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Esta tese traz dois ensaios sobre política econômica. O primeiro estuda se a imposição de um teto de gastos no Brasil afetou a eficácia da política monetária, uma vez que modelos recentes com agentes heterogêneos mostram que a política fiscal é um importante canal de transmissão da mesma. Primeiro, estimamos um modelo de fatores dinâmicos, encontrando evidências empíricas para uma resposta da política fiscal a um choque de política monetária. Em seguida, é apresentado um exercício de simulação com agentes heterogêneos, corroborando a ideia de que a forma como os gastos públicos reagem à política monetária afeta seu efeito sobre o produto. No segundo ensaio, decompomos os movimentos do mercado de trabalho no Brasil durante a pandemia de COVID-19. A resposta pública à crise de saúde produziu uma série de rupturas que levaram a grandes oscilações na atividade econômica e no mercado de trabalho. Implementamos um VAR Bayesiano Estrutural para decompor os movimentos do mercado de trabalho em choques de oferta e demanda, um exercício importante que pode servir de insumo para melhor projetar e implementar políticas econômicas não apenas durante a crise, mas também após a mesma. Descobrimos que a maioria dos movimentos no emprego remonta a choques de oferta. Em dezembro de 2021, o nível de emprego ainda estava abaixo do nível pré-pandemia, ainda reprimido por fatores atribuídos à oferta. This thesis brings two essays on economic policy. The first one studies whether the imposition of an expenditure ceiling affected monetary policy effectiveness in Brazil, since recent models with heterogeneous agents show that fiscal policy is an important transmission channel for monetary policy. First, we estimate a dynamic model factor, finding empirical evidence for a fiscal policy response to a monetary policy shock. Afterwards, a simulation exercise with heterogeneous households is presented, corroborating the idea that the way public expenditures react to monetary policy affects its overall effect on output. In the second essay, we decompose labor market movements in Brazil during the COVID-19 pandemics. The policy response to the health crisis produced a series of disruptions that led to large swings in economic activity and in the labor market. We implement a Bayesian Structural VAR in order to decompose labor market movements into supply and demand shocks, an important exercise in order to better design and implement economic policies not only during the crisis, but also afterwards. We find that the majority of movements in employment are traced back to supply shocks. By December 2021, employment level was still bellow its pre-pandemic level, still held down by factors attributed to supply.

We identify an inflationary technology news shock as the leading source of business cycle variations for the postwar U.S. economy. This shock acts like a demand shock: it induces strong positive comovement in real quantities - GDP, consumption, investment - and weak positive comovement between real quantities and inflation, contrary to the view that anticipated technological innovations reduce inflation. The technology news shock became the predominant source of the business cycle from the 80's. The reason is that anticipated improvements in future technology lead to improvements in financing conditions. The monetary policy response to these anticipations is contractionary in the short run, independently of the sample period. However, the response is more short-lived from the 80's than before and with respect to other non-technology shocks. Finally, the inclusion of sentiment, uncertainty and TFP measurement error shocks does not affect the importance of the technology news shock.

This paper reconsiders the effects of expectations on economic uctuations. It does so within a competitive monetary economy which features producers and consumers with heterogeneous information about productivity. Agents' expectations are coordinated by a noisy public signal which generates non-fundamental, purely expectational shocks. I show that, depending on how monetary policy is pursued, purely expectational shocks can resemble either demand shocks, as conventionally thought, or supply shocks?increasing output and employment yet lowering ination. On the policy front, conventional policy recommendations are overturned: ination stabilization is suboptimal, whereas output-gap stabilization is optimal.

This paper investigates the sources of the widely noticed reduction in the volatility of American business cycles since the mid 1980s. Our analysis of reduced volatility emphasizes the sharp decline in the standard deviation of changes in real GDP, of the output gap, and of the inflation rate. The primary results of the paper are based on a small three-equation macro model that includes equations for the inflation rate, the nominal Federal Funds rate, and the change in the output gap. The development and analysis of the model goes beyond the previous literature in two directions. First, instead of quantifying the role of shocks-in-general, it decomposes the effect of shocks between a specific set of supply shock variables in the model’s inflation equation, and the error term in the output gap equation that is interpreted as representing 'IS' shifts or 'demand shocks'. It concludes that the reduced variance of shocks was the dominant source of reduced business-cycle volatility. Supply shocks accounted for 80 percent of the volatility of inflation before 1984 and demand shocks the remainder. The high level of output volatility before 1984 is accounted for roughly two-thirds by the output errors (demand shocks) and the remainder by supply shocks. The output errors are tied to the paper’s initial decomposition of the demand side of the economy, which concludes that three sectors residential and inventory investment and Federal government spending, account for 50 percent in the reduction in the average standard deviation of real GDP when the 1950-83 and 1984-2004 intervals are compared. The second innovation in this paper is to reinterpret the role of changes in Fed monetary policy. Previous research on Taylor rule reaction functions identifies a shift after 1979 in the Volcker era toward inflation fighting with no concern about output, and then a shift in the Greenspan era to a combination of inflation fighting along with strong countercyclical responses to positive or negative output gaps. Our results accept this characterization of the Volcker era but find that previous estimates of Greenspan-era reaction functions are plagued by positive serial correlation. Once a correction for serial correlation is applied, the Greenspan-era reaction function looks almost identical to the pre-1979 Burns reaction function! Thus the issue in assessing monetary policy regimes comes down to Volcker vs. non-Volcker. Full model simulations show that the Volcker reaction function, if applied throughout the 1965-2004 period, would have delivered substantially higher pre-1984 output volatility than the Burns-Greenspan alternative with the corresponding benefit of a permanent reduction in the inflation rate by fully five percentage points per annum. Compared to the succession of three reaction functions actually in effect, application of the Volcker reaction function prior to 1979 would have deepened the 1975 recession but made the 1982 recession milder, since by then inflation would have been partly conquered. The paper concludes by disputing the view that better monetary policies had any role in the reduced volatility of the business cycle - the Greenspan policies did not need to fight against inflation because there was no inflation, thanks to the reversal of supply shocks from an adverse to a beneficial direction, and thanks to a reduction in the size of the output errors or 'IS' shifts.