Vulnerabilidade externa e os ciclos econômicos no Brasil pós-Plano Real

Autores

  • Gisele Ferreira Tiryaki Universidade Federal da Bahia
  • Diego Nunes Teixeira Universidade Federal da Bahia
  • Vinícius Ferreira de Araújo Universidade Federal da Bahia

DOI:

https://doi.org/10.11606/1980-5330/ea173917

Palavras-chave:

vulnerabilidade externa, ciclos econômicos, fator dinâmico

Resumo

Economias emergentes dependem de um fluxo contínuo de recursos externos e são suscetíveis a ataques especulativos contra sua moeda, em razão de choques externos ou de fundamentos macroeconômicos frágeis. Este artigo tem por objetivo avaliar o impacto da fragilidade externa nos ciclos econômicos do Brasil entre 1996 e 2019. O trabalho utiliza o modelo de fator dinâmico para derivar um indicador de vulnerabilidade externa e o método dos momentos generalizado para analisar a importância da vulnerabilidade externa para as flutuações econômicas. Os resultados mostram que uma crescente vulnerabilidade externa está associada à expansão da atividade econômica no Brasil.

Downloads

Os dados de download ainda não estão disponíveis.

Referências

Aghion, P., Bacchetta, P., Ranciere, R. & Rogoff, K. (2009). Exchange rate volatility and productivity growth: The role of financial development. Journal of Monetary Economics, Amsterdam,v. 56, n. 4, p. 494-513.

Ahrend, R. & Goujard, A. (2014). Drivers of systemic banking crises: The role of financial account structure and financial integration. International Finance, New Jersey, v. 17, n. 2, p. 135-160.

Alesina, A. & Tabellini, G. (2005). Why is fiscal policy often procyclical?. NBER Working Paper, Cambridge, n. 11, p. 600.

Ascari, G., Magnusson, L. M. & Mavroeidis, S. (2019). Empirical evidence on the Euler equation for consumption in the US. Journal of Monetary Economics, Amsterdam, v. 4, n. 4.

Backus, D., Kehoe, P. & Kydland, F. (1992). International real business cycles. Journal of Political Economy, Chicago, v. 100, p. 745–775.

Barros, D. C. (2008). Fragilidade financeira externa no Brasil: evolução recent e impactos sobre a taxa de juros. Belo Horizonte: CEDEPLAR/UFMG.

Baum, C. F., Schaffer, M. E. & Stillman, S. (2007). Enhanced routines for instrumental variables/generalized method of moments estimation and testing. The Stata Journal, v. 7, n. 4, p. 465-506.

Baxter, M. & King, R. G. (1999). Measuring business cycles: approximate band-pass filters for economic time series. Review of economics and statistics, Cambridge, v. 81, n. 4, p. 575-593.

BCB - Banco Central do Brasil (2016). Séries Temporais. Disponível em: http://www.bcb.gov.br. Acesso em: 07 mai. 2020.

Bernanke, B., Gertler, M. & Gilchrist, S. (1998). The financial accelerator in a quantitative business cycle framework. National Bureau of Economic Research Working Paper, Cambridge, n. 6455.

Bonciani, D. & Ricci, M. (2020). The international effects of global financial uncertainty shocks. Journal of International Money and Finance, Amsterdam, v. 109, p. 1-21.

Calvo, G. & Talvi, E. (2008). Sudden Stop, Financial Factors and Economic Collapse: A View from the Latin American Frontlines. In: SERRA, N.; STIGLITZ, J. E. (orgs.) The Washington Consensus Reconsidered: Towards a New Global Governance. New York: Oxford University Press.

CBOE - Chicago Board of Exchange (2016). Cboe Volatility Index. Chicago: Cboe. Disponível em: http://www.cboe.com/index/dashboard/vix#vixperformance. Acesso em: 05 nov. 2020.

Chaussé, P. (2010). Computing generalized method of moments and generalized empirical likelihood with R. Journal of Statistical Software, Austria, v. 34, n. 11, p. 1-35.

Christiano, L. & Eichenbaum, M. (1992). Current real-business-cycle theories and aggregate labor-market fluctuations. The American Economic Review, Nashville, p. 430-450.

Christiano, L., Eichenbaum, M. & Evans, C. (2005). Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy, Chicago, v. 113, n. 1, p. 1-45.

Christiano, L. & Fitzgerald, T. (2003). The band-pass filter. International Economic Review, New Jersey, v. 44, n. 2, p. 435-465.

Clarida, R., Gali, J. & Gertler, M. (1999). The science of monetary policy: a new Keynesian perspective. Journal of economic literature, Nashville, v. 37, n. 4, p. 1661-1707.

CODACE - Comitê de Datação dos Ciclos Econômicos (2016). Comitê de Datação dos Ciclos Econômicos. Rio de Janeiro: FGV/IBRE. Disponível em: https://portalibre.fgv.br/sites/default/files/2020-06/comunicadodo-comite-de-datacao-de-ciclos-economicos-29_06_2020-1.pdf. Acesso em: 22 jul. 2020.

Correa, V., Munhoz, V. & Pereira, V. (2012). A volatilidade da conta financeira do balanço de pagamentos de países selecionados da América Latina e da Ásia no período 1990-2010. In: Anais do Encontro Internacional da Associação Keynesiana Brasileira, v. 5.

Correia, I., Neves, J. C. & Rebelo, S. (1995). Business cycles in a small open economy. European Economic Review, Amsterdam, v. 39, n. 6, p. 1089-1113.

Cravino, J. & Levchenko, A. A. (2016). Multinational firms and international business cycle transmission. The Quarterly Journal of Economics, Cambridge, v. 132, n. 2, p. 921-962.

Dabla-Norris, E. & Gündüz, Y. B. (2014). Exogenous shocks and growth crises in low-income countries: A vulnerability index.World Development, Amsterdam, v. 59, p. 360-378.

De Paula, L. F. R. & Alves JR, A. J. (2000). External financial fragility and the 1998-1999 Brazilian currency crisis. Journal of Post Keynesian Economics, Abingdon, v. 22, n. 4, p. 589-617.

De Paula, L. F. R., Pires, M. C. C., Faria Junior, J. A. & Meyer, T. R. (2012). Liberalização financeira, performance econômica e estabilidade macroeconômica no Brasil: uma análise do período 1994-2007. Revista Nova Economia, Belo Horizonte, v. 22, n. 3, p. 561-596.

Demirguc-Kunt, A., Horvath, B. L. & Huizinga, H. (2017). Foreign Banks and International Transmission of Monetary Policy: Evidence from the Syndicated Loan Market. World Bank Policy Research Working Paper, Washington, n. 7937.

Dennis, R. (2009). Consumption habits in a new Keynesian business cycle model. Journal of Money, Credit and Banking, Columbus, v. 41, n. 5, p. 1015-1030.

Di Giovanni, J., Levchenko, A. A. & Mejean, I. (2018). The micro origins of international business-cycle comovement. American Economic Review, Nashville, v. 108, n. 1, p. 82-108.

Easterly, W. R. & Kraay, A. (2000). Small states. Small problem? Income, growth, and volatility in small states. World Development, Amsterdam, v. 28, n. 11, p. 2013–2027.

Elekdag, S., Justiniano, A. & Tchakarov, I. (2006). An estimated small open economy model of the financial accelerator. IMF Staff Papers, Washington, v. 53, n. 2, p. 219-241.

Fernández, A., Schmitt-Grohé, S. & Uribe, M. (2017). World shocks, world prices, and business cycles: An empirical investigation. Journal of International Economics, Amsterdam, v. 108, n. S1, p. 2-14.

Frankel, J. & Saravelos, G. (2012). Can leading indicators assess country vulnerability? Evidence from the 2008–09 global financial crisis. Journal of International Economics, Amsterdam, v. 87, n. 2, p. 216-231.

FRB - Federal Reserve Bank of ST (2020). Federal Reserve Economic Database. Louis. Disponível em: https://fred.stlouisfed.org/. Acesso em: 15 mai. 2020.

Fuhrer, J. C. & Rudebusch, G. D. (2004). Estimating the Euler equation for output. Journal of Monetary Economics, Amsterdam, v. 51, n. 6, p. 1133-1153.

Fève, P., Matheron, J. & Sahuc, J. G. (2013). A pitfall with estimated DSGE based government spending multipliers. American Economic Journal: Macroeconomics, Nashville, v. 5, n. 4, p. 141-78.

Gali, J. (1999). Technology, employment, and the business cycle: do technology shocks explain aggregate fluctuations?. American Economic Review, Nashville, v. 89, n. 1, p. 249-271.

Gali, J. & Gertler, M. (1999). Inflation dynamics: A structural econometric analysis. Journal of Monetary Economics, Amsterdam, v. 44, n. 2, p. 195-222.

Gali, J. & Monacelli, T. (2005). Monetary policy and exchange rate volatility in a small open economy. The Review of Economic Studies, Oxford, v. 72, n. 3, p. 707-734.

Geweke, J. (1977). The dynamic factor analysis of economic time series models. In: AIGNER, D. J.; GOLDBERGER, A. S. (orgs.) Latent Variables in Socioeconomic Models Amsterdam: North-Holland. p. 365–383.

Gilchrist, S., Ortiz, A. & Zakrajsek, E. (2009). Credit risk and the macroeconomy: Evidence from an estimated dsge model. Unpublished manuscript, Boston, v. 13.

Glick, R. & Rose, A. (1999). Contagion and trade: Why are currency crises regional. Journal of International Money and Finance, Amsterdam, v. 18, n. 4, p. 630-636.

Goldfajn, I. & Minella, A. (2005). Capital flows and controls in Brazil: what have we learned?. National Bureau of Economic Research Working Paper, Cambridge, n. 11640.

Gourinchas, P. O. & Obstfeld, M. (2012). Stories of the twentieth century for the twenty-first. American Economic Journal: Macroeconomics, Nashville, v. 4, n. 1, p. 226-65.

Haas, R. & Lelyveld, I. (2014). Multinational banks and the global financial crisis: Weathering the perfect storm?. Journal of Money, Credit and Banking, Columbus, v. 46, p. 333-364.

Hamilton, J. D. (2018). Why you should never use the Hodrick-Prescott filter. Review of Economics and Statistics, Cambridge, v. 100, n. 5, p. 831-843.

Hansen, L., Heaton, J. & Yaron, A. (1996). Finite-sample properties of some alternative GMM estimators. Journal of Business & Economic Statistics, Abingdon, v. 14, n. 3, p. 262-280.

Hansen, L. & Singleton, K. J. (1982). Generalized instrumental variables estimation of nonlinear rational expectations models. Econometrica, New Haven, p. 1269-1286.

Hodrick, R. J. & Prescott, E. C. (1997). Postwar US business cycles: an empirical investigation. Journal of Money, Credit, and Banking, Columbus, p. 1-16.

IMF - International Moneraty Fund (2000). Debt- and Reserve-Related Indicators of External Vulnerability. IMF Policy Papers.

IPEA - Instituto de Pesquisa Econômica Aplicada (2020). IPEA Data. Disponível em: http://www.ipeadata.gov.br. Acesso em: 06 mai. 2020.

Kaltenbrunner, A. & Painceira, J. P. (2014). Developing countries’ changing nature of financial integration and new forms of external vulnerability: the Brazilian experience. Cambridge Journal of Economics, Oxford, v. 39, n. 5, p. 1281-1306.

Kaminsky, G. L., Reinhart, C. M. & Vegh, C. A. (2004). When It Rains, It Pours: Procyclical Capital Flows and Macroeconomic Policies. NBER Macroeconomics Annual, Cambridge, v. 19, p. 11-53.

Kaminsky, G., Lizondo, S. & Reinhart, C. M. (1998). Leading indicators of currency crises. IMF Staff Papers, Washington, v. 45, n. 1, p. 1-48.

Kanczuk, F. (2004). Real interest rates and Brazilian business cycles. Review of Economic Dynamics, Amsterdam, v. 7, n. 2, p. 436-455.

Karras, G. & Song, F. (1996). Sources of business-cycle volatility: an exploratory study on a sample of OECD countries. Journal of Macroeconomics, Amsterdam, v. 18, p. 621-637.

Krugman, P. (1999). What Happened to Asia. In: Sato R.; Ramachandran R.V.;Mino K. (orgs.) Global Competition and Integration. Research Monographs in Japan-U.S. Business & Economics. Boston: Springer. v. 4.

Kydland, F. E. & Prescott, E. C. (1982). Time to build and aggregate fluctuations. Econometrica, New Haven, v. 50, n. 6, p. 1345-1370.

Leeper, E. M., Plante, M. & Traum, N. (2010). Dynamics of fiscal financing in the United States. Journal of Econometrics, Purmerend, v. 156, n. 2, p. 304-321.

Loayza, N. V. & Raddatz, C. (2007). The structural determinants of external vulnerability. The World Bank Economic Review, Washington, v. 21, n. 3, p. 359-387.

Long, J. B. & Plosser, C. I. (1983). Real business cycles. Journal of Political Economy, Chicago, v. 91, n. 1, p. 39-69.

Mendoza, E. G. (1991). Real business cycles in a small open economy. American Economic Review, Nashville, p. 797-818.

Mendoza, E. G. (1995). The terms of trade, the real exchange rate, and economic fluctuations. International Economic Review, New Jersey, p. 101-137.

Minsky, H. P. (1986). Stabilizing an Unstable Economy. London: Yale University Press.

Montalbano, P. (2011). Trade openness and developing countries’ vulnerability: Concepts, misconceptions, and directions for research. World Development, Amsterdam, v. 39, n. 9, p. 1489-1502.

Moslares, C. & Ekanayake, E.M. (2018). The Effect of Real Exchange Rate Volatility On Exports In The Baltic Region. The International Journal of Business and Finance Research, Hilo, v. 12, n. 1, p. 23-38.

Moura, B., Tiryaki, G. F. & Teixeira, D. N. (2020). Fragilidade fiscal e os ciclos econômicos no Brasil pós-Plano Real: evidências de um modelo de fator dinâmico associado à análise VAR. Revista Nova Conjuntura, Rio de Janeiro, v. 30, n. 2, p. 517-549.

Ocampo, J. A. (2011). Balance of payments dominance: Its implications for macroeconomic policy. São Paulo: FGV, manuscrito.

Oreiro, J. L., Basilio, F. A. C. & Souza, G. J. G. (2014). Effects of overvaluation and exchange rate volatility over industrial investment: empirical evidence and economic policy proposals for Brazil. Brazilian Journal of Political Economy, São Paulo, v. 34, n. 3, p. 347-369.

Ravn, M. O. & Uhlig, H. (2002). On adjusting the Hodrick-Prescott filter for the frequency of observations. Review of economics and statistics, Cambridge, v. 84, n. 2, p. 371-376.

Ravn, M., Schmitt-Grohé, S. & Uribe, M. (2006). Deep habits. Review of Economic Studies, Oxford, v. 73, n. 1, p. 195-218.

Reyes-Heroles, R. & Tenorio, G. (2017). Interest Rate Volatility and Sudden Stops: An Empirical Investigation. Board of Governors of the Federal Reserve System - International Finance Discussion Papers, Washington, n. 1209.

Ribeiro, F. J. (2016). Reavaliando a vulnerabilidade externa da economia brasileira, IPEA Texto para Discussão, n. 2247.

Rohn, O., Sanchez, A. C., Hermansen,M. & Rasmussen, M. (2015). Economic resilience: A new set of vulnerability indicators for OECD countries. OECD Economics Department Working Papers, Paris, n. 1249.

Salles, A. O. T., Rodrigues, A. F. & Terra, F. H. B. (2018). Fragilidade Financeira Externa da Economia Brasileira: uma Interpretação Minskyana do Período 1994/2014. Revista de Desenvolvimento Econômico, Salvador, v. 3, n. 38.

Sarto, V. H. R. & Almeida, L. T. (2015). Currency crisis and external fragility: a Minskyan interpretation applied to the Brazilian economy between 1999 and 2013. Nova Economia, Belo Horizonte, v. 25, n. especial, p. 891-938.

Scheubel, B., Stracca, L. & Tille, C. (2019). The global financial cycle and capital flow episodes: a wobbly link?. CESifoWorking Paper,Munich, n. 7967.

Shin, H. S. (2016). Global liquidity and procyclicality. In: Presentation at the World Bank Conference. The State of Economics, the State of the World.

Siklos, P. L. (2018). Boom-and-bust cycles in emerging markets: How important is the exchange rate?. Journal of Macroeconomics, Amsterdam, v. 56, p. 172-187.

Smets, F. &Wouters, R. (2007). Shocks and frictions in US business cycles: A Bayesian DSGE approach. American economic review, Nashville, v. 97, n. 3, p. 586-606.

Staiger, D. & Stock, J. H. (1997). Instrumental Variables Regression with Weak Instruments. Econometrica, New Haven, v. 65, n. 3, p. 557-586.

Stock, J. H. & Watson, M. (2011). Dynamic factor models. Oxford Handbook on Economic Forecasting.

Teixeira, D. N., Tiryaki, G. F. & Drummond, C. E. I. (2020). Fragilidade Financeira e Volatilidade dos Ciclos Econômicos no Brasil Pós-Plano Real. Estudos Econômicos, São Paulo, v. 50, n. 1, p. 125-158.

Tenreyro, S. (2007). On the trade impact of nominal exchange rate volatility. Journal of Development Economics, Amsterdam, v. 82, n. 2, p. 485-508.

Uhlig, H. (2010). Some fiscal calculus. American Economic Review, Nashville, v. 100, n. 2, p. 30-34.

Van Der Laan, C. R., Cunha, A. M. & Lélis, M. T. C. (2011). Liberalização financeira externa: investigando alguns efeitos macroeconômicos no Brasil entre 1994 e 2006. Economia e Sociedade, Campinas, v. 20, n. 1, p. 79-112.

Downloads

Publicado

2021-03-01

Edição

Seção

Artigos

Como Citar

Tiryaki, G. F., Teixeira, D. N., & Araújo, V. F. de. (2021). Vulnerabilidade externa e os ciclos econômicos no Brasil pós-Plano Real. Economia Aplicada, 25(1), 115-156. https://doi.org/10.11606/1980-5330/ea173917