EXCHANGE RATE DYNAMICS IN BRAZIL

The paper aims to investigate on empirical and theoretical grounds the Brazilian exchange rate dynamics under floating exchange rates. The empirical analysis examines the short and long run behavior of exchange rate, interest rate (domestic and foreign) and country risk using econometric techniques such as variance decomposition, Granger causality, cointegration tests, error correction models, and a GARCH model to estimate the exchange rate volatility. The empirical findings suggest that one can argue in favor of a certain degree of endogeneity of the exchange rate and that flexible rates have not been able to insulate the Brazilian economy in the same patterns predicted by the literature due to its own specificities (managed floating with the use of international reserves and domestic interest rates set according to inflation target) and to externally determined variables such as the country risk. Another important outcome is the lack of a closer association of domestic and foreign interest rates since the new exchange regime has been adopted. That is, from January 1999 to May 2004, the US monetary policy has no significant impact on the Brazilian exchange rate dynamics, which has been essentially endogenous primarily when we consider the fiscal dominance expressed by the probability of default.

Exchange rate dynamics in Brazil

The paper aims to investigate on empirical and theoretical grounds the Brazilian exchange rate dynamics under floatingexchange rates. The empirical analysis examines the short and long term behavior of the exchange rate, interest rate(domestic and foreign) and country risk using econometric techniques such as variance decomposition, Grangercausality, cointegration tests, error correction models, and a GARCH model to estimate the exchange rate volatility. Theempirical findings suggest that one can argue in favor of a certain degree of endogeneity of the exchange rate and thatflexible rates have not been able to insulate the Brazilian economy in the same patterns predicted by literature due to itsown specificities (managed floating with the use of international reserves and domestic interest rates set according toinflation target) and to externally determined variables such as the country risk. Another important outcome is the lackof a closer association of domestic and foreign interest rates since the new exchange regime has been adopted. That is,from January 1999 to May 2004, the US monetary policy has no significant impact on the Brazilian exchange ratedynamics, which has been essentially endogenous primarily when we consider the fiscal dominance expressed by theprobability of default.

An investigation on the role of institutions for income and growth models

O presente trabalho examina o papel das instituições em modelos de renda per capita (corte transversal) e de crescimento (painel). Os resultados das estimações de corte transversal sugerem que há alguma evidência quanto ao papel das instituições dado que os coeficientes estimados são positivos e estatisticamente significativos, mas existem evidências de que os instrumentos utilizados são fracos. Os resultados para os modelos de crescimento sugerem que há poucas evidências quanto arelevância das instituições para estimular o crescimento. Sumarizando, não há indicação de um consenso empírico capaz de sustentar o argumento do papel primordial das instituições, ou seja, de que instituições causem crescimento ou diferenças nos níveis de renda.This work evaluates the role of institutions on per capita income levels (cross-section) and growth models (panel data). The cross-section results suggest that there is some evidence regarding the role of institutions since all the estimated coefficients are positive and statistically significant but there is evidence of weak instruments. The results from the panel growth models suggest that there is scarce evidence for the role of institutions in fostering long-run growth. In one word, there is no indication of an empirical consensus to claim that institutions have a primary role, meaning that institutions cause growth and difference in income levels

ENDIVIDAMENTO PÚBLICO E IMPACTOS SOBRE FLUXOS DE CAPITAIS, RISCO-PAÍS E DIFERENCIAL DE JUROS NO BRASIL (1995-2002): MODELO VAR E TESTES DE CAUSALIDADE

The paper estimates a vector autoregressive (VAR) model for the Brazilian economy during the period of Jan-1995 to Oct-2002, including country-risk, interest rate differential, public indebtedness (domestic and external), and capital flows (FDI and Portfolio). The empirical results suggest that country-risk and interest rate differential can explain around 30% of the public debt variance, even though the public indebtedness is not relevant to understand changes all the other three variables of the model (country-risk, interest rate differential and capital flows). Similarly, the impulse-response analysis reveals that shocks in the variable public debt do not have long lasting and significant effects in any of the other variables. Finally the causality tests suggest the existence of a Granger causality from country-risk to public indebtedness, but not the other way round. Other than this, there is no evidence of causality in both directions for changes indebtedness and capital flows.O trabalho estima um modelo de vetores auto-regressivos (VAR) para a economia brasileira no período de janeiro-1995 a outubro-2002, incluindo rísco-país, diferencial de juros, endividamento público e fluxos de capitais (IDE e Portfólio). Os resultados empíricos sugerem que o risco-país e o diferencial de juros respondem por algo em tomo de 30% da variância no endividamento público, embora este não seja relevante para se entender alterações no risco-país, no diferencial de juros e no fluxo de capital. Similarmente, os resultados das análises das funções impulso-resposta revelam que choques no endividamento público não possuem efeitos significativos e duradouros sobre as demais variáveis do modelo. Finalmente, os testes de causalidade indicam causalidade do risco para o endividamento público, e não no sentido inverso, e a não-causalidade em ambos os sentidos para alterações no endividamento público e fluxos de capitais

CRESCIMENTO ECONÔMICO DE LONGO PRAZO NA CHINA: UMA INVESTIGAÇÃO ECONOMÉTRICA

The main goal os this paper is to understand on theoretical and empirical grounds the main determinants of China´s long-run economic growth. The historical data analysis suggests a crucial role played by FDI and the exchange rate. The econometric analysis provides empirical support for the primary role played by the exchange rate in explaining China´s economic growth (1970 to 2003) followed by FDI, investment rate and trade opennesss. Exchange rate policy and regime seems to be a direct road to explain (past and future) economic growth in China and the conditions for increasing exchange rate flexibility, an almost sure path for the near future.

Determinantes das exportações de países selecionados da América Latina (Brasil, Argentina e México): modelos NARDL

O estudo desenvolve uma investigação empírica sobre os determinantes das exportações de três países selecionados da América Latina – Brasil, Argentina e México – no período entre o 1º trimestre de 1997 ao 4º trimestre de 2018. Foram estimados Modelos não-lineares Autoregressivos com Defasagens Distribuídas (NARDL). A metodologia econométrica permite o diagnóstico da existência de cointegração e do ajustamento no curto prazo através do Modelo de Correção de Erros (ECM). Como principais resultados alcançados por meio da análise empírica das relações de longo prazo dos modelos NARDL é possível afirmar que aumento (redução) da volatilidade cambial está associada a redução (aumento) das exportações. Por outro lado, a melhora dos termos de troca beneficia as exportações dos países Brasil, Argentina e México. Também é possível afirmar que apreciações cambiais impactam negativamente as exportações, principalmente do México e Argentina. Por fim, os resultados do modelo de correção de erros indicam que as exportações do Brasil (52%) apresentam maior velocidade de ajustamento ao equilíbrio de longo prazo diante de choques de curto prazo. A Argentina, por outro lado, apresentou a menor (40%) velocidade de ajustamento