Custos de bem-estar da inflação no Brasil pós-real

Abstract

ResumoEste trabalho investiga o comportamento da demanda por moeda no Brasil de forma a derivar os custos de bem-estar da inflação pós-Plano Real. Os resultados, para um período de dezessete anos, corroboram a forma funcional log-log que mostra significativos ganhos de bem-estar relativos aos custos sociais anteriores ao Plano Real. Para uma inflação de aproximadamente 4, 5% a.a., tem-se custo de bem-estar entre 0, 15 e 0, 20% da renda. Conclui-se, como esperado, que o país deve direcionar suas políticas para alcançar tanto um patamar de inflação menor quanto para obter um nível de taxa de juros real de estado estacionário de países desenvolvidos.Palavras-chave: Demanda por Moeda; Custos de Bem-Estar da Inflação; Política Monetária. AbstractThis work investigates the behavior of money demand in Brazil in order to derive the welfare costs of inflation after the Real Plan. The results, for a period of about seventeen years, corroborated the log-log specification that shows significant gains in welfare cost of inflation. Still, for an inflation of around 4.5% per year, there is a welfare cost between 0, 15 and 0, 20% of income. But, we suggest that the country directs its policies to achieve a much lower level of inflation and to a level of steady state real interest rate of developed countries.

Welfare cost of inflation in Brazil: an approach with time-varying cointegration and Kalman filter

“…The welfare cost, in its turn, has a strong and positive correlation with the inflation rate, as we can see in Figure 13. Kumar (2014) concluded that Cagan's model is more adequate to the Indian economy, our results show that Meltzer's model is a better fit for Brazil in the time period under study, as Caetano et al (2014) also did.…”

“…The elasticity estimations, however, differ greatly between the two works. As we can see in Figure 15, most of the values from our model lie below the lowest estimate of 0.423 from Caetano et al (2014), for both the Kalman filter and the time varying cointegration methods.…”

“…The fluctuation of elasticity series in Figure 4 features relatively smooth transitions and a more coherent evolution with the economic scenario, ranging between 0.32 and 0.45. For comparison purposes, Caetano et al (2014) arrive at an average elasticity between 0.42 and 0.51. However, they use quarterly data, a different period (1994)(1995)(1996)(1997)(1998)(1999)(2000)(2001)(2002)(2003)(2004)(2005)(2006)(2007)(2008)(2009)(2010)(2011) and different estimation methods.…”

“…Figure 14 shows that the minimum and maximum costs estimated by the authors correspond roughly to the lowest and highest values, respectively, obtained by this work. Since we let the interest-elasticity vary over time, however, our estimation shows how the cost varies monthly, while Caetano et al (2014) could only estimate mean values for the entire period. For the inflation rate of 4.5%, the authors estimate welfare costs ranging from 0.15% to 0.20%.…”

“…In the case of the Brazilian economy, with regard to the estimation of demand for money, we highlight Canêdo-Pinheiro (2011) for the annual data from 1970 to 1994. Concerning the welfare cost of inflation for the period after "Plano Real" in 1994, Caetano et al (2014) estimate elasticities for quarterly data for the period from 1995 to 2011 using the methods of static and dynamic least squares. The authors arrive at an average cost between 0.3% and 0.45% of income for an annual inflation rate of 10%; and between 0.15% and 0.2% for an annual inflation rate of 4.5%.…”