Diferencial de juros e taxa de câmbio: um estudo empírico sobre o Brasil pós-plano real

Esta dissertação procura examinar a relação entre taxas de juros e os movimentos da taxa de câmbio, a partir da paridade descoberta de juros (PDJ). Foi utilizado o procedimento pressupondo expectativas racionais e foi testada a validade da PDJ com dados da economia brasileira desde o Plano Real (julho de 1994) até agosto de 2006. Encontramos evidências que levam à rejeição da PDJ no longo prazo. Além disso, foi examinada a validade da PDJ sem a necessidade de utilizar a hipótese de expectativas racionais, foram utilizadas as previsões de câmbio dos analistas financeiros, publicadas no Boletim Focus de novembro de 2001 a novembro de 2006. Também encontramos evidências que levam à rejeição da PDJ no Brasil.

Análise do mecanismo de transmissão dos preços internacionais de commodities agrícolas sobre o comportamento da taxa de câmbio real no Brasil

This paper examined the transmission mechanism of international prices of agricultural commodities into the real exchange rate in Brazil for the period from January 2000 to February 2010. We used time series models (ARIMA Model, Transfer Model, Intervention Analysis, Johansen Cointegration Test) in determination of the short and long run elasticities. Transfer Function Model results show that changes in international prices of agricultural commodities are transmitted to the real exchange rate in Brazil in the short run, however, that transmission is less than unity, thus configuring the inelastic relationship. Johansen cointegration tests show that these variables are not co-integrated, no longer converge to the long-run equilibrium. These results are in agreement Cashim et al. (2004), which also found no long run relationship between real exchange rate and commodity prices in the case of Brazil. These results show that monetary shocks have greater weight on changes of the real exchange rate than real shocks.

Câmbio real do Brasil : determinantes de longo prazo: evidências a partir de testes não paramétricos de cointegração e de tendência não linear comum

O trabalho procura investigar a existência de relação de cointegração entre a Taxa de Câmbio Real (CRER), Passivo Externo Líquido (PEL), Termos de Troca (TOT) e um fator de produtividade (BS), utilizando um teste não paramétrico proposto por Bierens (1997), aplicado a uma amostra de dados para EUA e Brasil que cobre o período de 1980 a 2010. Para os EUA, é encontrada evidência da influência das variáveis elencadas. No caso brasileiro verifica-se pouca relevância da variável BS, sendo as demais variáveis presentes no vetor de cointegração.

Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options

Building Risk-Neutral Densities (RND) from options data can provide market-implied expectations about the future behavior of a financial variable. And market expectations on financial variables may influence macroeconomic policy decisions. It can be useful also for corporate and financial institutions decision making. This paper uses the Liu et all (2007) approach to estimate the option-implied Risk-neutral densities from the Brazilian Real/US Dollar exchange rate distribution. We then compare the RND with actual exchange rates, on a monthly basis, in order to estimate the relative risk-aversion of investors and also obtain a Real-world density for the exchange rate. We are the first to calculate relative risk-aversion and the option-implied Real World Density for an emerging market currency. Our empirical application uses a sample of Brazilian Real/US Dollar options traded at BM&F-Bovespa from 1999 to 2011. The RND is estimated using a Mixture of Two Log-Normals distribution and then the real-world density is obtained by means of the Liu et al. (2007) parametric risktransformations. The relative risk aversion is calculated for the full sample. Our estimated value of the relative risk aversion parameter is around 2.7, which is in line with other articles that have estimated this parameter for the Brazilian Economy, such as Araújo (2005) and Issler and Piqueira (2000). Our out-of-sample evaluation results showed that the RND has some ability to forecast the Brazilian Real exchange rate. Abe et all (2007) found also mixed results in the out-of-sample analysis of the RND forecast ability for exchange rate options. However, when we incorporate the risk aversion into RND in order to obtain a Real-world density, the out-of-sample performance improves substantially, with satisfactory results in both Kolmogorov and Berkowitz tests. Therefore, we would suggest not using the “pure” RND, but rather taking into account risk aversion in order to forecast the Brazilian Real exchange rate.

Determinantes da apreciação da taxa de câmbio real brasileira nos anos 2000

A forte apreciação cambial que o Brasil sofreu na última década se traduziu em um novo debate acerca da hipótese de Doença Holandesa no país. Como a queda da taxa de câmbio real ocorreu em um período de alta de preços de commodities e nos últimos anos, especialmente após a crise de 2008, vimos uma maior concentração da pauta exportadora em produtos primários, muitos economistas argumentam que a apreciação foi consequência do boom de commodities e que, em razão disso, o Brasil poderia estar sofrendo da Doença Holandesa. Este trabalho mostra que o boom de commodities não foi a principal causa da apreciação da taxa de câmbio real e não representou uma maior dependência destas mercadorias. A mudança do perfil de risco da economia brasileira foi um dos fatores mais importante para a queda da taxa de câmbio. Concluímos, portanto, que a recente perda de competitividade dos demais setores exportadores não pode ser atribuída exclusivamente à valorização das commodities.

Debt management in Brazil: evaluation of the Real Plan and challenges ahead

The Brazilian domestic debt has posed two challenges to policy-makers: it has grown very fast and its maturity is extremely short. This has prompted fears that a default or a compulsory lengthening scheme would be imposed. Here, we analyse the domestic public debt management experience in Brazil, searching for policy prescriptions for the next few years. After briefiy reviewing the recent domestic public debt history, we decompose the large rise in federal bonded debt during 1995-2000, searching for its macroeconomic causes. The main culprits are the extremely high interest payments-which, unti11998, were caused by the weak fiscal stance and the quasi-fixed exchange-rate regime; and since 1999, by the impact ofthe currency depreciation On the dollar-indexed and the externai debt-, and the accumulation of assets of doubtful value, much of which may have to be written off in the future. Simulation exercises of the net debt path for the near future underscore the importance of a tighter fiscal stance to prevent the debt-GDP ratio from growing further. Given the need to quickly lengthen the debt maturity, our main policy advice is to foster, and rely more on, infiation-linked bonds.

Does mixed frequency vector error correction model add relevant information to exchange misalignment calculus? Evidence for United States

Real exchange rate is an important macroeconomic price in the economy and a ects economic activity, interest rates, domestic prices, trade and investiments ows among other variables. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real e ective exchange is overvalued or undervalued. There is a vast body of literature on the determinants of long-term real exchange rates and on empirical strategies to implement the equilibrium norms obtained from theoretical models. This study seeks to contribute to this literature by showing that it is possible to calculate the misalignment from a mixed ointegrated vector error correction framework. An empirical exercise using United States' real exchange rate data is performed. The results suggest that the model with mixed frequency data is preferred to the models with same frequency variables

The Real Plan: Stabilization and destabilization

The paper analyzes Brazil's Real Plan, an exchange-rate based stabilization program, implemented in 1994, which mixed a spectacular price stabilization with some serious macroeconomic destabilization. The paper focuses on two of these imbalances: the consumption boom and the financial destabilization; showing that the former represented nothing the reverse side of a collapsed investment boom, which, in turn, led to the financial (banking) crisis. We hold that these instabilities were produced by a policy arrangement in which monetary and fiscal policies alone had to compensate for a largely appreciated, almost fixed, exchange rate anchor. (C) 2000 Elsevier Science Ltd. All rights reserved.

The fiscal impact of trade liberalization and commodity price fluctuation: the case of Costa Rica, 1980-1998

Includes bibliography

Macroprudential policy: an institutionalist interpretation

One of the consequences of the recent international economic crisis has been the demand for new economic policy tools, to add to the well-established monetary, exchange-rate, and fiscal policy mechanisms. In particular, more effective ways are needed to regulate the financial system and prevent the emergence of imbalances that affect the real economy. In that context, macroprudential policy has been singled out as another economic-type public policy which could help maintain financial stability. Nonetheless, the discussions and development of the literature on this topic are founded on pragmatic considerations that are not directly related to the orthodox or heterodox schools of economic thought. So the aim of this article is to provide an institutionalist reading of macroprudential policy, to understand it in terms of the theoretical content of institutional approaches.

Plano real e a nova realidade brasileira

This paper analyzes the Real Plan and its effects on two administrations of President Fernando Henrique Cardoso (FHC), a period which extends from 1995 to 2002. To this end, the study includes a brief review of the problems faced by previous plans, especially the Cruzado Plan and the reasons for the belief that it has been successfull in relation to inflation control. Additionally, seeking to describe the process of moving to the new currency towards stabilization, the paper describes the theoretical foundations of the Plan. In sequence, it defines the backround of both international and domestic monetary reform which was one important part of the Plan and therefore the reasons for the implementation of the monetary reform. Subsequently the paper deals with the effects of the Plan on the economy as a whole, covering also the way the economic measures were taken concerning the Mexican and Asian crisis, the policies used fot the exchange rate, interest rate, fiscal accounts, balance of payments, among other factors and the relationship between them. Hence, it describes the immediate and the long-term consequences of stabilization program in terms of output, employment, public deficit and debt. Therefore, it is important to note the various junctures to which the economy was exposed, and also to point out the challenges and obstacles arising from these changes for growth, which was sometimes fast, sometimes slowing down - the so-called stop and go. Of course, facts as the moving to floating exchange rate regime, the adoption of inflation targeting regime and the adoption of fiscal responsibility law along with the primary surplus policy were able to create a new economic environment and to contribute to later success of the Cardoso years

Bilateral exchange rates and jobs

We study the labor market effects of realignment in fixed bilateral exchange rates, such as China's peg to the US dollar. We employ the open economy model by de Melo and Robinson to identify the core parameters of the real, trade side of the economy driving the unemployment effects of bilateral exchange rate realignment. A small open economy version of the model is explored analytically and a large multicountry version numerically. Analytics in the small open economy model show that unemployment effects of adjusting of a bilateral peg hinge on the fraction exported to and imported from the trading partner. A larger fraction exported to and a smaller fraction imported from the trading partner make it more likely that revaluation of a trading partner's currency has beneficial effects. Numerics in the large economy model show that Chinese revaluation can generate both positive and negative unemployment effects depending upon underlying parameter values. Adverse unemployment effects can go along with an improving trade balance.

Impacts of foreign exchange auctions on the informal market rate in Myanmar

Since the abolition of the official peg and the introduction of a managed float in April 2012, the Central Bank of Myanmar has operated the daily two–way auctions of foreign exchange aimed at smoothing exchange rate fluctuations. Despite the reforms to the foreign exchange regime, however, informal trading of foreign exchange remains pervasive. Using the daily informal exchange rate and Central Bank auction data, this study examines the impacts of auctions on the informal market rate. First, a VAR analysis indicates that the official rate did not Granger cause the informal rate. Second, GARCH models indicate that the auctions did not reduce the conditional variance of the informal rate returns. Overall, the auctions have only a quite modest impact on the informal exchange rate.

Inflation-Targeting, Flexible Exchange Rates and Macroeconomic Performance since the Great Recession. CEPS Working Document No. 394, March 2014

Has inflation targeting (IT) conferred benefits in terms of economic growth on countries that followed this particular monetary policy strategy during the crisis period 2007-12? This paper answers this question in the affirmative. Countries with an IT monetary regime with flexible exchange rates weathered the crisis much better than countries with other monetary regimes, predominantly countries with fixed exchange rates. Part of this difference in growth performance reflects differences in export performance during the initial years of the crisis, which in turn can be explained by real exchange rate depreciations. However, IT seems also to confer other benefits on the countries above and beyond the effects from currency depreciation.

Le role des politiques monétaires et la convergence macroeconomique sur le développement des systèmes financiers dans les pays du sud de la Méditerranée. = The role of monetary policies and macroeconomic convergence in the development of financial systems in south Mediterranean countries. MEDPRO Technical Report No. 12/April 2012

This MEDPRO Technical Report shows that the monetary and exchange rate policies conducted by central banks in the South Mediterranean region display apparent homogeneity in their operational frameworks, albeit with some specificities and differing degrees of advancement. While central banks state that price stability is their ultimate objective, failures to control interest rates as operational objectives of monetary policy result in monetary authorities resorting to quantitative approaches to monetary policy, meaning that monetary aggregates and credit targets are being used as intermediate targets of monetary policy. An econometric exercise limited to Maghreb countries (Algeria, Morocco, and Tunisia) has been conducted to analyse the potential scenarios of convergence and monetary policy coordination. Given the high structural heterogeneity and the slow pace of real convergence due to weak commercial integration in the Maghreb, results nevertheless show alternative dynamics in the integration of effective nominal exchange rates, as well as a complete convergence dynamic in exchange rate policies. Partial convergence of monetary policies regarding the stabilisation of inflation rates remains an open option for a transitional phase where financial integration is low.