Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-08-17T20:39:30Z No. of bitstreams: 1 LucianoRodriguesLaraDissertacao2017.pdf: 1892610 bytes, checksum: 98e4dc2c74fcef79b192fd26eac8010e (MD5) / Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-08-17T20:39:43Z (GMT) No. of bitstreams: 1 LucianoRodriguesLaraDissertacao2017.pdf: 1892610 bytes, checksum: 98e4dc2c74fcef79b192fd26eac8010e (MD5) / Made available in DSpace on 2017-08-17T20:39:43Z (GMT). No. of bitstreams: 1 LucianoRodriguesLaraDissertacao2017.pdf: 1892610 bytes, checksum: 98e4dc2c74fcef79b192fd26eac8010e (MD5) 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.

Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-04-20T11:14:42Z No. of bitstreams: 1 CarlosAlbertoTakashiHaraguchiDissertacao2016.pdf: 2164879 bytes, checksum: 14e93c20b925917bc67518001c696adf (MD5) / Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-04-20T11:15:24Z (GMT) No. of bitstreams: 1 CarlosAlbertoTakashiHaraguchiDissertacao2016.pdf: 2164879 bytes, checksum: 14e93c20b925917bc67518001c696adf (MD5) / Made available in DSpace on 2017-04-20T11:15:24Z (GMT). No. of bitstreams: 1 CarlosAlbertoTakashiHaraguchiDissertacao2016.pdf: 2164879 bytes, checksum: 14e93c20b925917bc67518001c696adf (MD5) 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.