Mudanças recentes nos ciclos de negócios brasileiros

• Ano de defesa: 2014
• Autor(a) principal: Lopes, Luckas Sabioni
• Orientador(a): Lima, João Eustáquio de
• Banca de defesa: Caetano, Sidney Martins , Vieira, Fabrício de Assis Campos , Alexopoulos, Joana Georgios
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Viçosa
• Programa de Pós-Graduação: Doutorado em Economia Aplicada
• Departamento: Economia e Gerenciamento do Agronegócio; Economia das Relações Internacionais; Economia dos Recursos
• País: BR
• Palavras-chave em Português: Política monetária - Brasil; Ciclos econômicos; Produto interno bruto; Plano real; Inflação
• Palavras-chave em Inglês: Monetary policy - Brazil; Economic cycles; Gross domestic product; Real plan; Inflation
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA::CRESCIMENTO, FLUTUACOES E PLANEJAMENTO ECONOMICO::FLUTUACOES CICLICAS E PROJECOES ECONOMICAS
• Link de acesso: http://locus.ufv.br/handle/123456789/159

The present research work has two chapters. The first one provides new information about the Brazilian business cycle from 1947 to 2012, using a quarterly and seasonally adjusted real GDP time series. Our method averages over a variety of HP-filters and creates a set of information which is robust for structural breaks and filter selection. The main findings are that Brazilian business cycle is asymmetric, with expansions lasting longer than recessions; the country s long-term trend presented a noticeable flatter slope after the 1980s; and, volatility decreased after 1996-1997, when a statistically significant structural break occurred. We also found that Brazilian real long-term growth rate decreased by 50%, from 8% per year, in the period between 1947 and 1980, to 4% per year after that. The second one evaluates the Great Moderation issue applied to Brazil, investigating what has caused inflation and output volatility to fall in the country. In so doing, we estimate a structural New Keynesian DSGE model using Bayesian techniques, across different sub-samples for the entire 1975-2012 period. Our main findings are that the Brazilian Great Moderation began in 1995, when the volatility of inflation, and output gap, dropped sharply. We have detected instabilities in the parameters describing the private sector, the monetary policy, and the variance of the shocks. Regarding the causes of the great moderation, changes in monetary policy and shocks explain the reduction in the instability of inflation (about 50% each, in some specifications). However, some assumptions also indicate that changes in the Phillips curve slope were also important for its stabilization. On the GDP side, we found that the sole reason behind its volatility fall was the reduction of the shocks hitting the economy. Therefore, the Brazilian Great Moderation was mainly originated by a mix of the good policy (implied by the Real Plan) and good luck hypotheses additionally to changes in the price setters behavior.