Mobilidade de capital no Brasil no período de 1970-2007: análise pela abordagem intertemporal da conta corrente

Abstract

The theoretical debate on capital mobility can be divided into two strands in the literature: one based on measuring the saving-investment correlation following Feldstein and Horioka (1980) seminal paper; the other one comparing the variance of the theoretical current account derived from an intertemporal equilibrium model with its actual counterpart, as proposed by Ghosh (1995). In the present work it is analyzed the Brazilian case from 1970 to 2007 following the line of Ghosh (1995) who focuses on the analysis of the current account under the hypothesis of intertemporal equilibrium. In order to find evidence of the degree of international capital mobility, and of the behavior of smoothing current account, it is followed largely the model developed in Huang (2010) who investigated the importance of including world real interest rate and terms of trade in the basic model of Ghosh (1995). Using the method of Instrumental Variable as proposed in Huang (2010) the degree of capital mobility for Brazil between 1970 and 2007 could not be correctly evaluated because the key parameter that measures the degree of capital mobility was not statistically different from zero in all models estimated. However, it is found that the inclusion of terms of trade and interest rate in the estimated models improve the model fit to the actual current account, confirming the importance of these variables to explain its movements. Comparing the variances it is found that the generated theoretical current account does not match the volatility of the observed one leading to the finding of “excess mobility” as defined in Ghosh (1995) in the whole sample. Nevertheless, when we divide the theoretical series in three periods, namely, 1970-1989, 1990-2007 and 1994-2007, a different result emerges for the complete model (comprising all the variables proposed) with the “excess mobility” no longer holding after 1994.