Três ensaios sobre política monetária e crédito
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Tipo de documento: | Tese |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/11734 |
Resumo: | In the first essay, 'Determinants of Credit Expansion in Brazil', analyzes the determinants of credit using an extensive bank level panel dataset. Brazilian economy has experienced a major boost in leverage in the first decade of 2000 as a result of a set factors ranging from macroeconomic stability to the abundant liquidity in international financial markets before 2008 and a set of deliberate decisions taken by President Lula's to expand credit, boost consumption and gain political support from the lower social strata. As relevant conclusions to our investigation we verify that: credit expansion relied on the reduction of the monetary policy rate, international financial markets are an important source of funds, payroll-guaranteed credit and investment grade status affected positively credit supply. We were not able to confirm the importance of financial inclusion efforts. The importance of financial sector sanity indicators of credit conditions cannot be underestimated. These results raise questions over the sustainability of this expansion process and financial stability in the future. The second essay, 'Public Credit, Monetary Policy and Financial Stability', discusses the role of public credit. The supply of public credit in Brazil has successfully served to relaunch the economy after the Lehman-Brothers demise. It was later transformed into a driver for economic growth as well as a regulation device to force private banks to reduce interest rates. We argue that the use of public funds to finance economic growth has three important drawbacks: it generates inflation, induces higher loan rates and may induce financial instability. An additional effect is the prevention of market credit solutions. This study contributes to the understanding of the costs and benefits of credit as a fiscal policy tool. The third essay, 'Bayesian Forecasting of Interest Rates: Do Priors Matter?', discusses the choice of priors when forecasting short-term interest rates. Central Banks that commit to an Inflation Target monetary regime are bound to respond to inflation expectation spikes and product hiatus widening in a clear and transparent way by abiding to a Taylor rule. There are various reports of central banks being more responsive to inflationary than to deflationary shocks rendering the monetary policy response to be indeed non-linear. Besides that there is no guarantee that coefficients remain stable during time. Central Banks may switch to a dual target regime to consider deviations from inflation and the output gap. The estimation of a Taylor rule may therefore have to consider a non-linear model with time varying parameters. This paper uses Bayesian forecasting methods to predict short-term interest rates. We take two different approaches: from a theoretic perspective we focus on an augmented version of the Taylor rule and include the Real Exchange Rate, the Credit-to-GDP and the Net Public Debt-to-GDP ratios. We also take an 'atheoretic' approach based on the Expectations Theory of the Term Structure to model short-term interest. The selection of priors is particularly relevant for predictive accuracy yet, ideally, forecasting models should require as little a priori expert insight as possible. We present recent developments in prior selection, in particular we propose the use of hierarchical hyper-g priors for better forecasting in a framework that can be easily extended to other key macroeconomic indicators. |
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Barbi, Fernando CarvalhaesEscolas::EESPPicchetti, PauloMarçal, Emerson FernandesAraújo Júnior, Eurilton AlvesLopes, Hedibert FreitasPereira, Pedro L. Valls2014-05-08T13:28:07Z2014-05-08T13:28:07Z2014-04-08BARBI, Fernando Carvalhaes. Três ensaios sobre política monetária e crédito. Tese (Doutorado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2014.http://hdl.handle.net/10438/11734In the first essay, 'Determinants of Credit Expansion in Brazil', analyzes the determinants of credit using an extensive bank level panel dataset. Brazilian economy has experienced a major boost in leverage in the first decade of 2000 as a result of a set factors ranging from macroeconomic stability to the abundant liquidity in international financial markets before 2008 and a set of deliberate decisions taken by President Lula's to expand credit, boost consumption and gain political support from the lower social strata. As relevant conclusions to our investigation we verify that: credit expansion relied on the reduction of the monetary policy rate, international financial markets are an important source of funds, payroll-guaranteed credit and investment grade status affected positively credit supply. We were not able to confirm the importance of financial inclusion efforts. The importance of financial sector sanity indicators of credit conditions cannot be underestimated. These results raise questions over the sustainability of this expansion process and financial stability in the future. The second essay, 'Public Credit, Monetary Policy and Financial Stability', discusses the role of public credit. The supply of public credit in Brazil has successfully served to relaunch the economy after the Lehman-Brothers demise. It was later transformed into a driver for economic growth as well as a regulation device to force private banks to reduce interest rates. We argue that the use of public funds to finance economic growth has three important drawbacks: it generates inflation, induces higher loan rates and may induce financial instability. An additional effect is the prevention of market credit solutions. This study contributes to the understanding of the costs and benefits of credit as a fiscal policy tool. The third essay, 'Bayesian Forecasting of Interest Rates: Do Priors Matter?', discusses the choice of priors when forecasting short-term interest rates. Central Banks that commit to an Inflation Target monetary regime are bound to respond to inflation expectation spikes and product hiatus widening in a clear and transparent way by abiding to a Taylor rule. There are various reports of central banks being more responsive to inflationary than to deflationary shocks rendering the monetary policy response to be indeed non-linear. Besides that there is no guarantee that coefficients remain stable during time. Central Banks may switch to a dual target regime to consider deviations from inflation and the output gap. The estimation of a Taylor rule may therefore have to consider a non-linear model with time varying parameters. This paper uses Bayesian forecasting methods to predict short-term interest rates. We take two different approaches: from a theoretic perspective we focus on an augmented version of the Taylor rule and include the Real Exchange Rate, the Credit-to-GDP and the Net Public Debt-to-GDP ratios. We also take an 'atheoretic' approach based on the Expectations Theory of the Term Structure to model short-term interest. The selection of priors is particularly relevant for predictive accuracy yet, ideally, forecasting models should require as little a priori expert insight as possible. We present recent developments in prior selection, in particular we propose the use of hierarchical hyper-g priors for better forecasting in a framework that can be easily extended to other key macroeconomic indicators.O primeiro ensaio, 'Determinantes da expansão do crédito no Brasil', analisa os determinantes do crédito usando um extenso conjunto de dados em painel sobre o sistema bancário. A economia brasileira teve um grande impulso na alavancagem na primeira década de 2000 como resultado de um conjunto de fatores que vão desde a estabilidade macroeconômica passando pela liquidez abundante nos mercados financeiros internacionais antes de 2008 até um conjunto de decisões deliberadas tomadas pelo presidente Lula para expandir o crédito, impulsionar o consumo e obter apoio político das camadas sociais mais baixas. Como conclusões verificamos que a expansão do crédito beneficiou-se da redução da taxa de juros, os mercados financeiros internacionais são uma fonte importante de recursos, o crédito garantido em folha de pagamento e o grau de investimento afetaram positivamente a oferta de crédito. Nós não fomos capazes de confirmar a importância dos esforços de inclusão financeira. A importância dos indicadores de sanidade do setor financeiro de condições de crédito não pode ser subestimada. Estes resultados levantam questões quanto à sustentabilidade desse processo de expansão e estabilidade financeira no futuro. O segundo ensaio, 'Crédito Público, Política Monetária e Estabilidade Financeira', discute o papel do crédito público. A oferta de crédito público no Brasil serviu para relançar a economia após a crise desencadeada pela quebra do banco Lehman-Brothers. Mais tarde, ele foi transformado em um motor de crescimento econômico bem como num dispositivo de regulação para forçar os bancos privados a reduzir as taxas de juros. Argumenta-se que a utilização de fundos públicos para financiar o crescimento econômico tem três desvantagens importantes: ele gera inflação, induz taxas de financiamento mais elevadas e pode induzir à instabilidade financeira. Um efeito adicional é impedir o desenvolvimento de soluções de crédito de mercado. O terceiro ensaio, 'Previsão Bayesiana de Taxas de Juros: as priors importam?', discute a escolha de priors para previsão das taxas de juros de curto prazo. Bancos Centrais que se comprometem com regimes de metas de inflação devem responder a variações nas expectativa de inflação e no hiato do produto de uma forma clara e transparente, respeitando a regra de Taylor. A estimativa de uma regra de Taylor pode ter que considerar um modelo não-linear com parâmetros variáveis no tempo. Este trabalho usa métodos de previsão bayesiana para as taxas de juro de curto prazo por duas abordagens diferentes. Por uma perspectiva teórica nos concentramos em uma versão aumentada da regra de Taylor. Também testamos uma abordagem baseada na teoria das expectativas da estrutura a termo cauva de juros para modelar os juros de curto prazo. A seleção dos priores é particularmente relevante para a precisão da previsão, no entanto deseja-se usar prior robustas a falta de conhecimento prévio. Apresentamos os recentes desenvolvimentos na seleção de priors, em especial, propomos o uso de priors hierárquicas da família de distribuição hiper-geométrica.engPublic creditFinancial stabilityMonetary policyForecastingBayesian model averagingEstabilidade financeiraModelo de média bayesianaEconomiaPolítica monetária - BrasilCrédito bancário - BrasilCrédito público - BrasilTeoria bayesiana de decisão estatísticaPrevisão econômicaIndicadores econômicos - BrasilMercados emergentesTrês ensaios sobre política monetária e créditoinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas 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dc.title.por.fl_str_mv |
Três ensaios sobre política monetária e crédito |
title |
Três ensaios sobre política monetária e crédito |
spellingShingle |
Três ensaios sobre política monetária e crédito Barbi, Fernando Carvalhaes Public credit Financial stability Monetary policy Forecasting Bayesian model averaging Estabilidade financeira Modelo de média bayesiana Economia Política monetária - Brasil Crédito bancário - Brasil Crédito público - Brasil Teoria bayesiana de decisão estatística Previsão econômica Indicadores econômicos - Brasil Mercados emergentes |
title_short |
Três ensaios sobre política monetária e crédito |
title_full |
Três ensaios sobre política monetária e crédito |
title_fullStr |
Três ensaios sobre política monetária e crédito |
title_full_unstemmed |
Três ensaios sobre política monetária e crédito |
title_sort |
Três ensaios sobre política monetária e crédito |
author |
Barbi, Fernando Carvalhaes |
author_facet |
Barbi, Fernando Carvalhaes |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Picchetti, Paulo Marçal, Emerson Fernandes Araújo Júnior, Eurilton Alves Lopes, Hedibert Freitas |
dc.contributor.author.fl_str_mv |
Barbi, Fernando Carvalhaes |
dc.contributor.advisor1.fl_str_mv |
Pereira, Pedro L. Valls |
contributor_str_mv |
Pereira, Pedro L. Valls |
dc.subject.eng.fl_str_mv |
Public credit Financial stability Monetary policy Forecasting Bayesian model averaging |
topic |
Public credit Financial stability Monetary policy Forecasting Bayesian model averaging Estabilidade financeira Modelo de média bayesiana Economia Política monetária - Brasil Crédito bancário - Brasil Crédito público - Brasil Teoria bayesiana de decisão estatística Previsão econômica Indicadores econômicos - Brasil Mercados emergentes |
dc.subject.por.fl_str_mv |
Estabilidade financeira Modelo de média bayesiana |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Política monetária - Brasil Crédito bancário - Brasil Crédito público - Brasil Teoria bayesiana de decisão estatística Previsão econômica Indicadores econômicos - Brasil Mercados emergentes |
description |
In the first essay, 'Determinants of Credit Expansion in Brazil', analyzes the determinants of credit using an extensive bank level panel dataset. Brazilian economy has experienced a major boost in leverage in the first decade of 2000 as a result of a set factors ranging from macroeconomic stability to the abundant liquidity in international financial markets before 2008 and a set of deliberate decisions taken by President Lula's to expand credit, boost consumption and gain political support from the lower social strata. As relevant conclusions to our investigation we verify that: credit expansion relied on the reduction of the monetary policy rate, international financial markets are an important source of funds, payroll-guaranteed credit and investment grade status affected positively credit supply. We were not able to confirm the importance of financial inclusion efforts. The importance of financial sector sanity indicators of credit conditions cannot be underestimated. These results raise questions over the sustainability of this expansion process and financial stability in the future. The second essay, 'Public Credit, Monetary Policy and Financial Stability', discusses the role of public credit. The supply of public credit in Brazil has successfully served to relaunch the economy after the Lehman-Brothers demise. It was later transformed into a driver for economic growth as well as a regulation device to force private banks to reduce interest rates. We argue that the use of public funds to finance economic growth has three important drawbacks: it generates inflation, induces higher loan rates and may induce financial instability. An additional effect is the prevention of market credit solutions. This study contributes to the understanding of the costs and benefits of credit as a fiscal policy tool. The third essay, 'Bayesian Forecasting of Interest Rates: Do Priors Matter?', discusses the choice of priors when forecasting short-term interest rates. Central Banks that commit to an Inflation Target monetary regime are bound to respond to inflation expectation spikes and product hiatus widening in a clear and transparent way by abiding to a Taylor rule. There are various reports of central banks being more responsive to inflationary than to deflationary shocks rendering the monetary policy response to be indeed non-linear. Besides that there is no guarantee that coefficients remain stable during time. Central Banks may switch to a dual target regime to consider deviations from inflation and the output gap. The estimation of a Taylor rule may therefore have to consider a non-linear model with time varying parameters. This paper uses Bayesian forecasting methods to predict short-term interest rates. We take two different approaches: from a theoretic perspective we focus on an augmented version of the Taylor rule and include the Real Exchange Rate, the Credit-to-GDP and the Net Public Debt-to-GDP ratios. We also take an 'atheoretic' approach based on the Expectations Theory of the Term Structure to model short-term interest. The selection of priors is particularly relevant for predictive accuracy yet, ideally, forecasting models should require as little a priori expert insight as possible. We present recent developments in prior selection, in particular we propose the use of hierarchical hyper-g priors for better forecasting in a framework that can be easily extended to other key macroeconomic indicators. |
publishDate |
2014 |
dc.date.accessioned.fl_str_mv |
2014-05-08T13:28:07Z |
dc.date.available.fl_str_mv |
2014-05-08T13:28:07Z |
dc.date.issued.fl_str_mv |
2014-04-08 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/doctoralThesis |
format |
doctoralThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
BARBI, Fernando Carvalhaes. Três ensaios sobre política monetária e crédito. Tese (Doutorado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2014. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/11734 |
identifier_str_mv |
BARBI, Fernando Carvalhaes. Três ensaios sobre política monetária e crédito. Tese (Doutorado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2014. |
url |
http://hdl.handle.net/10438/11734 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
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