Crescimento econômico, inflação e regimes cambiais: análise de painel

Abstract

The empirical analysis developed in this dissertation is based on the estimation of panel data models for economic growth and inflation for a set of 82 economies using the System GMM methodology. The estimation results for the growth models for the period of 1970 to 2009 provide a fundamental lesson for this work. Regardless of the result from an extensive part of the empirical literature suggesting that there is not a significant role for the exchange rate regime in affecting long run growth, and based on the results of this dissertation for the period of 1990 to 2009, the estimated results suggest that for the last four decades there is evidence that countries with intermediate exchange rate regimes are associated to higher economic growth when compared to countries adopting fixed/pegged exchange rate regimes. Other than this, the results for the period of 1970 to 2009 suggest a negative impact on growth were associated to episodes of sudden stops in capital flows. The estimated growth models for the two distinct periods (1970 to 2009 and 1990 to 2009) provide evidence on the relevance of the lagged growth rate for the current growth rate and also indicate that banking and debt crises are not statistically significant. On the other hand, the specific empirical results for the 1990 to 2009 period suggest that there is no statistically significant difference among countries that adopt and those who did not inflation target regarding growth performance, and there is also evidence of an unexpected result that countries undergoing currency crises have higher rates of economic growth. The results from the estimated inflation models using System GMM for three different periods (1990 to 2009, 1990 to 1999 and 2000 to 2009) and focusing on understanding the relation between exchange rate regimes and inflation, reveals an absence of consensuses both in terms of estimated coefficient signs and regarding their statistical significance. There is also additional evidence on the relevance of other variables such as monetary growth, government debt, real effective exchange rate change, real interest rate and lagged inflation. The estimated result for the dummy variables for debt crisis indicates that countries under this type of crisis have experienced higher inflation rates while the result for the dummy variable for countries under currency/monetary crisis suggests that the adjustment under this crisis might have contributed to a lower inflation within the period of crises. On the other hand, the dummy variables for sudden stop and banking crisis are not statistically significant. Other empirical evidence found, that is relevant for the thesis, is that the inflation target regime is associated to a better (lower rate) inflationary performance for the economies adopting such regime, based on the results for the period of 1990 to 1999.