Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-06-12T13:18:37Z No. of bitstreams: 1 LucasGuimaraesLinsBrandaoDissertacao2017.pdf: 2537420 bytes, checksum: b4b5f382d28719b591da3a8cecc26002 (MD5) / Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-06-12T13:18:44Z (GMT) No. of bitstreams: 1 LucasGuimaraesLinsBrandaoDissertacao2017.pdf: 2537420 bytes, checksum: b4b5f382d28719b591da3a8cecc26002 (MD5) / Made available in DSpace on 2017-06-12T13:18:44Z (GMT). No. of bitstreams: 1 LucasGuimaraesLinsBrandaoDissertacao2017.pdf: 2537420 bytes, checksum: b4b5f382d28719b591da3a8cecc26002 (MD5) Previous issue date: 2017-03-06 / This study estimates the interrelation between selected variables of the Brazilian electric sector and the Brazilian economy. Using monthly data from the submarkets (Southeast / Center-West, South, Northeast and North) and the Brazilian economy, these qualify these relationships through the panel vector autoregression (PVAR) methodology and impulse response. This method has the quality to evaluate the response of the several variables to the disturbances, without giving focus to a mathematical modeling. It is identified that the Brazilian energy market has a rigidity of the distributors' energy tariff, which can be explained by the state's regulatory intervention. Futhermore there is a relationship between consumption and energy tariff, however, this is not directly related to the short-term market price. / Esta disserta????o tem o objetivo de avaliar a inter-rela????o entre vari??veis selecionadas do setor el??trico brasileiro e da economia. Utilizando dados mensais em painel dos submercados (Sudeste/Centro-Oeste, Sul, Nordeste e Norte) e da economia brasileira, de forma qualificar essas rela????es por meio da metodologia de vari??vel autorregressiva em painel (PVAR) e de impulso resposta. Este m??todo possui a qualidade de avaliar a resposta das diversas vari??veis a dist??rbios, sem dar foco ?? uma modelagem matem??tica. Identifica-se que o mercado de energia el??trica brasileiro possui uma rigidez da tarifa de energia el??trica das distribuidoras, que pode ser explicada pela interven????o regulat??ria do Estado. E que existe uma rela????o entre consumo e tarifa m??dia de energia el??trica, no entanto, esta n??o est?? diretamente relacionada ao pre??o do mercado de curto prazo.

Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-04-12T17:54:31Z No. of bitstreams: 1 FernandodaSilvaVinhadoTese2016.pdf: 4671491 bytes, checksum: 0135cb044ecbfc6e099af8cff5435e2d (MD5) / Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-04-12T17:54:50Z (GMT) No. of bitstreams: 1 FernandodaSilvaVinhadoTese2016.pdf: 4671491 bytes, checksum: 0135cb044ecbfc6e099af8cff5435e2d (MD5) / Made available in DSpace on 2017-04-12T17:54:50Z (GMT). No. of bitstreams: 1 FernandodaSilvaVinhadoTese2016.pdf: 4671491 bytes, checksum: 0135cb044ecbfc6e099af8cff5435e2d (MD5) Previous issue date: 2016-06-01 / This thesis consists of two studies investigating the relationship between monetary and macroprudential policy and the banking sector of the Brazilian economy. The first chapter seeks to find empirical evidence exploring a data structure in cross-section as a source of interrelations between systemic aspects of those policies and the behavior of banks. From estimations panel VAR there is evidence that monetary and macroprudential policies influence on the levels of exposure to financial risks, capital and financial stability of banks. It is observed that there is a complement between the instruments of those policies and the stabilization of inflation. Relationships involving banking metrics also reveal how the formation of capital buffers favors financial stability. This confirms the importance of the capital requirement as a tool to maintain a stable financial system. In the second section applies a DSGE modeling that combines different literatures as a way to examine how monetary and macroprudential policy shocks are conducted in noncompetitive banking. The findings show that despite the recessionary effect on credit and product, contractionary shock in interest rate and reserve requirement when pass through to the cost of bank credit in financial markets operating in imperfect competition, may cause an immediate increase in the spread and earnings of banks with increased formation of capital buffers, which favors the stability of the financial system. Further the relevance of a capital requirement of shock to the banking sector and real economy, the results also indicate that, due to different practices in reserve requeriments rules and / or the magnitude of the capital requeriment ratio, there may be different influences in the transmission of monetary and macroprudential policy shocks. This shows the relationship and the need for suitable coordination between policies. It is also noted that the study captures the effectiveness of macroprudential policy, for reserve requirement or capital requiremen / Esta tese ?? composta por dois estudos que investigam as rela????es entre pol??tica monet??ria e macroprudencial e o setor banc??rio da economia brasileira. No primeiro cap??tulo busca-se encontrar evid??ncias emp??ricas explorando uma estrutura de dados em cross-section como fonte de inter-rela????es entre aspectos sist??micos daquelas pol??ticas e o comportamento dos bancos. A partir de estima????es VAR em painel encontram-se evid??ncias de que as pol??ticas monet??rias e macroprudenciais exercem influ??ncia sobre os n??veis de exposi????o a riscos financeiros, capital e estabilidade financeira dos bancos. Observa-se que h?? um complemento entre os instrumentos daquelas pol??ticas e a estabiliza????o da infla????o. As rela????es envolvendo m??tricas banc??rias revelam tamb??m como a forma????o de buffers de capital favorece a estabilidade financeira. Isso ratifica a import??ncia da exig??ncia de capital como instrumento para manuten????o de um sistema financeiro est??vel. No segundo cap??tulo aplica-se uma modelagem em DSGE que combina diferentes literaturas como forma de examinar como os choques de pol??tica monet??ria e macroprudencial s??o conduzidos na atividade banc??ria n??o competitiva. Os achados mostram que apesar do efeito recessivo sobre o cr??dito e produto, choques contracionistas em taxa de juros e requerimento compuls??rio, quando repassados para o custo do cr??dito banc??rio em mercado financeiro operando em concorr??ncia imperfeita, podem provocar aumento imediato no spread e lucro dos bancos, com maior forma????o de buffers de capital, o que favorece a estabilidade do sistema financeiro. Al??m da relev??ncia de um choque de exig??ncia de capital para o setor banc??rio e lado real da economia, os resultados apontam tamb??m que, em raz??o de diferentes pr??ticas adotadas nas regras de compuls??rio e/ou na magnitude da meta do ??ndice de Basil??ia, pode haver diferentes influ??ncias na transmiss??o dos choques de pol??tica monet??ria e macroprudencial. Isso mostra a rela????o e necessidade de adequada coordena????o entre as pol??ticas. Ressalta-se tamb??m que o estudo captura a efic??cia da pol??tica macroprudencial, via requerimento compuls??rio ou exig??ncia de capital, como instrumentos complementares ?? taxa de juros de pol??tica no processo de estabilidade monet??ria.