 Working-paper: 094 Carlos Viana de Carvalho Ler todos os Posts de Carlos Viana de Carvalho’s Share...

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WP 093 What if Brazil Hadn’t Floated the Real in 1999?

Abstract – We estimate a dynamic, stochastic, general equilibrium model of the Brazilian economy taking into account the transition from a currency peg to inflation targeting that took place in 1999. The estimated model exhibits quite different dynamics under the two monetary regimes. We use it to produce counterfactual histories of the transition from one regime to another, given the estimated history of structural shocks. Our results suggest that maintaining the currency peg would have been too costly, as interest rates would have had to remain at extremely high levels for several quarters, and GDP would have collapsed. Accelerating the pace of nominal exchange rate devaluations after the Asian Crisis would have lead to higher inflation and interest rates, and slightly lower GDP. Finally, the first half of 1998 arguably provided a window of opportunity for a smooth transition between monetary regimes. Download do Paper Ano: 2016 Working-paper: 093 Carlos Viana de Carvalho Ler todos os Posts de Carlos Viana de Carvalho’s Share...

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WP 092 Demographics and Real Interest Rates: Inspecting the Mechanism

Abstract – The demographic transition can affect the equilibrium real interest rate through three channels. An increase in longevity—or expectations thereof—puts downward pressure on the real interest rate, as agents build up their savings in anticipation of a longer retirement period. A reduction in the population growth rate has two counteracting effects. On the one hand, capital per-worker rises, thus inducing lower real interest rates through a reduction in the marginal product of capital. On the other hand, the decline in population growth eventually leads to a higher dependency ratio (the fraction of retirees to workers). Because retirees save less than workers, this compositional effect lowers the aggregate savings rate and pushes real rates up. We calibrate a tractable life-cycle model to capture salient features of the demographic transition in developed economies, and find that its overall effect is a reduction of the equilibrium interest rate by at least one and a half percentage points between 1990 and 2014. Demographic trends have important implications for the conduct of monetary policy, especially in light of the zero lower bound on nominal interest rates. Other policies can offset the negative effects of the demographic transition on real rates with different degrees of success. Download do Paper Ano: 2016 Working-paper: 092 Carlos Viana de Carvalho Ler todos os Posts de Carlos Viana de Carvalho’s Share...

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WP 079 – Real Rigidities and the Cross-Sectional Distribution of Price Stickiness: Evidence from Micro and Macro Data Combined

Abstract – We use a standard sticky-price model to provide evidence on three mechanisms that can reconcile somewhat frequent price changes with large and persistent real e¤ects of monetary shocks. To that end, we estimate a semi-structural model for the U.S. economy that allows for varying degrees of real rigidities, and cross-sectional heterogeneity in price stickiness. The model can extract some information about these two features of the economy from aggregate data, and discriminate between di¤erent distributions of price stickiness. Hence it can also speak to the debate about the role of sales and other temporary price changes in shaping the e¤ects of monetary policy. Employing a Bayesian approach, we combine macroeconomic time-series data with information about empirical distributions of price stickiness derived from micro price data for the U.S. economy. Our estimates point to the presence of both large real rigidities and an important degree of heterogeneity in price stickiness. Moreover, cross-sectional distributions of price stickiness that factor out sales improve the empirical …t of the model. Our results suggest that bridging the gap between micro and macro evidence on nominal price rigidity may require the combination of several mechanisms. Download do Paper Ano: 2014 Working-paper: Carlos Viana de Carvalho Ler todos os Posts de Carlos Viana de Carvalho’s Share...

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WP 078 – Factor Specificity and Real Rigidities

Abstract – We develop a multisector model in which capital and labor are free to move across …firms within each sector, but cannot move across sectors. To isolate the role of sectoral speci…city, we compare our model with otherwise identical multisector economies with either economy-wide or …rm-speci…c factor markets. Sectoral factor speci…city generates within-sector strategic substitutability and tends to induce across-sector strategic complementarity in price setting. Our model can produce either more or less monetary non-neutrality than those other two models, depending on parameterization and the distribution of price rigidity across sectors. Under the empirical distribution for the U.S., our model behaves similarly to an economy with …rm-speci…c factors in the short-run, and later on approaches the dynamics of the model with economy-wide factor markets. This is consistent with the idea that factor price equalization might take place gradually over time, so that …rm-speci…city may serve as a reasonable short-run approximation, whereas economy-wide markets are likely a better description of how factors of production are allocated in the longer run. Download do Paper Ano: 2015 Working-paper: 079 Carlos Viana de Carvalho Ler todos os Posts de Carlos Viana de Carvalho’s Share...

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