Os efeitos da credibilidade e da clareza das autoridades monetária e fiscal sobre as variáveis macroeconômicas: uma modelagem DSGE para a economia brasileira

Abstract

This thesis investigates the role of the credibility and clarity of the monetary and fiscal authorities in the main brazilian macroeconomic variables. A Bayesian New-Keynesian DSGE with external sector, interaction between fiscal and monetary policy, was estimated for the Brazilian economy. In the first chapter a modified New-Keynesian Phillips curve (NKPC) is developed, which allows the insert of different levels of central bank credibility. With this modified NKPC, it was possible to highlight the role of monetary credibility in the monetary policy transmission mechanism and the substitution effect between the inflation expectations channel and the interest rate channel for the Brazilian economy. It was found that a more credible central bank can better anchor agents' expectations and reinforces the substitution effect between the expectations channel and the interest channel. An improvement in fiscal variables, due to the greater credibility of the central bank was also seen. The second chapter investigates the effects of the Brazilian Central Bank clarity, through monetary forward guidance, for three levels of credibility: high, medium and low. The results shows that a credible BC and an unconventional monetary policy (FG) is the most suitable prescription to minimize the effects of a recession. However, the effects of the central bank forward guidance with low credibility or in the process of forming credibility, as in the case of emerging countries, are not negligible. Finally, the third chapter analyzes the role of fiscal forward guidance in the Brazilian economy, as an instrument to combat the economic crisis, generated by the health crisis of Covid-19. Simultaneous forward guidance shocks (government spending and taxes) are applied and compared with unanticipated fiscal shocks. The results show that greater clarity from the fiscal authority, through the FG compared to the surprise shock, offers a more sustainable dynamic of the Debt / GDP ratio. This result, combined with a more credible BC, enhances the beneficial effects of FG through a greater anchoring of the agents' expectations, which enables an environment with lower interest rates and less persistent inflation.