Productivity, investment and capital flow: the failure of growth with foreign savings in Brazil

LAMONICA, MARCOS TOSTES; LIMA, SERGIANY DA SILVA

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Brazilian Journal of Political Economy

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Articles • Brazil. J. Polit. Econ. 42 (3) • Jul-Sep 2022 • https://doi.org/10.1590/0101-31572022-3150 copy

Productivity, investment and capital flow: the failure of growth with foreign savings in Brazil

Authorship SCIMAGO INSTITUTIONS RANKINGS

ABSTRACT

This work analyzes productivity and the hypothesis that capital flow does not influence investment in the Brazilian economy. To do so, we present a productivity equation conditioned on the rates of: investments, wage costs, and external demand. The relationship between productivity and investment and wage rates suggests a possible simultaneity, given the distributive nature of aggregate income between capital and labor. Therefore, estimators that treat endogeneity in two stages are used: the Two-Stage Least Squares (MQ2E) and the Generalized Least Moments (MMG), to increase the robustness of the results. We find that the investment rate explains productivity, but capital flow does not determine productive investment. In addition, Brazilian investment is more susceptible to the parameters of marginal capital efficiency, whose fall has affected Brazilian productivity since the 1980s.

KEYWORDS:
Productivity; investment rate; capital flow

Variáveis	Definição	Período	Fonte dos dados
q _t	Produtividade total dos fatores	1950-2019	PWT versão 10
x _t	Taxa de exportações	1950-2019	PWT versão 10
w _t	Taxa salários	1950-2019	PWT versão 10
i _t	Taxa de investimentos	1950-2019	PWT versão 10
a _t	Abertura econômica defasada	1950-2019	PWT versão 10
k _t	Estoque de capital	1950-2019	PWT versão 10
j _t	Taxa de juros Selic Over	1950-2019	Ipeadata
$\frac{i d e}{p i b_{t}}$	Investimento direto externo defasado	1950-2019	World Bank
${(\frac{r e s e r v a s}{d í v i d a})}_{t}$	Razão entre reservas e dívidas	1950-2019	World Bank
Dummy2008	Dummy da crise financeira de 2008	1950-2019	Quebra temporal

Variáveis lnq _t	Raiz unitária e ordem de integração				Raiz unitária e ordem de integração com quebra
	DFA Probabilidade do teste				I(d)	DFA Probabilidade do teste				I(d)
	*Intercepto*		*Tend. e intercepto*			*Intercepto*		*Tend. e intercepto*
	*Nível*	*1ª dif*	*Nível*	*1ª dif*		Nível	1ª dif	Nível	1ª dif
lnq _t	0.8046	0.0042	0.0874	0.0210	I(1)	0.9839	0.0278	0.6538	0.0569	I(1)
lnx _t	0.6157	0.0000	0.3017	0.0000	I(1)	0.3743	<0.01	0.5536	<0.01	I(1)
lnw _t	0.5224	0.0000	0.7352	0.0000	I(1)	0.5521	<0.01	0.5248	<0.01	I(1)
lni _t	0.2095	0.0000	0.4643	0.0000	I(1)	0.9128	<0.01	0.6901	<0.01	I(1)
lna _t	0.5863	0.0000	0.3987	0.0000	I(1)	0.5696	<0.01	0.8608	<0.01	I(1)
lne _t	0.1227	0.0000	0.0956	0.0001	I(1)	<0.01	<0.01	0.0795	<0.01	I(1)
lnj _t	0.6824	0.0001	0.4548	0.0006	I(1)	0.1086	<0.01	0.1196	<0.01	I(1)
lnide _t	0.6193	0.0000	0.4847	0.0000	I(1)	0.0716	<0.01	0.048	<0.01	I(1)
lnres_div _t	0.7444	0.0001	0.1551	0.0002	I(1)	0.4464	<0.01	0.0501	<0.01	I(1)

Ranking (r)	Equação com ide_pib		Equação com reservas_dívida
Ranking (r)	Trace	Max-Eigen	Trace	Max-Eigen
0	398.2283***	187.1581***	278.0752***	77.28335***
1	211.0702***	70.31891***	200.7919***	49.50848
2	140.7513***	46.03091**	151.2834***	42.32634
3	94.72036**	33.32789	108.9571***	37.72124
4	61.39247	25.51939	71.23581***	26.14535
5	35.87308	16.48707	45.09046**	22.34409
6	19.38601	11.77706	22.74637	16.81852
7	7.608952	7.608952	5.927849	5.927849

Variável	Média	Desvio	Mínimo	Máximo	CV (%)
q _t	1.124428	0.144151	0.805426	1.449778	780.0327
i _t	0.203564	0.03071	0.149195	0.272011	662.867
w _t	0.528742	0.022612	0.491568	0.581198	2338.354
x _t	0.081515	0.032492	0.040409	0.143171	250.8787
$\frac{i d e}{p i b_{t}}$	1.942647	1.447136	0.128666	5.034129	134.2408
${(\frac{r e s e r v a s}{d í v i d a})}_{t}$	33.16834	26.50392	4.2332	87.1213	125.145
j _t	281.6349	638.2248	5.9459	3060.006	44.12785
k _t	6019437	4283583	608566.8	1.37E+07	140.5234

Variáveis	MQ2E (IDE %)	MQ2E (Reservas %)	MMG (IDE %)	MMG (Reservas %)
lnx _t	-0.052***	-0.054***	-0.052***	-0.054***
lnj _t	-0.011***	-0.011***	-0.011***	-0.011***
lnk _t	0.080***	0.080***	0.079***	0.079***
Dummy 2008	0.033***	0.027**	0.033***	0.027**
f _t	Proxies do fluxo de reservas internacionais
$\ln (\frac{i d e}{p i b_{t}})$	0.002		0.002
$\ln {(\frac{r e s e r v a s}{d í v i d a})}_{t}$		0.006		0.006
N. Obs	46	46	46	46
F	108.85***	97.10***	88.63***	97.10***
R ² Ajustado	0.8543	0.8576	0.8543	0.8576

Variáveis	MQ2E (IDE %)	MQ2E (Reservas %)	MMG (IDE %)	MMG (Reservas %)
a lnx _t	0.083	0.081	0.083	0.081
lnj _t	-0.034***	-0.037***	-0.034***	-0.037***
lnk _t	-0.378***	-0.375***	-0.378***	-0.375***
Dummy 2008	0.153***	0.132**	0.153***	0.132**
f _t	Proxies do fluxo de reservas internacionais
$\ln (\frac{i d e}{p i b_{t}})$	0.015		0.015
$\ln {(\frac{r e s e r v a s}{d í v i d a})}_{t}$		0.021		0.021
N. Obs	46	46	46
F	23.25***	21.11***	23.25***	21.11***
R² Ajustado	0.5118	0.5135	0.5118	0.5135

Variáveis	MQ2E (IDE %)	MQ2E (Reservas %)	MMG (IDE %)	MMG (Reservas %)
q ₁ a	-0.234**	-0.225**	-0.230***	-0.235***
lni _t	0.295***	0.299***	0.312***	0.299***
lnx _t	-0.986***	-0.980***	-1.078***	-1.009***
lnx _t	-0.0996***	-0.1000***	-0.0847***	-0.0970***
N. Obs	46	46	46	46
Wald x²	343.03***	340.88***	350.64***	356.55***
R² Ajustado	0.839	0.839	0.824	0.836
Teste de Endogeneidade com h ₀ = Variáveis exógenas
Durbin x²	13.622***	13.1347***
Wu-Hausman F	8.41436***	7.99309***
MMG C x²			6.00825**	7.7441**
Teste de Sobreidentificação
Sarganx²	1.82215	0.084436
Basmannx²	1.64983	0.073558
Hansen J x²			2.28877	0.09702

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[TFN1] Nota: DFA significa Dickey Fuller Aumentado.