Financial innovations, inflation and the futures market for foreign exchange in Brazil
Drummond, Paulo Flavio Nacif
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https://hdl.handle.net/2142/19449
Description
Title
Financial innovations, inflation and the futures market for foreign exchange in Brazil
Author(s)
Drummond, Paulo Flavio Nacif
Issue Date
1993
Doctoral Committee Chair(s)
Baer, Werner W.
Department of Study
Economics
Discipline
Economics
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Economics, Finance
Language
eng
Abstract
"The dissertation consists of three essays. The first one is an econometric essay on inflation stabilization in Brazil during a period of successive unsuccessful stabilization attempts. The impact on relative prices and the desirability of income policies to fight inflation are addressed. A transfer function model is estimated and causality tests are performed. The failure of stabilization attempts has induced a process of financial liberalization and the discussion of alternative measures to achieve stability. The internationalization of the economy with significative financial liberalization has become a major policy issue and the second essay addresses the important question of the desirability of introducing foreign currency in the banking system in Brazil. A theoretical model is discussed. The third essay investigates the behavior of prices in one of the markets that is a result of this financial liberalization process, the futures market for foreign exchange. Efficiency tests and a discussion of unconditional and conditional biases is provided, a Kalman filter model is estimated and a ""peso-problem"" is identified followed by a discussion of the lack of ergodicity in the data."
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