Os modelos expostos nesta Tese possuem em comum a discussão macroeconômica sobre a composição ótima da dívida pública brasileira. Logo, esta Tese busca preencher lacunas presentes na literatura sobre a escolha ótima da composição do endividamento público, tendo em vista o modelo de suavização da tributação, exposto inicialmente em Goldfajn (2000). Logo, os modelos aqui utilizados estudam a composição ótima da dívida pública, tendo como ponto de partida o modelo clássico de suavização da tributação, exposto em Goldfajn (2000), no qual pressupõe-se a existência de três tipos de endividamento (nominal, ou prefixado; cambial; e pós-fixado), e repactuação constante da dívida pública indexada (de modo que a composição do endividamento público pode ser completamente alterada a cada período). A discussão se distingue da abordagem tradicional por utilizar informação condicional, ao invés da abordagem não condicional, incrementando precisão e qualidade aos resultados em termos de erro quadrático médio. Naturalmente, temos no GARCH multivariado um método de estimação mais adequado. Outra dimensão aqui discutida é a expansão do modelo tradicional com o estudo de outras abordagens, que consideram a decomposição da dívida pós-fixada em duas proporções distintas de acordo com o instrumento de indexação utilizado (a saber, dívida flutuante, quando os títulos são indexados a taxas de juros, e dívida pós-fixada em preços, quando o instrumento de indexação utilizado é representado por um índice de preços), além de considerar a possibilidade de resolução do problema em horizonte infinito (no qual a autoridade fiscal pode considerar a existência de diferentes maturidades para os títulos públicos, sem repactuação completa da composição a cada período). A abordagem com três dívidas e horizonte infinito já havia sido proposta por Cysne (2007), muito embora tenha sido estimada de forma não condicional. Os resultados obtidos mostram que as proporções teóricas ótimas apresentam dinâmicas muito próximas àquelas observadas na gestão da dívida pública, com maior precisão nos modelos solucionados em dois períodos. Além disso, os resultados também comprovam os trade-offs tradicionalmente observados na gestão do endividamento público, além de propor e confirmar novos trade-offs, compatíveis com as expansões teóricas realizadas. / The models shown in this thesis have in common the macroeconomic discussion on the optimal composition of the public debt. Therefore, this thesis seeks to fill gaps in the literature about the optimal choice of the composition of public debt, in view of the tax smoothing model, exposed initially in Goldfajn (2000). Thus, the models used here to study the optimal composition of the public debt, taking as its starting point the classic model of tax smoothing, exposed in Goldfajn (2000), which assumes the existence of three types of debt (nominal; exchange-rate-denominated, and indexed), and constant renegotiation of the public debt indexed (so that the composition of public debt can be completely changed every period). The discussion distinguishes itself from the traditional approach by using conditional information, rather than the non-conditional approach, increasing accuracy and quality of the results in terms of mean square error. Of course, we have one in multivariate GARCH estimation method more suitable. Another dimension discussed here is the expansion of the traditional model to the study of other approaches that consider the decomposition of indexed debt in two different proportions according to the instrument used for indexing (ie, interest rate indexing when the bonds are indexed in interest rates and indexing price debt when the instrument used index is represented by a price index), and consider the possibility of solving the problem in infinite period (where the government may consider the existence of different maturities for the bonds, without complete renegotiation the composition in each period). The approach with three debts and infinite horizon had already been proposed by Cysne (2007), although it has been estimated and not conditional. The results show that the proportions have great theoretical dynamics very close to those observed in the management of public debt, more accurately models solved in two periods. Moreover, the results also show the trade-offs traditionally observed in the management of public debt, and to propose and confirm new trade-offs, consistent with the theoretical expansions performed.

This dissertation examines how agents process information and update their beliefs in two different contexts. In the first two chapters we consider dynamic decision problems under perfect information. In the last chapter we consider static, strategic interactions with common knowledge but imperfect information. To tackle our first set of questions we design an experiment analogous to the dynamic consumption problem with stochastic income that households solve in standard macroeconomic models. In the first chapter we show that our subjects condition on past actions in the absence of informational frictions or switching costs. We argue that subjects do so to economize on scarce cognitive resources and develop a model of inattentive reconsideration that fits our data. An implication of our model is that inertia is state- dependent. In the second chapter we revisit the longstanding problem in empirical macroeconomics of excess sensitivity of consumption to income in our experimental data. We find that excess sensitivity arises from two distinct channels. The first channel is an overreaction of households to the arrival of income that is independent of their wealth level. The second is increased excess smoothness with respect to wealth when households receive news about future income. The third chapter examines the scope for persuasion in global games. We consider a central bank with a commitment technology that chooses a robustly optimal persuasion strategy. We show that such a policy can reduce and even eliminate multiple equilibria in such games because it updates agents beliefs so that coordination motives become irrelevant. This suggests that central bankers are better served from influencing the markets through announcements rather than direct intervention.

This study examines the relationship between in ation and price dispersion during the hyperin ationary episode in Brazil. We look at micro data on price dynamics through the perspective of dispersion at the store level, building on the informational consequences of high price dispersion. Rather than focus on which theoretical framework best explains the relative price variability seen on the data, we focus on a top-down approach to the information embedded in prices: we analyze price setting behavior from the perspective of economic segments as whole and from the perspective of each seller taken individually. In the former case we seek to answer the following: do higher levels of in ation favor higher price dispersion? In the latter, we focus on the time-series properties of each of more than 150 real price trajectories in both high and low in ation periods. We provide further empirical evidence of the loss of information embedded in prices, be it deriving from greater overall dispersion or from a greater volatility in each seller\'s price trajectory relative to its peers\'. Our findings extend previous results, accounting for a higher level of in ation, a longer time span and a broader selection of items. / Este trabalho investiga a relação entre inflação e dispersão de preços durante a experiência de hiperinflação vivida no Brasil. Estudamos micro dados de preços sob a perspectiva da dispersão no nível do vendedor, buscando evidências das consequências informacionais de uma alta dispersão de preços. Ao invés de investigar qual arcabouço teórico melhor explica a variabilidade de preços relativos encontrada nos dados, focamos em uma abordagem sobre a informação incorporada nos preços que vai do geral para o particular: analisamos primeiramente a formação de preços de maneira agregada e depois sob o ponto de vista do vendedor individualmente. No primeiro caso queremos responder à seguinte pergunta: níveis maiores de inflação geram níveis maiores de dispersão de preços? No segundo caso, focamos nas características das séries temporais de mais de 150 trajetórias de preços reais tanto para o período de alta inflação quanto para o período pós-estabilização. Fornecemos evidências empíricas adicionais da diminuição do caráter informacional dos preços, resultante tanto de uma maior dispersão das distribuições de preços, quanto da maior volatilidade na trajetória individual dos preços, relativamente aos preços dos concorrentes. Nossos resultados estendem trabalhos anteriores uma vez que considera um ambiente de inflação mais alta e mais volátil, um horizonte de tempo maior e uma seleção mais ampla de produtos.

O primeiro artigo analisa quantitativamente a importância relativa dos fatores que determinam o desempenho econômico dos países. Em especial, é incorporada à análise a possibilidade do capital ser heterogêneo. Estimativas da qualidade do capital são feitas para cada país, resultantes de um modelo teórico, e a importância de cada um dos componentes é analisada. Mesmo depois do ajuste, a qualidade do capital físico não explica grande parte da experiência de crescimento dos países. Além disso, é feita uma análise para o caso brasileiro com o arcabouço desenvolvido durante o período que vai de 1970 até 2003. Conclui-se nesta análise que a heterogeneidade do capital não explica grande parte da experiência de crescimento do Brasil. O segundo artigo apresenta um modelo que relaciona crescimento econômico, educação, investimento e regimes políticos. Para isto, propõe-se um modelo de gerações sobrepostas em que existem dois grupos de agentes: os capitalistas e os trabalhadores. Além disso, uma democracia é definida como um governo em que todos votam e, pelo fato do eleitor mediano ser também um trabalhador, os trabalhadores podem então taxar o investimento e redistribuir na forma de capital humano. O principal resultado é que a democracia desestimula o investimento de capital físico e estimula o aumento de capital humano. O terceiro artigo busca explicar o aumento do consumo após a redução da inflação causada por um controle de preços. O foco é direcionado para o consumo de bens duráveis e a dificuldade dos domicílios de se protegerem dos efeitos da inflação. Uma redução súbita na inflação reduz o preço efetivo dos bens duráveis, levando a uma expansão destes. Todos os modelos são calibrados para a experiência brasileira do Cruzado, em meados da década de 80, e dois arcabouços básicos são apresentados: um em que os domicílios não possuem acesso ao mercado de crédito e outro em que possuem acesso parcial. Além disso, é apresentada a possibilidade de reduções permanentes e temporárias da taxa de inflação. As principais conclusões do artigo são que o modelo em que os domicílios não possuem acesso a crédito e são heterogêneos nas preferências é o que mais se aproxima com os dados apresentados da experiência do plano Cruzado. / The first article analyzes quantitatively the relative importance of the factors that determine economic performance of the countries. Mainly, the empirical exercise incorporates the possibility of heterogeneous capital. Estimates of the quality of the capital are made for each country from results of a theoretical model and the importance of each one of the components is analyzed. Even after the adjustment in the quality of capital, the quality of physical capital does not explain too much of the growth experiences. Furthermore, the Brazilian experience is analyzed with the developed framework from 1970 to 2003. The main conclusion is that the heterogeneity of capital inserted in the model does not explain too much of the Brazilian growth experience. oindent The second article presents a model which relates economic growth, education, investment and political regimes. In order to do that, is presented a model of overlapping generations with two groups of agents: capitalists and workers. Furthermore, a democracy is defined as a government where everybody votes and, by the fact that the median voter is also a worker, the working class then can tax more heavily the investment and redistribute through human capital investment. The main result of the article is that democracies undermine investment in physical capital and enhances the growth of human capital. oindent The third article seeks to explain consumption booms after inflation stabilization plans centered on price controls. The focus is directed to durable goods and the difficulty for households to protect themselves from inflation. A sudden decrease in the inflation rate reduces effective consumption price of durable goods, leading to a boom. All the models are calibrated for mid-80\'s Brazil and two base simulations are presented: one in which none of the households have access to the credit market and one where households have partial access to the credit market. Other than that, it is also presented the possibility of permanent and temporary stabilization of inflation. The main conclusion of the article is that the model in which households do not have access to the credit market and are heterogeneous in preferences is the one that better explains the Brazilian experience of Cruzado.

The purpose of this thesis is to investigate the dynamics pertaining to emerging market business cycles, with special attention to the linkage between financial conditions and the behavior of the macroeconomic variables in such economies. Business cycles in emerging economies differ in many dimensions when compared with advanced economies: the former are characterized by much larger swings in real activity, financial markets, and policy driven variables. For example, when it comes to important macroeconomic variables, output tends to be twice as volatile in emerging economies compared to their developed counterparts. Another interesting discrepancy is related to the fiscal variables: while government consumption spending tends to be countercyclical in advanced economies, in many emerging economies, government spending is procyclical, which tends to reinforce the volatilities of the macro aggregates. The present work tries to shed some light on the role of financial instability in the emerging market business cycles and how the procyclicality of the fiscal policy can be attenuated by the introduction of fiscal debt-targeting rules. Chapter 1 starts by accessing the empirical implications of financial frictions for the business cycles and dynamics in emerging economies. Using a two-step procedure, the chapter first estimates unobservable financial stress indexes for 25 emerging markets to measure the evolution of the conditions of the financial markets in these countries over the period 1994Q1 to 2015Q4. With the financial indexes at hand, the chapter introduces a novel Hierarchical Bayesian Threshold VAR Model that uses Bayesian pooling to efficiently estimate the posteriors of the VAR parameters for each economy. The findings are summarized as follows: (a) stressful times occur with considerable frequency in the data (~ 30 % of the time); (b) second moments of the main macroeconomic variables are regime dependent, with consumption and investment being more correlated with GDP and with larger volatility for all variables considered under financial distress conditions; (c) consumption is more volatile that the GDP both in a regular financial condition and under a financial distress period; (d) the duration of the financial instability period is about 5.4 quarters; (e) nonlinear impulse responses show strong amplification effects related to the tightening of the credit conditions. In Chapter 2, a model in which financial instability emerges endogenously as an outcome of the presence of occasionally binding constraints is used to show that many of the nonlinearities documented in Chapter 1 can be understood as consequences of financial frictions. The chapter builds on a simplified version of the model introduced by Mendoza (2010) and features a Fisherian Debt-Deflation mechanism coupled with the presence of pecuniary externalities associated with the price of capital stock and wages. By using simulation techniques over fully nonlinear global solution methods, the channels through which financial friction affect the business cycles are disentangled. The Fisherian Debt-Deflation mechanism and the two pecuniary externalities magnify the volatility of the macro-variables whenever a crisis is expected in the future. In such a situation, uncertainty goes up and rational expectation agents increase precautionary savings to insure against the crisis. As extensions, two sources of financial frictions are added to the model: (i) a stochastic volatility in the process for the real interest rate - motivated by the results of the estimation of the time-varying parameters VAR (TVP-VAR) for 9 emerging economies; (ii) a financial shock affecting the collateral constraint. The results, conditioned on a specific regime, are consistent with those observed in Chapter 1. However, the additional sources of exogenous uncertainty pose a reduction in the likelihood of crises occurring because of the precautionary savings. This suggest that matching the observed frequency of regime switching is challenging for models with endogenous crises. Chapter 3 studies the implications of simple debt-dependent rules in emerging countries subject to endogenous financial crises with pecuniary externality. The analysis suggests that debt rules that account for the effects of debt accumulation on asset prices can be relatively more efficient in reducing the likelihood of financial crises, but can have substantial impacts on welfare whenever a crisis is likely to happen. Fiscal consolidations based on ad-hoc debt growth may be counterproductive during good times while having significant negative effects on welfare during crisis episodes. Simulated exercises suggest that, when carefully designed, fiscal rules based on debt target can result in welfare gains. Finally, it is worthwhile mentioning that, while solving the nonlinear models in Chapters 2 and 3, the thesis extends the algorithms developed in Maliar and Maliar (2013) and in Arellano et. al. (2016) of the so-called Envelop Condition Method to deal with occasionally binding constraints. This method, coupled with piece-wise linear interpolation/extrapolation techniques, is robust to the presence of the kinks in the policy function and capable of accounting for the distorted equilibrium and expectation effects. / O propósito desta tese é investigar a dinâmica dos ciclos reais em economias emergentes, com atenção especial à relação entre as condições financeiras e o comportamento das variáveis macroeconômicas em tais economias. Os ciclos de negócios nos mercados emergentes diferem-se sobremaneira relativamente aos das economias avançadas: nos primeiros, as oscilações são bastante mais pronunciadas em termos de variáveis reais, de mercados financeiros e de variáveis associadas às políticas macroeconômicas. Por exemplo, em se tratando de variáveis macroeconômicas, o produto tende a ser duas vezes mais volátil em países emergentes comparativamente aos países desenvolvidos. Outra diferença interessante relaciona-se às variáveis fiscais: enquanto o gasto do governo tende a ser anticíclico em economias avançadas, em muitos países emergentes tal variável é comumente pró-cíclica, o que tende a reforçar a volatilidade dos agregados macroeconômicos. O presente trabalho visa esclarecer o papel das instabilidades financeiras nos ciclos econômicos em países emergentes e como a pró-ciclicidade de variáveis fiscais pode ser atenuada pela introdução de regras fiscais dependentes de dívida. O Capítulo 1 busca acessar empiricamente as implicações de fricções financeiras para os ciclos e para a dinâmica dos países emergentes. Usando um procedimento de dois estágios, o capítulo inicialmente estima índices de estresse financeiro para uma amostra de 25 economias emergentes visando construir medidas de como as condições financeiras em tais países se comportaram no período de 1994T1 até 2015T4. Em um segundo estágio, o capítulo introduz um modelo vetorial auto-regressivo (VAR) hierárquico bayesiano com efeitos limiares que usa técnicas de pooling bayesiano para estimar eficientemente os parâmetros dos VARs em cada um dos países. Os resultados são resumidos da seguinte maneira: (a) períodos de estresse financeiro ocorrem com frequência considerável nos dados (aproximadamente 30% do tempo); (b) segundos momentos de importantes variáveis macroeconômicas são regime-dependentes, com consumo e investimento sendo mais correlacionado com o produto e com maior volatilidade sob condições financeiras mais restritas; (c) o consumo é mais volátil do que o produto tanto em regimes de liquidez normais quanto em regimes de estresse financeiro; (d) a duração de um período de estresse financeiro é, em média, de 5.4 trimestres; (e) funções de resposta impulso não lineares denotam grandes efeitos de amplificação associados ao aperto nas condições de crédito. No Capítulo 2, um modelo em que instabilidade financeira emerge endogenamente como resultado da presença de restrições ocasionalmente ativas é utilizado para mostrar que muitas das não linearidades documentadas no Capítulo 1 podem ser entendidas como consequências de fricções financeiras. O capítulo baseia-se numa versão simplificada do modelo introduzido por Mendoza (2010), que se caracteriza pela presença de um mecanismo de deflação de dívida à lá Fisher e pela presença de duas externalidades pecuniárias que amplificam a volatilidade macroeconômica caso os agentes formulem expectativas de crise no futuro. Em tal situação, a incerteza se eleva e agentes racionais elevam a poupança precaucionaria como um seguro contra crises. Como extensões, duas fontes adicionais de fricções financeiras são adicionadas ao modelo: (i) volatilidade estocástica no processo da taxa real de juros - motivada por resultados de estimações de VARs com parâmetros variantes no tempo para 9 países emergentes; (ii) um choque financeiro que afeta a restrição de colateral da economia. Os resultados, condicionando-se num regime específico, são consistentes com aqueles do Capítulo 1. Entretanto, fontes adicionais de incerteza induzem uma queda na probabilidade de crise devido ao aumento na poupança precaucionaria. Tal resultado sugere que replicar a frequência de mudança de regime observada nos dados é uma tarefa não trivial para modelos com crises financeiras endógenas. O Capítulo 3 estuda implicações de regras fiscais simples dependentes de dívida em pequenas economias abertas sujeitas a crises financeiras endógenas com externalidade pecuniária. A análise sugere que regras ficais que acomodam os efeitos da acumulação de dívida sobre os preços dos ativos tendem a ser relativamente eficientes em reduzir as consequências das crises, mas podem ter impactos substanciais sobre o bem-estar caso uma crise possa ocorrer. Consolidações fiscais baseadas em regras ad-hoc desenhadas sobre o crescimento da dívida podem ser contraprodutivas nos momentos normais dos ciclos, e podem ter efeitos negativos significantes nos momentos de crise. Exercícios de simulação sugerem que, caso desenhadas com certo cuidado, regras fiscais baseadas em metas para o montante de dívida podem resultar em ganhos de bem-estar. Ressalta-se que, ao resolver os modelos não lineares nos capítulos 2 e 3, a tese estende os algoritmos desenvolvidos em Maliar e Maliar (2013) e Arellano et. al. (2016) do chamado Método Das Condições de Envelope para lidar com restrições ocasionalmente ativas. Tal método, combinado a técnicas de interpolação lineares, é robusto à presença de kinks nas policy functions e capaz de acomodar equilíbrios com distorção e efeitos expectacionais.

Rising inequality affects the dynamics of macroeconomic variables both at home and abroad. Abroad, rising inequality causes an over-accumulation of foreign assets, creating persistent current account deficits. Inequality leads to rises in government transfers, and if raising tax revenue through a progressive income tax system is increasingly costly, sovereign nations could accumulate on debt and increase their default risk. At home, rising inequality in income increases household debt accumulation, which increases the probability of a household default crisis. This thesis examines the mechanisms behind the relationship between rising inequality and the above macroeconomic variables, and offers some policy recommendations. In the first chapter, I examine the relationship between top income inequality and the current account. Using panel error correction methods I observe a long-run relationship between rising top income shares and falling current account conditional on highly progressive income tax systems. Since tax revenues rise with top income inequality if marginal income taxes are progressive, the negative conditional relationship appears either if fiscal revenues are transferred to households who become more avid consumers, or if government expenditure increases along the inequality trend. I incorporate these findings into a dynamic general equilibrium model to study the effects of the top and bottom income tax cuts on the current account and fiscal balance. As the income share at the top rises, a tax cut at the margin to them improves the current account, since top income households are generally savers, but hurts the fiscal balance through revenue reduction. On the other hand, a bottom tax cut lowers the current account balance but does not have much of an adverse impact on the fiscal balance. In the second chapter, I examine how inequality increases the probability of sovereign default by studying the Latin American default episodes of the early 1980s. The sovereign borrows for the purposes of redistribution and to cover government expenditure. Default on sovereign bonds occur when the one time increase in utility of poor households due to higher transfers outweighs the risk of remaining in autarky for an extended period of time, and the resource cost of raising revenue through a more progressive income tax system becomes too high. In the third chapter, I examine how accumulation of household debt contributes to the probability of household crisis, which leads to an initial decrease in inequality but a persistent rise afterwards. Idiosyncratic increases in the income of impatient households increase their borrowing due to the rise in consumption of durable goods, but act as a pecuniary externality on other impatient households by driving up the interest rate. As a result the risk of an economy wide crisis rises. Inequality in income and wealth has significant implications for the dynamic decision making of households and governments, and widening inequality often leads to the accumulation of debt for households and governments alike. Knowing the mechanisms behind these relationships is important for the design of policies both for institutions that oversee the redistribution of wealth, as well as for institutions that oversee the financial markets of a country.

Thesis. 1976. M.S.--Massachusetts Institute of Technology. Dept. of Electrical Engineering and Computer Science. / Microfiche copy available in Archives and Engineering. / Includes bibliographical references. / by Jorge F. Baca. / M.S.

This dissertation combines theoretical modeling and empirical analysis in macroeconomics, with a focus on open economies. It contains three chapters that study macroeconomic dynamics in the presence of credit frictions and the scope for stabilization policies in this context. Chapter 1, "Macroeconomic Effects of Commodity Booms and Busts: The Role of Financial Frictions", studies the real effects of commodity price shocks in small open commodity exporters; and the role of financial frictions in the transmission of these shocks to economic activity. I begin by estimating a panel VAR system for two groups of countries heavily exposed to commodity goods exports, one containing only advanced small open economies, and the other only emerging small open economies. I show that commodity price shocks are important sources of business cycle fluctuations, and have stronger effects on real activity, credit, and country interest rate in emerging countries. Motivated by these results, I construct a multi-sector open economy model with a banking sector to gauge the importance of different financial frictions in the transmission of commodity price shocks. I find that the main transmission channel is the interaction between the differences in working capital constraints at the firm level and the effect of commodity prices on the country interest rate. Moreover, I show that the financial accelerator and balance sheet mismatches in the banking sector don't have a relevant quantitative amplification effect. Chapter 2, "International Reserves, Credit Constraints, and Systemic Sudden Stops", analyzes the puzzling fact that emerging markets hold very high levels of international reserves and foreign liabilities simultaneously. Moreover, these holdings are positively correlated, which leads to an income loss that might reach 2% of GDP per year. To address this issue, I propose a new motive for international reserves accumulation, namely its role as implicit collateral for external borrowing. In this context, I evaluate whether the role of international reserves as collateral can explain the high levels of international reserves that we see in practice and find that the optimal level is close to the average reserves-to-GDP ratio in Latin American countries. Additionally, the optimal behavior during crises implies an increase of reserve holdings before a Sudden Stop and a small reduction during it, which is coherent with what was observed in the recent Global Financial Crisis. Finally, an alternative policy of keeping reserves at a constant level equal to its average value all the time yields very similar result to the optimal policy during sudden stops, highlighting the stabilizing role of reserves even if Central Banks don't use them at all. Chapter 3, "The Real Consequences of Countercyclical Capital Controls'', coauthored with Savitar Sundaresan, analyzes the effects of capital controls on real activity in Brazil, the most preeminent case of controls being imposed countercyclically. We find that capital controls have a significant negative impact on investment. The macro analysis uses a synthetic control method and finds that investment could have been approximately 20% higher if controls had not been put in place. The micro analysis uses a panel data approach and finds that the controls reduced the investment to assets ratio by as much as 40%, with some of its effects mitigated by the extension of subsidized credit by the government through the development bank. These results indicate that the renewed support for controls since the Great Financial Crisis should be more cautiously evaluated as it might harm the potential growth rate of Emerging Economies for a long-lasting period.

This dissertation consists of three chapters. Chapter 1, "Precision of Communication in Coordination Games of Regime Change,'' is in the field of macroeconomics and economics of information. I study a model of regime change in which the government can communicate with different levels of precision as a function of the underlying fundamentals. In the model, higher precision of communication corresponds to a lower dispersion of private information among market participants. I compare a policy of an uncommitted government, which chooses the precision of communication after it learns the realization of fundamentals, to a policy of a committed government, which commits to a state-dependent policy before it learns the realization of fundamentals. I find that an uncommitted government communicates imprecisely for weak fundamentals and precisely for strong fundamentals. In contrast, a committed government communicates precisely for weak fundamentals and imprecisely for strong fundamentals. Consequently, a committed government saves its regime more often than an uncommitted one. An uncommitted government can benefit from a rule that enforces constant precision of communication. Chapter 2, "Multiple Equilibria in Global Games with Varying Quality of Information,'' is a follow up chapter on Chapter 1. I show that global game models can have multiple equilibria if the quality of information available to agents varies with the state of economic fundamentals. First, I construct two examples that illustrate why the quality of information may vary and show that the corresponding information structures support several equilibria. Second, I construct an information structure that supports a given number of equilibria. Very different equilibria can exist simultaneously, even if agents' quality of information is arbitrarily high. The set of possible equilibria can be very similar to the set of equilibria under complete information, even when agents are uncertain about the state of fundamentals and beliefs of other agents. My results have practical implications for the disclosure of information by governments and for our ability to predict the outcome of currency attacks or debt runs based on economic fundamentals. Chapter 3, "Long-Run Price Elasticity of Trade and the Trade-Comovement Puzzle,'' is in the field of international macroeconomics and is coauthored with Lukasz Drozd and Jaromir Nosal. What role do international trade linkages play in transmitting shocks across borders? Analytically, we demonstrate that in a broad class of open economy macroeconomic models, shock transmission crucially depends on dynamic properties of trade elasticity---which is rarely modeled explicitly in business cycle theory. We illustrate the quantitative relevance of this point by exploring the well documented link between trade and comovement in the cross-section of countries, and by relating our theoretical findings to those in the literature. We find that dynamic elasticity does indeed affect the findings in a quantitatively significant way. Hence, our paper advocates for using dynamic elasticity models in contexts that evaluate international business cycle theory vis-a-vis data on cross-country variation of business cycle moments.

Os três artigos que compõe esta Tese possuem em comum a utilização de técnicas macroeconométricas bayesianas, aplicadas a modelos dinâmicos e estocásticos de equilíbrio geral, para a investigação de problemas específicos. Desta forma, esta Tese busca preencher importantes lacunas presentes na literatura nacional e internacional. No primeiro artigo, estimou-se a importância do canal de custo da política monetária por meio de um modelo novo-keynesiano dinâmico e estocástico de equilíbrio geral. Para tanto, alteramos o modelo convencional, assumindo que uma parcela das firmas precise contrair empréstimos para pagar sua folha salarial. Desta forma, a elevação da taxa nominal de juro impacta positivamente o custo unitário do trabalho efetivo, podendo acarretar em aumento da inflação. Este artigo analisa as condições necessárias para que o modelo gere esta resposta positiva da inflação ao aperto monetário, fenômeno esse que ficou conhecido como price puzzle. Devido ao uso da metodologia DSGE-VAR, os resultados aqui encontrados podem ser comparados tanto com a literatura que trata o puzzle como um problema de identificação dos modelos VAR como com a literatura que avalia o canal de custo por meio de modelos novo-keynesianos. No segundo artigo, avaliamos até que ponto as expectativas de inflação geradas por um modelo dinâmico e estocástico de equilíbrio geral são compatíveis com as expectativas coletadas pelo Banco Central do Brasil (BCB). Este procedimento nos permite analisar a racionalidade das expectativas dos agentes econômicos brasileiros, comparando-as não à inflação observada, mas sim à projeção de um modelo desenvolvido com a hipótese de expectativas racionais. Além disso, analisamos os impactos do uso das expectativas coletadas pelo BCB na estimação do nosso modelo, no que se refere aos parâmetros estruturais, função de resposta ao impulso e análise de decomposição da variância. Por fim, no terceiro artigo desta Tese, modificamos o modelo novo-keynesiano convencional, de forma a incluir a teoria do desemprego proposta pelo economista Jordi Galí. Com isso, procuramos preencher uma lacuna importante na literatura nacional, dominada por modelos que não contemplam a possibilidade de desequilíbrios no mercado de trabalho capazes de gerar desemprego involuntário. A interpretação alternativa do mercado de trabalho aqui utilizada permite superar os problemas de identificação notoriamente presentes na literatura, tornando o modelo resultante mais robusto. Desta forma, utilizamos o modelo resultante para, dentre outras coisas, avaliar os determinantes da taxa de desemprego ao longo da última década. / The three articles that comprise this thesis have in common the use of macroeconometric bayesian techniques, applied to dynamic stochastic general equilibrium models, for the investigation of specific problems. Thus, this thesis seeks to fill important gaps present in the national and international literatures. In the first article, I estimated the importance of the cost-push channel of monetary policy through a new keynesian dynamic stochastic general equilibrium model. To this end, we changed the conventional model, assuming now that a share of firms needs to borrow to pay its payroll. Thus, an increase in the nominal interest rate positively impacts the effective unit labor cost and may result in an inflation hike. This article analyzes the necessary conditions for the model to exhibit a positive response of inflation to a monetary tightening, a phenomenon that became known as the price puzzle. Because I use the DSGE-VAR methodology, the present results can be compared both with the empirical literature dealing with the puzzle as an identification problem of VAR models and with the theoretical literature that evaluates the cost-push channel through new keynesian models. In the second article, we assess the extent to which inflation expectations generated by a dynamic stochastic general equilibrium model are consistent with expectations compiled by the Central Bank of Brazil (BCB). This procedure allows us to analyze the rationality of economic agents\' expectations in Brazil, comparing them not with the observed inflation, but with the forecasts of a model developed with the hypothesis of rational expectations. In addition, we analyze the impacts of using expectations compiled by the BCB in the estimation of our model, looking at the structural parameters, the impulse response function and variance decomposition analysis. Finally, the third article in this thesis, I modified the conventional new keynesian model, to include unemployment as proposed by the economist Jordi Galí. With that, I fill an important gap in the national literature, dominated by models that do not contemplate the possibility of disequilibrium in the labor market that can generate involuntary unemployment. The alternative interpretation of the labor market used here overcomes the identification problems notoriously present in the literature, making the resulting model more robust to the Lucas critique. Thus, I use the resulting model to assess the determinants of the unemployment rate over the last decade, among other points.