46 resultados para net photosynthesis rate
Resumo:
The aim of this article is to assess the role of real effective exchange rate volatility on long-run economic growth for a set of 82 advanced and emerging economies using a panel data set ranging from 1970 to 2009. With an accurate measure for exchange rate volatility, the results for the two-step system GMM panel growth models show that a more (less) volatile RER has significant negative (positive) impact on economic growth and the results are robust for different model specifications. In addition to that, exchange rate stability seems to be more important to foster long-run economic growth than exchange rate misalignment
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Esse trabalho é uma aplicação do modelo intertemporal de apreçamento de ativos desenvolvido por Campbell (1993) e Campbell e Vuolteenaho (2004) para as carteiras de Fama-French 2x3 brasileiras no period de janeiro de 2003 a abril de 2012 e para as carteiras de Fama-French 5x5 americanas em diferentes períodos. As varíaveis sugeridas por Campbell e Vuolteenaho (2004) para prever os excessos de retorno do mercado acionário americano no period de 1929 a 2001 mostraram-se também bons preditores de excesso de retorno para o mercado brasileiro no período recente, com exceção da inclinação da estrutura a termo das taxas de juros. Entretanto, mostramos que um aumento no small stock value spread indica maior excesso de retorno no futuro, comportamento que não é coerente com a explicação para o prêmio de valor sugerida pelo modelo intertemporal. Ainda, utilizando os resíduos do VAR preditivo para definir o risco de choques de fluxo de caixa e de choques nas taxas de desconto das carteiras de teste, verificamos que o modelo intertemporal resultante não explica adequadamente os retornos observados. Para o mercado norte-americano, concluímos que a abilidade das variáveis propostas para explicar os excessos de retorno do mercado varia no tempo. O sucesso de Campbell e Vuolteenaho (2004) em explicar o prêmio de valor para o mercado norte-americano na amostra de 1963 a 2001 é resultado da especificação do VAR na amostra completa, pois mostramos que nenhuma das varíaveis é um preditor de retorno estatisticamente significante nessa sub-amostra.
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Este trabalho tem por objetivo comparar metodologias distintas para cálculo de desalinhamento cambial além de testar a hipótese se as taxas de câmbio dos diversos países sofrem influencia apenas dos seus próprios fundamentos ou também da taxa de câmbio e dos fundamentos de outros países. Estas hipóteses consistem, respectivamente, na ausência ou na existência de interdependência entre os diversos países. Para realizar tal tarefa utilizam-se duas estratégias empíricas. A primeira baseia-se em avaliar se um modelo multivariado de séries de tempo usualmente utilizada na literatura de desalinhamento cambial com dados apenas do próprio país em análise pode ser melhorado através da adição de variáveis relacionadas a outros países usando o algoritmo proposto por David Hendry e co-autores. A segunda estratégia consiste em estimar um panel longo com as variáveis utilizadas para estimar desalinhamento cambial e testar formalmente a hipótese de ausência de interdependências. Os resultados sugerem que em ambas estratégias existe evidência de existência de interdependência. Esta ocorreria mais por conta de fatores ligados ao curto prazo, ou seja, o que explicaria o valor da taxa de câmbio de um país no longo prazo seriam seus próprios fundamentos enquanto no curto prazo fatores externos poderiam causar desvios
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Our main goal is to investigate the question of which interest-rate options valuation models are better suited to support the management of interest-rate risk. We use the German market to test seven spot-rate and forward-rate models with one and two factors for interest-rate warrants for the period from 1990 to 1993. We identify a one-factor forward-rate model and two spot-rate models with two faetors that are not significant1y outperformed by any of the other four models. Further rankings are possible if additional cri teria are applied.
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In this paper I use Taylor's (2001) model and Vector Auto Regressions to shed some light on the evolution of some key macroeconomic variables after the Central Bank of Brazil, through the COPOM, increases the target interest rate by 1%. From a quantitative perspective, the best estimate from the empírical analysis, obtained with a 1994 : 2 - 2004 : 2 subsample of the data, is that GDP goes through an accumulated decline, over the next four years, around 0.08%. Innovations to interest rates explain around 9.2% of the forecast erro r of GDP.
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The paper assesses the impact of intemational relative prices and domestic expenditure variables on Brazil' s foreign trade performance in the first half of the 1990s. It has been argued that the appreciation of the Real since 1994 has had a detrimental impact of the country's trade balance. However, using temporal precedence analysis, our results do not indicate that the trade balance is strongly affected by intemational rei ative prices, such as the exchange rate. Instead, domestic expenditure variables appear to be more powerful determinant of the country' s trade performance in recent years. Granger and error correction causality techniques are used to determine temporal precedence between the trade balance and the exchange rate in the period under examination. Our findings shed light on the debate over the sustainability of recent exchange rate-anchored macroeconomic stabilisation programmes, which is a topic that has encouraged a lot of debate among academics and practitioners.
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This paper provides evidence on the relationship between rnonetary policy and the exchange rate in the aftermath of currency crises. It ana1yzes a large data set of currency crises in 80 countries in the period 1980 to 1998. The rnain question addressed is: can rnonetary policy significantly alter the probability of reversing the post-crisis undervaluation through nominal appreciation rather than higher int1ation? We find that tight rnonetary policy facilitates the reversal of currency undervaluation through nominal appreciation rather than inflation. When the econorny is also facing a banking crisis, depending on the specification, tight rnonetary policy rnay not have the same effect.
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This paper presents an interpretation of the European crisis based on the balance of payments imbalances within the Eurozone and highlighting the role of the “internal” real exchange rates as a primary cause of the crisis. It explores the structural contradictions that turn the Euro into a “foreign currency” for each individual Eurozone country. These contradictions imply the inability of national central banks to monetize the public and private debts, which makes the Euro crisis a sovereign crisis similar to those typical of emerging countries, but whose solution presents additional obstacles.
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In a general equilibrium model. we show that the value of the equilibrium real exchange rate is affected by its own volatility. Risk averse exporters. that make their exporting decision before observing the realization of the real exchange rate. choose to export less the more volatile is the real exchange rate. Therefore the trude balance and the variance of the real exchange rate are negatively related. An increase in the volatility of the real exchange rate for instance deteriorates the trade balance and to restore equilibrium a real exchange rate depreciation has to take place. In the empirical part of the paper we use the traditional (unconditional) standard deviation of RER changes as our measure of RER volatility.We describe the behavior of the RER volatility for Brazil,Argentina and Mexico.Monthly data for the three countries are used. and also daily data for Bruzil. Interesting patterns of volatility could be associated to the nature of the several stabilization plans adopted in those countries and to changes in the exchange rate regimes .
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We present a continuous time target zone model of speculative attacks. Contrary to most of the literature that considers the certainty case, i.e., agents know for sure the Central Bank behavior in the future, we build uncertainty into the madel in two different ways. First, we consider the case in whicb the leveI of reserves at which the central bank lets the regime collapse is uncertain. Alternatively, we ana1ize the case in which, with some probability, the government may cbange its policy reducing the initially positive trend in domestic credito In both cases, contrary to the case of a fixed exchange rate regime, speculators face a cost of launching a tentative attack that may not succeed. Such cost induces a delay and may even prevent its occurrence. At the time of the tentative attack, the exchange rate moves either discretely up, if the attack succeeds, or down, if it fails. The remlts are consistent with the fact that, typically, an attack involves substantial profits and losses for the speculators. In particular, if agents believed that the government will control fiscal imbalances in the future, or alternatively, if they believe the trend in domestic credit to be temporary, the attack is postponed even in the presence of a signal of an imminent collapse. Finally, we aIso show that the timing of a speculative attack increases with the width of the target zone.
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Implementation and collapse of exchange rate pegging schemes are recur- rent events. A currency crisis (pegging) is usually followed by an economic downturn (boom). This essay explains why a benevolent government should pursue Þscal and monetary policies that lead to those recurrent currency crises and subsequent periods of pegging. It is shown that the optimal policy induces a competitive equilibrium that displays a boom in periods of below average de- valuation and a recession in periods of above average devaluation. A currency crisis (pegging) can be understood as an optimal policy answer to a recession (boom).
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This paper analyses the welfare consequences of temporary exchange rate-based stabilization programs. Differently than previous papers, however, here we assume that only a fraction of households participates in asset market transactions. With this asset market segmentation assumption, the effects of temporary programs on welfare may change drastically. Households with access to the bonds market are able to protect themselves better from the changes in the inflation rate – although at the cost of a distortion in their consumption path. As a consequence, they may decrease their inflation tax burden – which would increase for the other group of households. By the other side, when these agents that lack the access to the asset markets are credit constrained, they may welcome the program, since the government Is temporally reducing the inflation tax they have to pay. The temporary program could end up benefiting both groups, what could help to understand their popularity.