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      Fragilidade Financeira e Volatilidade dos Ciclos Econômicos no Brasil Pós-Plano Real

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          Abstract

          Resumo Fricções financeiras comprometem a eficiência com que sistema financeiro direciona recursos para o financiamento de gastos com consumo e com investimentos em bens de capital. Imperfeições no mercado financeiro elevam a volatilidade dos ciclos de econômicos, em razão de flutuações no prêmio de financiamento externo ou de mudanças no comportamento de risco dos agentes econômicos. Este artigo investiga se um aumento da fragilidade financeira compromete a estabilidade dos ciclos econômicos no Brasil. Utilizando dados mensais entre 1996 e 2018, um indicador de fragilidade financeira foi derivado com base no modelo de fator dinâmico e a estimação de modelos de vetores autorregressivos permitiu analisar o comportamento deste indicador nos ciclos econômicos. Os resultados indicam que um aumento na fragilidade financeira compromete o desempenho macroeconômico e revelam a importância da volatilidade cambial e do componente cíclico do nível de preços para as flutuações de curto prazo na atividade econômica no Brasil.

          Translated abstract

          Abstract Financial frictions undermine the efficiency with which the financial system channels resources to fund consumption expenditures and fixed capital investment. Fluctuations in the external finance premium or changes in the risk behavior of economic agents may lead to increased business cycles volatility. This paper investigates whether greater financial fragility increases the short-run fluctuations in economic activity in Brazil. Using monthly data between 1996 and 2018, this article applied a dynamic factor model to derive a financial system fragility indicator and estimated vector autoregressive models to evaluate this indicator’s performance throughout the business cycles. The results indicate that greater financial fragility compromise the country’s macroeconomic performance and reveal the importance of exchange-rate volatility and price level volatility to the short-run fluctuations in economic activity in Brazil.

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          Most cited references 38

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          Finance and Growth: Schumpeter Might Be Right

           R King,  R. Levine (1993)
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            Time to Build and Aggregate Fluctuations

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              Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy

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                Author and article information

                Journal
                ee
                Estudos Econômicos (São Paulo)
                Estud. Econ.
                Departamento de Economia; Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo (FEA-USP) (São Paulo, SP, Brazil )
                0101-4161
                1980-5357
                March 2020
                : 50
                : 1
                : 125-158
                Affiliations
                Salvador Bahia orgnameUniversidade Federal da Bahia Brazil gtiryaki@ 123456ufba.br
                Salvador Bahia orgnameUniversidade Federal da Bahia Brazil diegont2@ 123456yahoo.com.br
                Salobrinho Bahia orgnameUniversidade Estadual de Santa Cruz Brazil ceidrumond@ 123456uesc.br
                Article
                S0101-41612020000100125 S0101-4161(20)05000100125
                10.1590/0101-41615015dgc

                This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

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                Figures: 0, Tables: 0, Equations: 0, References: 62, Pages: 34
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