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Previous issue date: 2016-04-21 === This work evaluates the effects of shocks on a small open economy using a DSGE model
with financial frictions and a macroprudential measure of reserve requirements with
monetary authority. According to this approach, the exchange rate role as a channel
of transmission for shocks was analyzed as well as alternatives Taylor rules and reserve
requirements policies the monetary authority could implement. Simulations indicated
exchange rate plays an active role in situations of domestic or external monetary policy
and technological progress shocks, but the intensity depends on the degree of openness
of the economy. The choice between PPI or CPI measures of inflation as a target in the
Taylor rule resulted in a slight better performance for PPI regarding stability. When it
comes to including real exchange rate in the rule, the differences were more significant,
indicating that, in order to reach a common inflation target, the necessary interest rate
shock and the ensuing fall of output would be smaller as well as the convergence to
equilibrium would be faster. However, the cost was a more volatile inflation rate. The
absence of reserve requirements with monetary authority was more appropriate in case
of external shocks, since it caused lower volatility in output and domestic prices. A
reserve requirements policy, on the other side, helped to stabilize output after a internal
monetary policy shock. === Este trabalho avalia os efeitos de choques sobre uma pequena economia aberta (PEA)
utilizando um modelo din??mico estoc??stico de equil??brio geral (DSGE, em ingl??s) com
fric????es financeiras e uma pol??tica macroprudencial de exig??ncia de dep??sitos compuls??rios
por parte da autoridade monet??ria. A partir dessa modelagem, foram analisados
o papel do c??mbio como canal de propaga????o de choques e alternativas de regras de
Taylor e pol??ticas de compuls??rios que a autoridade monet??ria poderia implementar.
As simula????es indicaram que o c??mbio tem um papel ativo na transmiss??o de choques
de pol??tica monet??ria dom??stica, de produtividade e de pol??tica monet??ria externa, mas
a intensidade depende do grau de abertura da economia. A escolha entre as medidas
de infla????o dom??stica (PPI) ou ao consumidor (CPI) para a regra de Taylor resultou
num desempenho ligeiramente melhor para a PPI no que se refere ?? estabilidade. Em
se tratando da inclus??o da taxa real de c??mbio na regra, as diferen??as foram bem
mais significativas indicando que, para atingir uma mesma meta de infla????o, o choque
necess??rio na taxa de juros e a consequente queda no produto seriam menores, al??m
de uma converg??ncia ao equil??brio mais r??pida. O custo, por??m, foi uma trajet??ria
mais vol??til da taxa de infla????o. A aus??ncia de exigibilidade de dep??sitos compuls??rios
na autoridade monet??ria se mostrou mais indicada em situa????es de choques externos
por provocar menor oscila????o no produto e nos pre??os dom??sticos. Uma pol??tica de
compuls??rios, por outro lado, auxiliou a estabilizar o produto ap??s um choque de pol??tica
monet??ria interna.
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