Fábio Augusto Reis Gomes

Can real exchange rate devaluation improve the trade balance? The 1990-1998 Brazilian case

The Brazilian Trade Balance deficit in the 1990s was blamed on the adopted crawling-peg exchange rate regime in which the real exchange rate was supposedly appreciated. The purpose in this letter is to assess this relationship by using VEC-M model to check if Marshall-Lerner condition and J-curve phenomenon hold. The results indicate that the Marshall-Lerner condition holds and the J-curve would be present in the aftermath of a real exchange rate devaluation.The Brazilian Trade Balance deficit in the 1990s was blamed on the adopted crawling-peg exchange rate regime in which the real exchange rate was supposedly appreciated. The purpose in this letter is to assess this relationship by using VEC-M model to check if Marshall–Lerner condition and J-curve phenomenon hold. The results indicate that the Marshall–Lerner condition holds and the J-curve would be present in the aftermath of a real exchange rate devaluation.

Consumo no Brasil: teoria da renda permanente, formação de hábito e restrição à liquidez

This article analyzes the behavior of aggregate consumption series in Brazil. As usual, the random walk hypothesis of consumption, derived theoretically from the life cycle/permanent income and rational expectations hypothesis (PIH), is tested. The Beveridge e Nelson (1981) decomposition indicates that the consumption series has a stochastic trend and a cyclical stationary component, incompatible with the PIH. This result is in line with Reis et alii (1998), who concluded that a large fraction of Brazilian people is credit constrained, which generates a common cycle between consumption and income. Following, we introduce habit formation in the preference of a representative consumer in order to attempt to produce a process of consumption compatible with the empirical evidence. However, such a process does not prove itself statistically significant amidst the possibility of credit constraint consumers.

Consumption in South America: myopia or liquidity constraints?

In this paper, we consider Brazil, Colombia, Peru, and Venezuela for a study on aggregate consumption behavior, in which we test the life cycle-permanent income hypothesis prediction that consumption growth depends only on the interest rate. Nevertheless, our results suggest that in general predicted income is a relevant covariate. We checked for some possible reasons behind this result, namely liquidity constraints, myopia and perverse asymmetry. We found support for liquidity constrained consumers in Brazil and Colombia, and perverse asymmetry for Peru. Finally, the results were uninformative about consumption in Venezuela.

Consumo no Brasil: Comportamento Otimizador, Restrição de Crédito ou Miopia?

This paper analyzes the evolution of Brazilian consumption taking into account three different theories: optimization behavior, myopia and credit constraint. The econometric results suggest that interest rates are irrelevant, which goes against what is predicted by the optimization behavior hypothesis. On the other side, the results are not able to confirm neither myopia nor credit constraint. In spite of that, it is possible to observe that, in some years, consumption is smoothed because its growth rate and the income growth rate have opposite signs. Thus, this fact is incompatible with the myopic behavior.

Principais características do consumo de duráveis no Brasil e testes de separabilidade entre duráveis e não-duráveis

Estre trabalho investiga amplamente a evolucao do consumo de bens duraveis no Brasil a partir da decisao de consumo individual e da possibilidade de existir restricao ao credito. A contribuicao mais relevante consiste na nao rejeicao da hipotese de separabilidade nas decisoes de consumo de bens duraveis e nao duraveis, ja que tal hipotese e implicitamente utilizada por varios artigos que tratam a questao do consumo agregado no Brasil. Os resultados, aqui encontrados, sugerem que uma grande parcela dos consumidores esta restrita ao credito, existindo restricoes de curto e longo prazo sobre a evolucao do consumo de bens duraveis, nao duraveis e renda.

Empirical Evidence on Convergence Across Brazilian States

This paper is aimed to analyze the convergence hypothesis across Brazilian States in a 60 year period (1947-2006). In order to test the existence of income convergence, the order of integration of the income differences between each State and Sao Paulo is examined. Sao Paulo is the richest State and for this reason is used as a benchmark. First of all, we employed the conventional unit root tests, finding evidence against the convergence hypothesis. However, given the lack of power of unit root tests, especially when the convergence is very low, we used ARFIMA models, which is also theoretically more appropriate [Michelacci and Zaffaroni (2000)]. Even so, the findings of the ARFIMA models cast doubts on the convergence hypothesis

The stationarity of consumption-income ratios: evidence from South American countries

This paper analyzes the order of integration of the consumption-income ratio in 10 South American countries. To do this, the individual ADF test, its panel versions and theMinimumLMunit root test with structural break(s) were employed. While the former tests found more favorable evidence of an integrated process, after controlling for structural breaks only Uruguay seems to be integrated. Thus, in general, the consumption-income ratio was diagnosed as a stationary process, as suggested by the relative income hypothesis, the habit persistence model, the permanent income hypothesis and the life cycle hypothesis.

Gasto do governo e consumo privado: substitutos ou complementares?

This paper investigates whether private nondurable consumption is affected by changes in government spending, taking into account that private consumption can respond to predicted changes in current income. Using annual data from 1970 to 2003, results suggest that private consumption is not affected by anticipated changes in government spending, but it is affected by anticipated changes in income. Finally, the results indicate that private consumption and government spending are neither substitute or complementary and there is evidence of excess sensitivity to income.

Evolução do consumo de duráveis e não duráveis: existe ajustamento lento no caso brasileiro?

Este artigo analisa a evolucao do consumo de bens duraveis e de bens nao duraveis, examinando se o consumidor ajusta lentamente seu consumo em virtude de novas informacoes, conforme proposto por Caballero (1990). Para tanto, sao utilizadas series reais per capita de consumo de bens duraveis e de bens nao duraveis para o periodo de 1970 a 2003. Os resultados indicam que tanto o consumo de duraveis quanto de nao duraveis exibem ajustamento lento, porem nao identicos.

Testing Public Debt Sustainability Using a Present-Value Model

The recent fiscal crisis has renewed the public policy focus on debt sustainability. To investigate debt sustainability empirically, a significant portion of the literature on public debt sustainability tests whether government revenue and expenditure are cointegrated, i.e., move together in the long-run. In this paper, we show that this approach is not conclusive when the null of cointegration is not rejected. In such a case, one cannot draw definitive conclusions about the sustainability of public debt. To overcome this problem, we propose a new approach based on Campbell and Shillers (1987) present-value model to derive moment restrictions that can be used to test fiscal sustainability consistently. Using this new approach, we test the solvency of the U.S. fiscal situation for the post-WWII data. Our findings suggest that the U.S. fiscal situation has not been sustainable for the post-WWII period. This result is in contrast to the traditional approach where we find that the sustainability hypothesis is not rejected.