Tests applied in macroeconomics: exchange rate expectations and inflation / Ensaios aplicados de macroeconomia: taxa de câmbio e expectativas de inflação
AUTOR(ES)
Juan Pedro Jensen Perdomo
DATA DE PUBLICAÇÃO
2008
RESUMO
This doctoral thesis consists of three essays in applied macroeconomics. The first essay retakes the classic result of the article by Meese and Rogoff (1983), in which the authors found strong evidence that no structural model for the exchange rate surpasses the projections of a random walk model. In this first essay we compare the error of the projections for the exchange rate, effected by banks, financial institutions and economic consultants, caught in ranking Top-5 of the Brazilian Central Bank, with the projections of a random walk model and a structural model of uncovered interest parity for three horizons of forecast. The results show that the random walk model has greater index of rightness in comparison with the methods used for the participant institutions of the research and in comparison with the structural method. This index of rightness increases with the projection stated period. The second essay deals with the determinants of inflation expectations in Brazil. Expectations of inflation are one of the most important variables in determining the future inflation, determining the conduct of monetary policy. Through econometric modeling we find that the variables that affect inflation expectations are: a) inflation target it is the most important variable, worked as anchor of expectations; b) past inflation; c) the product gap; d) exchange rate; e) international prices; and f) interest rate. Variables of fiscal policy do not seem to be important in the determination of inflation expectations. The third essay is once again dealing with the exchange rate, trying to understand the impact of the devaluation of the Real on corporate behavior. It is known that the impacts on economic activity of currency devaluation can be positive or negative. For firms, the benefit is given in terms of competitiveness, given the reduction in costs. But, if the firms have geared to the foreign currency debt, the devaluation may have more costs than benefits, given the restrictions on the performance of companies by market credit. This is the effect of balance sheet. This work comes to help in identifying the impact of these devaluations on the performance of the investments of Brazilian companies. Through microeconomic data, the results of the estimates can not conclude which of the two effects, balance sheet or competitiveness, is more important. Meanwhile, the separation of the sample in firms of different sizes shows an effect of balance sheet higher than the effect of competitiveness in the case of large firms.
ASSUNTO(S)
inflation macroeconomia taxa de câmbio investments macroeconomics inflação exchange rate investimentos
