Testing Nonlinearities Between Brazilian Exchange Rate and Inflation Volatilities

There are few studies directly addressing exchange rate and inflation volatilities, and lack of consensus among them. However, this kind of study is necessary, especially because they can help monetary authorities to know price behavior better. This article analyses the relation between exchange rate and inflation volatilities using a bivariate GARCH model, and therefore modeling conditional volatilities, fact largely unexplored by the literature. We find a semi-concave relation between those series, and this nonlinearity may explain their apparently disconnection under a floating exchange rate system. The article also shows that traditional tests, with non-conditional volatilities, are not robust.

EQUILIBRIUM MODELS OF TRADE EQUATIONS: A CRITICAL REVIEW

In this paper we review the theoretical literature on trade equation models, including the production theory approach. We discuss several empirical problems commonly found in the applied work and the available literature on Brazilian trade equations.Neste artigo, revisa-se a literatura teórica sobre equações de comércio exterior, inclusive o modelo de comércio baseado na teoria da produção. Discute-se vários problemas comumente encontrados em trabalhos empíricos e também a literatura existente sobre equações relativas ao comércio exterior brasileiro

Efficient Yield Curve Estimation and Forecasting in Brazil

Term Structure of the Interest Rate, Yield Curve, State-Space Model, Kalman Filter.

As políticas brasileiras de comércio exterior - 1947-88

In this article we present a critical survey of the Brazilian trade policy for the period 1947/1988. We show that there has been frequent changes in the central aim of this policy, ocilating between restrictive and liberal policies. We try to highlight that these changes can be characterized as regime changes. Therefore, estimates of the trade equations coefficients may be subjected to the Lucas critique.In this article we present a critical survey of the Brazilian trade policy for the period 1947/1988. We show that there has been frequent changes in the central aim of this policy, ocilating between restrictive and liberal policies. We try to highlight that these changes can be characterized as regime changes. Therefore, estimates of the trade equations coefficients may be subjected to the Lucas critique

Brazilian foreign trade : fixed and time varying parameter models

In this thesis we estimate and analyse several econometric models for the Brazilian trade equations. A major attention is given to the questions of stationarity and parameter instability. We test for the presence of unit roots by using the Dickey and Fuller, and Phillips and Perron tests and the Johansen procedure, and apply a error correction mechanism to the data. To investigate the question of parameter instability we use the Kalman filter in both classical and bayesian approaches and the switching regressions technique. These tests and estimations are performed using both annual and quarterly disaggregated data. We show that, in some cases, the trade equation coefficients are indeed time varying. The changes in the trade elasticities are then related to changes in the trade policy regime and to the industrial structure of the economy

Previsão de séries de tempo na presença de mudança estrutural: redes neurais artificials e modelos estruturais

The Brazilian price stabilisation policies and trade liberalisation measures of this decade have considerably increased the difficulty in generating accurate time series forecasts due to structural changes in the data generation processes. In this paper we provide an empirical evaluation of the forecasting performance of Artificial Neural Networks (ANN) and Structural Time Series models (STS) in the presence of structural change. We are basically interested in evaluating the capability of ANN and STS models in terms of both identifying that a structural change has happened and the speed of adjustment of the one step ahead forecasts after the change. We use both real and simulated time series in these exercises. The simulated series are generated from ARIMA processes with imposed structural changes in the mean and trend. On the other hand, we also use real time series data for the Brazilian inflation rate and total imports. The results for the one step ahead forecasts show that the ANN models present a marginally better perfomance than the STS in the periods just after the structural change