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Master's Dissertation
DOI
https://doi.org/10.11606/D.12.2022.tde-23062022-200349
Document
Author
Full name
Leonardo Dias Proença
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2022
Supervisor
Committee
Nakane, Márcio Issao (President)
Muinhos, Marcelo Kfoury
Nechio, Fernanda Feitosa
Rodrigues Junior, Mauro
Title in English
Two essays on the brazilian neutral rate: international trends, fiscal determinants
Keywords in English
Fiscal policy
Kalman filter
Monetary policy
Neutral rates
Abstract in English
The estimates for the Brazilian neutral rate are plenty, but not many works have used them as a dependent variable. We propose two separate essays. In the first, we investigate international trends. We find a long term relationship between the Brazilian neutral rate and its developed economies and Latin American counterparts, separately. Around 25% of the variance of the Brazilian neutral rate can be explained by shocks to other countries, in both versions. In the second, we study the fiscal determinants of neutral rates. Using different specifications and focusing on the expectations of future fiscal variables, we argue that during the domestic crisis of 2014-2016 the fiscal deterioration contributed to an increase of one percentage point in neutral rates.
Title in Portuguese
Dois ensaios sobre a taxa de juros neutra brasileira: tendências internacionais, determinantes fiscais
Keywords in Portuguese
Filtro de Kalman
Política fiscal
Política monetária
Taxa de juros neutra
Abstract in Portuguese
As estimativas para a taxa de juros neutra do Brasil são muitas, mas poucos trabalhos as usaram como variável dependente. Propomos dois ensaios. No primeiro, investigamos tendências internacionais. Encontramos uma relação de longo prazo entre as estimativas brasileiras e de economias desenvolvidas e latino-americanas, separadamente. Cerca de 25% da variância do juro neutro brasileiro pode ser explicada por choques vindos de outras economias, em ambas as versões. No segundo, estudamos os determinantes fiscais da taxa neutra. Usando diferentes especificações com foco nas expectativas futuras das variáveis fiscais, defendemos que durante a crise doméstica de 2014-2016 a deterioração fiscal contribuiu para uma subida de um ponto percentual na taxa de juros neutra.
 
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Publishing Date
2022-06-27
 
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