Fragilidade financeira e volatilidade dos ciclos econômicos no Brasil pós-plano real

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 throu- ghout 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.