O Impacto do Subsídio de Crédito no Ciclo Econômico e na Eficiência das Políticas Macroeconômicas no Brasil.

Abstract

In this thesis, two studies are elaborated. The first examines how subsidized credit affects macroeconomic policies under different fiscal rules in the context of non-explosive Public Debt. For this purpose, a monetary DSGE model with nominal rigidity is calibrated (Christiano et al. (2005) and Smets and Wouters (2007)); with financial frictions (Gertler and Karadi (2011)), in which financial intermediaries choose how to distribute their investments in public debt securities and capital financing, resulting in a crowding-out mechanism that reduces private access to credit when banks accumulate sovereign debt in their liabilities (Kirchner and Van Wijnbergen (2016)); with an endogenously determined subsidized capital financing rate. The second study, through the estimation of a DSGE model, similar to the calibrated one, but modified to allow for positive inflation in the steady state (Ascari and Sbordone (2014)) and to make stochastic the inflation target, the risk premium, the preferences of intertemporal consumption of families and the subsidized interest rate; analyzes the importance of exogenous sources in determining Brazil's business cycle, the effectiveness of macroeconomic policies and fiscal multipliers are calculated. The main conclusions of the first study were: when financed by consumption taxes, monetary policy, in the presence of subsidies, becomes more restrictive, being less restrictive when financed by lump-sum taxes; there is a reduction in the power of monetary policy over inflation, in the presence of subsidies, in most of the fiscal rules analyzed; fiscal policy is more expansionary in the presence of subsidies when lump-sum taxes are used, but without divergences when the fiscal rule combines various sources of revenue; the effectiveness of subsidized credit in mitigating restrictive monetary policy, or in lifting expansionary fiscal policy, depends more on how the additional fiscal cost is financed. The main conclusions, from the second study, were: a positive exogenous shock in the subsidized interest rate has little impact on the business cycle, when compared to the other shocks, it reduces the GDP, the gross tax burden, the deficit and the Debt/GDP ratio; a negative capital quality shock presents a significantly greater recession in the presence of subsidized credit; the exogenous shocks of monetary and fiscal policy did not present, in the presence of subsidized credit, statistically significant divergences when the fiscal rule combines several sources of revenues; the median of the government spending impact multiplier, in the presence of subsidized credits, is equal to 0.17, with a confidence interval between 0.16 and 0.20.