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Pol??ticas macroprudenciais no contexto de Basil??ia III: uma aplica????o ao BrasilLara, Luciano Rodrigues 29 March 2017 (has links)
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Previous issue date: 2017-03-29 / The 2008 crisis has confirmed the fact that financial crisis can have damaging effects on the
real side of the economy. One of the regulators responses to this crisis was the proposition of
new capital requirements, known as Basel III. This paper aims to study the effects of two
macroprudential policies: capital requirements with countercyclical capital buffers and reserve
requirements. This is done using a dynamic stochastic general equilibrium model (DSGE)
developed by Gertler and Karadi (2011). Changes in monetary policy and an increase in the
total factor productivity are evaluated. The two policies works together to stabilize the
economy. / A crise de 2008 confirmou o fato de que crises financeiras podem gerar efeitos danosos no lado
real da economia. Uma das respostas dos reguladores a essa crise foi a proposi????o de novos
requerimentos de capital, conhecidos como Basil??ia III. Este trabalho tem por objetivo estudar
os efeitos de duas pol??ticas macroprudenciais: requerimentos de capital com buffer de capital
contrac??clico e dep??sitos compuls??rios. Isto ?? feito utilizando um modelo din??mico estoc??stico
de equil??brio geral (DSGE) desenvolvido por Gertler e Karadi (2011). S??o avaliadas altera????es
na pol??tica monet??ria e eleva????o da produtividade total dos fatores. ?? verificada a
complementariedade entre as duas pol??ticas no objetivo de estabilizar a economia.
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Pol??tica monet??ria e dep??sitos compuls??rios em uma pequena economia abertaHaraguchi, Carlos Alberto Takashi 21 April 2016 (has links)
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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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