Suchergebnisse

This paper presents a critical analysis of governments' attempts to increase national and private savings by raising the real rate of return on financial assets. Using the Brazilian economy as a case study, the paper argues that successes in increasing the savings rate can be traced to the fiscal reforms that accompanied the process of financial system redesign that sought to free interest rates from administrative controls. Two types of econometric exercises are performed to offer evidence of the responsiveness of savings to changes in the expected real interest rate. The first one uses a standard saving function approach in evaluating the magnitude of the interest elasticity of savings. The second test addresses the issue by using the Euler equation technique and measuring the rate of intertemporal substitution in consumption. The results obtained in both sections point to a negligible effect of real interest rates on aggregate and private sector saving. These results have important implications for the design of stabilization and structural reform programs and they contradict the fundamental behavioral hypothesis underlying the savings policy advice most often given to developing economies by international organizations like the World Bank and the IMF. ; Este artigo apresenta uma análise crítica do esforço do governo em aumentar a poupança nacional e a poupança privada através do aumento da taxa de retorno real dos ativos financeiros. Usando a economia brasileira como estudo de caso, argui-se que o sucesso em aumentar a taxa de poupança tem sua origem na reforma fiscal que acompanhou o processo de reforma do sistema financeiro que procurou liberar as taxas de juros de controles administrativos. Dois tipos de exercícios econométricos são realizados para estudar a sensibilidade da poupança a mudanças na taxa de juros real esperada. O primeiro exercício faz uso de uma função de poupança clássica para avaliar a magnitude da elasticidade da poupança em relação a taxa de juros. O segundo teste aborda o problema através da equação de Euler e mede a taxa de substituição intertemporal do consumo. Os resultados obtidos em ambas as seções mostram que o efeito da taxa de juros real sobre a poupança agregada privada é negligível. Estes resultados tem implicações profundas para os programas de estabilização e de reforma estrutural pois contradizem a hipótese comportamental fundamental subjacente à política de poupança recomendada para os países em desenvolvimento por organizações internacional tais como o Banco Mundial e o FMI.

This paper revisits the economic theory of the interest rates and presents some estimation results obtained on annual macroeconomic data for a panel of OECD countries. The conventional macroeconomic theory based on the saving investment balance falls short of producing a consistent picture for the medium-term trends of the interest rates and related variables. The main reason lies in the fact that the usual propensity to save specification does not account for the observed saving behavior, and it turns out that an intertemporal approach works better. Some other extensions of the basic model are also discussed to account for the external influence and the risk premia on public bonds. Based on this theoretical discussion, an econometric relation is estimated on annual data for a panel of 19 OECD countries. The tests confirm the influence of the factors suggested by the theory and, in particular, the link between the fall in the interest rate and the economic slowdown. The role of the inflation expectations, of the real exchange rate and of the risk premia on public debt is also discussed and clarified. ; Cet article revient sur la théorie économique des taux d'intérêt et présente quelques résultats d'estimations économétriques sur données annuelles pour un panel de pays de l'OCDE. La théorie macroéconomique conventionnelle fondée sur l'équilibre épargne-investissement ne rend pas compte de manière cohérente des évolutions à moyen terme des taux d'intérêt et des variables macroéconomiques associées. La principale raison réside dans le fait que la notion keynésienne de propension à épargner ne permet pas de comprendre les comportements d'épargne observés. Pour cela, une approche intertemporelle apparaît mieux appropriée. On discute également d'autres extensions du modèle de base pour tenir compte des influences extérieures et des primes de risque sur les obligations publiques. Sur la base de cette discussion théorique, on estime une relation économétrique sur des données annuelles pour un panel de 19 pays de l'OCDE. ...

This paper revisits the economic theory of the interest rates and presents some estimation results obtained on annual macroeconomic data for a panel of OECD countries. The conventional macroeconomic theory based on the saving investment balance falls short of producing a consistent picture for the medium-term trends of the interest rates and related variables. The main reason lies in the fact that the usual propensity to save specification does not account for the observed saving behavior, and it turns out that an intertemporal approach works better. Some other extensions of the basic model are also discussed to account for the external influence and the risk premia on public bonds. Based on this theoretical discussion, an econometric relation is estimated on annual data for a panel of 19 OECD countries. The tests confirm the influence of the factors suggested by the theory and, in particular, the link between the fall in the interest rate and the economic slowdown. The role of the inflation expectations, of the real exchange rate and of the risk premia on public debt is also discussed and clarified. ; Cet article revient sur la théorie économique des taux d'intérêt et présente quelques résultats d'estimations économétriques sur données annuelles pour un panel de pays de l'OCDE. La théorie macroéconomique conventionnelle fondée sur l'équilibre épargne-investissement ne rend pas compte de manière cohérente des évolutions à moyen terme des taux d'intérêt et des variables macroéconomiques associées. La principale raison réside dans le fait que la notion keynésienne de propension à épargner ne permet pas de comprendre les comportements d'épargne observés. Pour cela, une approche intertemporelle apparaît mieux appropriée. On discute également d'autres extensions du modèle de base pour tenir compte des influences extérieures et des primes de risque sur les obligations publiques. Sur la base de cette discussion théorique, on estime une relation économétrique sur des données annuelles pour un panel de 19 pays de l'OCDE. Les tests confirment l'influence des facteurs suggérés par la théorie et, en particulier, le lien entre la baisse du taux d'intérêt et le ralentissement économique. Le rôle de l'inflation anticipée, du taux de change réel et des primes de risque est aussi discuté et clarifié