ISSN 58-3548 CGC.38.66/-5 Working Paper Series Brasília n. 39 Apr. p. -38
Working Paper Series Edited by Research Department (Depep) E-mail: workingpaper@bcb.gov.br Editor: Benjamin Miranda Tabak E-mail: benjamin.tabak@bcb.gov.br Editorial Assistant: Jane Sofia Moita E-mail: jane.sofia@bcb.gov.br Head of Research Department: Adriana Soares Sales E-mail: adriana.sales@bcb.gov.br The Banco Central do Brasil Working Papers are all evaluated in double blind referee process. Reproduction is permitted only if source is stated as follows: Working Paper n. 39. Authorized by Carlos Hamilton Vasconcelos Araújo, Deputy Governor for Economic Policy. General Control of Publications Banco Central do Brasil Secre/Surel/Cogiv SBS Quadra 3 Bloco B Edifício-Sede º andar Caixa Postal 8.67 774-9 Brasília DF Brazil Phones: +55 (6) 344-37 and 344-3565 Fax: +55 (6) 344-366 E-mail: editor@bcb.gov.br The views expressed in this work are those of the authors and do not necessarily reflect those of the Banco Central or its members. Although these Working Papers often represent preliminary work, citation of source is required when used or reproduced. As opiniões expressas neste trabalho são exclusivamente do(s) autor(es) e não refletem, necessariamente, a visão do Banco Central do Brasil. Ainda que este artigo represente trabalho preliminar, é requerida a citação da fonte, mesmo quando reproduzido parcialmente. Consumer Complaints and Public Enquiries Center Banco Central do Brasil Secre/Surel/Diate SBS Quadra 3 Bloco B Edifício-Sede º subsolo 774-9 Brasília DF Brazil Fax: +55 (6) 344-553 Internet: http://www.bcb.gov.br/?english
GDP (growth rate - % p.q.) - -4 5 Government Consumption (growth rate - % p.q.) 4 - -4 5-5 - Exports (growth rate - % p.q.) Employment (growth rate - % p.q.) 5 Private Consumption (growth rate - % p.q.) - -4 5 Investment - GFFC (growth rate - % p.q.) 5-5 - -5 5 - - - -4-6 Imports (growth rate - % p.q.) 5 Real Wages (growth rate - % p.q.) 5
CPI Inflation (% p.q.) Administered Price Inflation (% p.q.) 4 5 4-5.4. -. - - Free Price inflation (% p.q.) CPI Inflation Target (% p.q.) 5 Public Sector Primary Surplus (% of GDP) 5 6 4-5 Export Price Inflation (% p.q.) - 5 3 -.5 -.5 - Nominal Interest Rate (% p.q.) 5 Public Sector Primary Surplus Target (% of GDP) 5
4-5 -5-4 Real Effective Exchange Rate (% deviation) 5 5 World Imports (growth rate - % p.q.) VIX (p.p.) 5 Foreign (US) Inflation (% p.q.) - -4 5 3-5 -5.5 -.5 Country Risk Premium (p.p.) 5 Relative Import Prices 5 Foreign (US) Interest Rate (% p.q.) 5
8 6 8 6 4 4 4.4.6.8..4.6.. 8.5 6 4.5.5.. 4 3.6.5.4. 4 3 5.4.6..4. 5 5 5
4 6 4 5.4.6.8.5..4.6.8 8 6 4 6 4 4.4.6.8.5.4.6.8.5.5.5 3.5.5.5
5 5 8 6 4.3......4.6 5 5.5.5 6 4..4.6.8 3 4..4.6 5 8 6 4 5.3.4.5.6.7..4.6..
Real GDP.5 Private Consumption Government Consumption.5 Investment -. -.5 -.5 -.4 -.5 4 8 4 8. Exports.5 Imports - 4 8. Net exports (% of GDP) - 4 8 Real Exchange Rate - -. -.5 -. 4 8 4 8 4 8.5 4-Q CPI Inflation.5 4-Q Free Inflation 4-Q Adm Inflation - 4 8 4-Q Import Goods Inflation.5 -. -.5 -.5 -.5 -.4 4 8 4 8 4 8. Real Wage Employment Nom. Interest Rate (annualized) - 4 8 Mon. Policy Shock (annualized) -.5 -. 4 8-4 8-4 8 4 8
.5 Real GDP Private Consumption Government Consumption Investment.5 - -.5 - - - -.5 4 8 4 8.5 Exports Imports - 4 8. Net exports (% of GDP) -3 4 8.5 Real Exchange Rate -.5 4 8 4-Q CPI Inflation - -. -.5 4 8 4 8 4 8 4-Q Free Inflation 4-Q Adm Inflation 4-Q Import Goods Inflation.5.5-4 8 Real Wage - -.5 -.5 4 8 4 8 4 8.5 Employment Nom. Interest Rate (annualized) Wage Markup Shock.5 -.5-4 8 - -.5 4 8 4 8-4 8
.4 Real GDP. Private Consumption Government Consumption.5 Investment. -. 4 8 -. 4 8 -.5 4 8-4 8. Exports.5 Imports. Net exports (% of GDP). Real Exchange Rate -. 4 8. 4-Q CPI Inflation -.5 4 8. 4-Q Free Inflation -. 4 8. 4-Q Adm Inflation -. 4 8 4-Q Import Goods Inflation. -. 4 8.5 Real Wage -. 4 8.5 Employment -. 4 8 Nom. Interest Rate (annualized). -. 4 8 Investment Shock -.5 4 8 -.5 4 8 -. 4 8 4 8
.5 Real GDP Private Consumption Government Consumption Investment -.5 -.5 - -5-4 8-4 8-4 8-4 8 4 Exports Imports Net exports (% of GDP) Real Exchange Rate -5.5 4 8-4 8 4 8-4 8.5 4-Q CPI Inflation.5 4-Q Free Inflation 4-Q Adm Inflation 4-Q Import Goods Inflation.5.5.5 5 4 8 Real Wage 4 8.5 Employment 4 8 Nom. Interest Rate (annualized).5-5 4 8 RER Shock -.5 -.5 -.5 -.5 4 8 4 8 4 8 4 8
.5 Real GDP.5 Private Consumption Government Consumption. Investment -.5 4 8.4 Exports -.5 4 8.5 Imports - 4 8 Net exports (% of GDP). -. 4 8. Real Exchange Rate. -. -. 4 8. 4-Q CPI Inflation -.5 -.4 4 8 4 8. 4-Q Free Inflation. 4-Q Adm Inflation -. 4 8 4-Q Import Goods Inflation. -. 4 8. Real Wage -. 4 8 Employment -. 4 8 Nom. Interest Rate (annualized). -. 4 8 Government Consumption Shock.5 -. 4 8 -.5 4 8 -. 4 8 4 8
.5 Real GDP Private Consumption Government Consumption 3 4 Investment.5 4 8-4 8 4 8 4 8.5 Exports 4 Imports. Net exports (% of GDP) Real Exchange Rate.5-4 8.5 4-Q CPI Inflation - -. 4 8 4 8.5 4-Q Free Inflation.5 4-Q Adm Inflation - 4 8 4-Q Import Goods Inflation - -.5 -.5 -.5 4 8 4 8 4 8 Real Wage.5 Employment Nom. Interest Rate (annualized).5-4 8 Permanent Technology Shock -.5-4 8 - -.5 4 8 4 8 4 8
3.5 4.5 3 4.5 3.5 3.5.5 Samba Last value.5 Average BVAR 3 4 5 6 7 8.5 3 4 5 6 7 8.8.6.4..8.6.4. 3 4 5 6 7 8
Real GDP Private Consumption Government Consumption.4.5 Investment -. -.5. -.4 4 8 Exports - 4 8.5 Imports.4 4 8 Net exports (% of GDP) -.5 4 8 Real Exchange Rate -.. -.5 - -.4 4 8 4-Q CPI Inflation -.5 -. 4 8 4 8.5 4-Q Free Inflation 4 4-Q Adm Inflation -.5 4 8 4-Q Import Goods Inflation.5.5 4 8 Real Wage -.5 4 8 Employment - 4 8 Nom. Interest Rate (annualized).4 -.5 4 8.5 Adm Price Shock -.5 -.5..5-4 8-4 8 4 8 4 8
Real GDP Private Consumption Government Consumption 5 Investment - - - - 4 8-4 8-4 8-5 4 8.5 Exports Imports.5 Net exports (% of GDP) 5 Real Exchange Rate -.5 - -5-4 8 4-Q CPI Inflation -4 -.5-4 8 4 8 4 8 4-Q Free Inflation 4-Q Adm Inflation 4-Q Import Goods Inflation 5 - - - -5-4 4 8.5 Real Wage -4 4 8 Employment -4-4 8 4 8 Nom. Interest Rate (annualized) Domestic Risk Premium Shock -.5 - - -4-4 8-4 4 8-6 4 8 4 8
.5 Real GDP.5 Private Consumption Government Consumption.5 Investment - -.5 -.5 -.5 4 8 4 8 4 8 Exports Imports.5 Net exports (% of GDP) -4 4 8 Real Exchange Rate.5-5 -.5 4 8 4-Q CPI Inflation -4 -.5 4 8 4 8 4-Q Free Inflation.5 4-Q Adm Inflation -5 4 8 4-Q Import Goods Inflation 4.5.5 -.5 -.5 -.5 4 8 4 8 4 8.5 Real Wage.5 Employment Nom. Interest Rate (annualized) - 4 8 Country Risk Premium Shock.5.5.5 -.5 -.5 -.5 4 8 4 8 4 8 4 8
. Real GDP. Private Consumption Government Consumption.. Investment. -. 4 8. Exports -. 4 8. Imports -. 4 8.4 Net exports (% of GDP).5 4 8 Real Exchange Rate.. -. 4 8. 4-Q CPI Inflation -. -. -.5 4 8 4 8 4 8. 4-Q Free Inflation. 4-Q Adm Inflation 4-Q Import Goods Inflation.5 -. -. 4 8. Real Wage -. -.4 -.5 4 8 4 8 4 8. Employment Nom. Interest Rate (annualized) Household Preference Shock -. -. -.4 -.4 4 8 -. -.6 4 8 4 8 4 8
Real GDP Private Consumption Government Consumption 3 Investment - 4 8-4 8-4 8 4 8 Exports Imports. Net exports (% of GDP) Real Exchange Rate.5 -.5 4 8 4-Q CPI Inflation - -. -.5 4 8 4 8 4 8 4-Q Free Inflation 4-Q Adm Inflation 4-Q Import Goods Inflation.5 -.5 - -.5 - -.5 -.5 -.5 -.5 4 8 4 8 Real Wage Employment - 4 8 Nom. Interest Rate (annualized) - 4 8 Transitory Technology Shock.5.5 - -.5.5 4 8-4 8-4 8 4 8
. Real GDP. Private Consumption Government Consumption..5 Investment -. 4 8. Exports -. 4 8.5 Imports -. 4 8. Net exports (% of GDP) -.5 4 8.4 Real Exchange Rate.. 4 8 -.5 4 8 -. 4 8 4 8. 4-Q CPI Inflation. 4-Q Free Inflation. 4-Q Adm Inflation 4-Q Import Goods Inflation. -. 4 8.5 Real Wage -. 4 8.5 Employment -. 4 8 Nom. Interest Rate (annualized). -. 4 8.5 Import Demand Shock.5 -.5 4 8 -.5 4 8 -. 4 8 4 8
. Real GDP.5 Private Consumption Government Consumption..5 Investment -. -.5 4 8 4 8.5 Exports. Imports -. -.5 4 8 4 8.5 Net exports (% of GDP) Real Exchange Rate.5 -.5 -.5 4 8. 4-Q CPI Inflation. -.5 4 8 4 8 4-Q Free Inflation. 4-Q Adm Inflation -. 4 8 4-Q Import Goods Inflation. -. -. -. 4 8 4 8 4 8. Real Wage. Employment Nom. Interest Rate (annualized). -. 4 8 Exports Demand Shock -. 4 8 -. -. 4 8 4 8 4 8
.5 Real GDP.5 Private Consumption Government Consumption Investment - -.5 -.5 4 8 4 8. Exports.5 Imports - 4 8. Net exports (% of GDP) - 4 8.5 Real Exchange Rate -.5 -. 4 8 4-Q CPI Inflation - -. -.5 4 8 4 8 4 8 4-Q Free Inflation 4-Q Adm Inflation 4-Q Import Goods Inflation.5.5-4 8.5 Real Wage - -.5 -.5 4 8 4 8 4 8.5 Employment Nom. Interest Rate (annualized).5 Price Markup Shock -.5 -.5-4 8 - -.5 4 8 4 8 4 8
. Real GDP. Private Consumption Government Consumption.4.4 Investment.. -. 4 8 Exports -. 4 8.5 Imports 4 8. Net exports (% of GDP) 4 8.5 Real Exchange Rate -.5 - -.5 4 8.5 4-Q CPI Inflation -.5 4 8.5 4-Q Free Inflation -. 4 8. 4-Q Adm Inflation -.5 4 8 4-Q Import Goods Inflation.5 -. -.5 -.5 -.4 4 8 4 8 4 8. Real Wage. Employment Nom. Interest Rate (annualized) -.5 4 8 Export Price Markup Shock.5 -. -.5 4 8 -. 4 8 -. 4 8 4 8
Real GDP Private Consumption Government Consumption Investment.5 5 - - -.5 4 8 4 8.5 Exports Imports -5 4 8. Net exports (% of GDP) - 4 8 Real Exchange Rate.5 - -.5 -.5 -. 4 8 4 8 4 8.5 4-Q CPI Inflation.5 4-Q Free Inflation.5 4-Q Adm Inflation - 4 8 4-Q Import Goods Inflation.5 -.5 -.5 -.5 -.5 4 8 4 8 4 8. Real Wage 4 Employment Nom. Interest Rate (annualized) - 4 8.5 Tax Rate Shock.5.5 -. 4 8-4 8 4 8 4 8
.5 Real GDP.5 Private Consumption Government Consumption Investment -.5 - - -.5 4 8 4 8.5 Exports.5 Imports -4 4 8. Net exports (% of GDP) 4 8.5 Real Exchange Rate -.5 -.5 4 8.5 4-Q CPI Inflation - -. -.5 4 8 4 8 4 8.5 4-Q Free Inflation.5 4-Q Adm Inflation 4-Q Import Goods Inflation.5 -.5 -.5 -.5 -.5 4 8 4 8 4 8 4 8. Real Wage Employment Nom. Interest Rate (annualized).5 Fiscal Target Shock - -.5 -. 4 8-4 8-4 8-4 8
Real GDP 4 Private Consumption Government Consumption 3 5 Investment - 4 8-4 8 4 8-5 4 8 Exports 4 Imports.5 Net exports (% of GDP) 5 Real Exchange Rate - - 4 8 4 4-Q CPI Inflation - -.5 4 8 4 8 4 4-Q Free Inflation 5 4-Q Adm Inflation -5 4 8 4-Q Import Goods Inflation - 4 8 Real Wage - 4 8 4 Employment -5 4 8 Nom. Interest Rate (annualized) - 4 8.5 Inflation Target Shock -.5-4 8-4 8-4 4 8 4 8
Real GDP Private Consumption Government Consumption 4 Investment.5.5 - -.5 4 8 4 8-4 8 4 8 5 Exports 6 Imports Net exports (% of GDP) Real Exchange Rate 4 - -5-5 4 8 4 8-4 8-4 8.5 4-Q CPI Inflation.5 4-Q Free Inflation.5 4-Q Adm Inflation 4-Q Import Goods Inflation 5-5 -.5 -.5 -.5-4 8 4 8 4 8 4 8 Real Wage Employment Nom. Interest Rate (annualized).5 Foreign Inflation Shock.5.5 4 8 -.5 -.5 4 8 4 8-4 8
Real GDP Private Consumption Government Consumption Investment -.5 -.5 - - - -4 - -.5 4 8 4 8 Exports Imports - 4 8 Net exports (% of GDP) -6 4 8 Real Exchange Rate -5 - - 4 8-4 8-4 8-4 8 4-Q CPI Inflation 4-Q Free Inflation 4-Q Adm Inflation 4-Q Import Goods Inflation.5.5.5 5 4 8 Real Wage -.5 -.5 4 8 4 8.5 Employment Nom. Interest Rate (annualized) -5 4 8 Import Price in USD Shock 5 -.5.5 - -.5 5 -.5 4 8 - -.5 4 8 4 8 4 8
.5 Real GDP Private Consumption Government Consumption.5 Investment -.5 -.5 -.5 - -4-4 8-4 8-4 8-6 4 8 4 Exports 5 Imports Net exports (% of GDP) Real Exchange Rate -5.5 - - 4 8 4 8 4-Q CPI Inflation 4-Q Free Inflation 4 8 4-Q Adm Inflation - 4 8 4-Q Import Goods Inflation.5.5.5 5 -.5 -.5 -.5 4 8 4 8 4 8 Real Wage.5 Employment Nom. Interest Rate (annualized).5-5 4 8 International Interest Rate Shock.5 -.5.5.5 - -.5 4 8 4 8 4 8 4 8
.4 Real GDP. Private Consumption Government Consumption.4 Investment....5 4 8 Exports 4 8.5 Imports 4 8. Net exports (% of GDP) -.5 4 8 Real Exchange Rate.5 -.5 - - 4 8. 4-Q CPI Inflation 4 8. 4-Q Free Inflation -. 4 8. 4-Q Adm Inflation -.5 4 8 4-Q Import Goods Inflation - -. 4 8. Real Wage -. 4 8.5 Employment -. 4 8 Nom. Interest Rate (annualized).5-4 8.5 World Income Shock.5 -. 4 8 -.5 -.5 4 8 4 8 4 8
. Real GDP. Private Consumption Government Consumption.5.5 Investment -. -.4 4 8. Exports -. -.5 4 8 4 8.5 Imports Net exports (% of GDP).5 -.5 4 8 Real Exchange Rate.5 -. 4 8.4 4-Q CPI Inflation -.5 -.5 4 8 4 8.4 4-Q Free Inflation.4 4-Q Adm Inflation -.5 4 8 4-Q Import Goods Inflation.5... -. -. -. 4 8 4 8 4 8. Real Wage. Employment -.5 4 8 Nom. Interest Rate (annualized) Foreign Investor Risk Aversion Shock.5.5.5 -. -. -.5 4 8 4 8 4 8 4 8
Banco Central do Brasil Trabalhos para Discussão Os Trabalhos para Discussão do Banco Central do Brasil estão disponíveis para download no website http://www.bcb.gov.br/?trabdisclista Working Paper Series The Working Paper Series of the Central Bank of Brazil are available for download at http://www.bcb.gov.br/?workingpapers 3 Hiato do Produto e PIB no Brasil: uma Análise de Dados em Tempo Real Rafael Tiecher Cusinato, André Minella e Sabino da Silva Pôrto Júnior 4 Fiscal and monetary policy interaction: a simulation based analysis of a two-country New Keynesian DSGE model with heterogeneous households Marcos Valli and Fabia A. de Carvalho 5 Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions George Athanasopoulos, Osmani Teixeira de Carvalho Guillén, João Victor Issler and Farshid Vahid 6 Fluctuation Dynamics in US interest rates and the role of monetary policy Daniel Oliveira Cajueiro and Benjamin M. Tabak 7 Brazilian Strategy for Managing the Risk of Foreign Exchange Rate Exposure During a Crisis Antonio Francisco A. Silva Jr. 8 Correlação de default: uma investigação empírica de créditos de varejo no Brasil Antonio Carlos Magalhães da Silva, Arnildo da Silva Correa, Jaqueline Terra Moura Marins e Myrian Beatriz Eiras das Neves 9 Produção Industrial no Brasil: uma análise de dados em tempo real Rafael Tiecher Cusinato, André Minella e Sabino da Silva Pôrto Júnior Determinants of Bank Efficiency: the case of Brazil Patricia Tecles and Benjamin M. Tabak Pessimistic Foreign Investors and Turmoil in Emerging Markets: the case of Brazil in Sandro C. Andrade and Emanuel Kohlscheen The Natural Rate of Unemployment in Brazil, Chile, Colombia and Venezuela: some results and challenges Tito Nícias Teixeira da Silva Abr/ Apr/ Apr/ Apr/ Apr/ Maio/ Maio/ May/ Aug/ Sep/ 36
3 Estimation of Economic Capital Concerning Operational Risk in a Brazilian banking industry case Helder Ferreira de Mendonça, Délio José Cordeiro Galvão and Renato Falci Villela Loures 4 Do Inflation-linked Bonds Contain Information about Future Inflation? José Valentim Machado Vicente and Osmani Teixeira de Carvalho Guillen 5 The Effects of Loan Portfolio Concentration on Brazilian Banks Return and Risk Benjamin M. Tabak, Dimas M. Fazio and Daniel O. Cajueiro 6 Cyclical Effects of Bank Capital Buffers with Imperfect Credit Markets: international evidence A.R. Fonseca, F. González and L. Pereira da Silva 7 Financial Stability and Monetary Policy The case of Brazil Benjamin M. Tabak, Marcela T. Laiz and Daniel O. Cajueiro 8 The Role of Interest Rates in the Brazilian Business Cycles Nelson F. Souza-Sobrinho 9 The Brazilian Interbank Network Structure and Systemic Risk Edson Bastos e Santos and Rama Cont Eficiência Bancária e Inadimplência: testes de Causalidade Benjamin M. Tabak, Giovana L. Craveiro e Daniel O. Cajueiro Financial Instability and Credit Constraint: evidence from the cost of bank financing Bruno S. Martins O Comportamento Cíclico do Capital dos Bancos Brasileiros R. A. Ferreira, A. C. Noronha, B. M. Tabak e D. O. Cajueiro 3 Forecasting the Yield Curve with Linear Factor Models Marco Shinobu Matsumura, Ajax Reynaldo Bello Moreira and José Valentim Machado Vicente 4 Emerging Floaters: pass-throughs and (some) new commodity currencies Emanuel Kohlscheen 5 Expectativas Inflacionárias e Inflação Implícita no Mercado Brasileiro Flávio de Freitas Val, Claudio Henrique da Silveira Barbedo e Marcelo Verdini Maia 6 A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector Francisco Vazquez, Benjamin M.Tabak and Marcos Souto 7 Uma Nota sobre Erros de Previsão da Inflação de Curto Prazo Emanuel Kohlscheen 8 Forecasting Brazilian Inflation Using a Large Data Set Francisco Marcos Rodrigues Figueiredo 9 Financial Fragility in a General Equilibrium Model: the Brazilian case Benjamin M. Tabak, Daniel O. Cajueiro and Dimas M. Fazio Oct/ Oct/ Oct/ Oct/ Oct/ Oct/ Oct/ Out/ Nov/ Nov/ Nov/ Nov/ Nov/ Nov/ Nov/ Dec/ Dec/ 37
3 Is Inflation Persistence Over? Fernando N. de Oliveira and Myrian Petrassi 3 Capital Requirements and Business Cycles with Credit Market Imperfections P. R. Agénor, K. Alper and L. Pereira da Silva 3 Modeling Default Probabilities: the case of Brazil Benjamin M. Tabak, Daniel O. Cajueiro and A. Luduvice 33 Emerging Floaters: pass-throughs and (some) new commodity currencies Emanuel Kohlscheen 34 Cyclical Effects of Bank Capital Requirements with Imperfect Credit Markets Pierre-Richard Agénor and Luiz A. Pereira da Silva 35 Revisiting bank pricing policies in Brazil: Evidence from loan and deposit markets Leonardo S. Alencar 36 Optimal costs of sovereign default Leonardo Pio Perez 37 Capital Regulation, Monetary Policy and Financial Stability P.R. Agénor, K. Alper, and L. Pereira da Silva 38 Choques não Antecipados de Política Monetária e a Estrutura a Termo das Taxas de Juros no Brasil Fernando N. de Oliveira e Leonardo Ramos Dec/ Jan/ Jan/ Jan/ Jan/ Mar/ Apr/ Apr/ Abr/ 38