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Efeitos da taxa de câmbio na poupança interna : análise teórica e evidências empíricas para o caso brasileiro

Gala, Paulo Sérgio de Oliveira Simões; Araújo, Eliane; Pereira, Luiz Carlos Bresser
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
56.03%
Este trabalho tem como principal objetivo investigar as relações entre nível da taxa de câmbio real, poupança externa e poupança doméstica no Brasil. Dentro do modelo aqui explorado, casos de sobrevalorização excessiva do câmbio real levam à redução de margens de lucro nos setores de produção de bens comercializáveis, resultando numa queda importante no nível de poupança agregada doméstica, bem como na substituição da poupança doméstica pela poupança externa. A análise econométrica realizada para a economia brasileira indica que há uma relação estável de longo prazo entre taxa de câmbio e poupança interna, e que desvalorizações relativas da taxa de câmbio real têm impactos positivos e significantes sobre a poupança doméstica no período estudado. Além disso, os resultados das estimativas confirmam a existência de substituição de poupança doméstica por poupança externa; This paper provides theoretical and empirical elements to analyze the relation between real exchange rates and domestic savings. We show from a theoretical perspective how a competitive exchange rate may stimulate domestic savings by avoiding consumption booms based on currency overvaluation and by increasing profits in the tradable sector. Our baseline model shows from a short run perspective how a competitive exchange rate may stimulate investment...

Regimes cambiais em paises emergentes : a experiencia brasileira recente (1994-2006); Exchange rate regimes in emerging countries : brazilian recent experience (1994-2006)

Bruno Martarello de Conti
Fonte: Biblioteca Digital da Unicamp Publicador: Biblioteca Digital da Unicamp
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 11/04/2007 Português
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As profundas mudanças verificadas na economia internacional desde o fim do sistema de Bretton Woods criaram um ambiente de maior complexidade, no qual as oportunidades oferecidas aos países que se inserem na lógica da globalização financeira vêm, geralmente, acompanhadas de grandes perigos. Se, por um lado, a emergência do euromercado, o desenvolvimento das finanças diretas e a liberalização financeira aumentaram a mobilidade do capital e o seu potencial de valorização, de outro, os riscos latentes também se elevaram, sobretudo em função da instabilidade sistêmica que caracteriza esta etapa do desenvolvimento capitalista. Este novo contexto se traduz num quadro de grande volatilidade das principais variáveis macroeconômicas nos países periféricos tidos como emergentes ? isto é, aqueles que de alguma maneira fizeram sua inserção na globalização financeira. Tal fato ocorre justamente em razão dos fluxos de capitais que se direcionam a esses países serem muito mais instáveis do que nos países centrais. As variáveis presentes no balanço de pagamentos parecem estar crescentemente subordinadas à mobilidade do capital internacional. Se antes a questão da estabilidade do câmbio era um atributo do próprio modo de operar do sistema monetário internacional...

What Happens When Countries Peg Their Exchange Rates? (The Real Side of Monetary Reforms)

Rebelo, Sergio
Fonte: University of Rochester. Rochester Center for Economic Research. Publicador: University of Rochester. Rochester Center for Economic Research.
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
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Also published as NBER Working Paper #6168 (1997); CEPR Discussion Paper #1692 (1997).; Many countries have adopted a fixed exchange regime in the context of a macroeconomic adjustment program in the hope of rapidly reducing their rate of inflation. Following the peg these economies tend to experience an increase in GDP, a large expansion of production in the non-tradable sector, a contraction in tradables production, a current account deterioration, an increase in the real wage, and a sharp appreciation in the relative price of non-tradables. There is a large literature that discusses the effects of the disinflation that follows the peg. This paper discusses a complementary channel of effects, associated with changes in the expected behavior of fiscal policy. A fixed exchange rate regime tends to be associated with an improvement, from the standpoint of the private sector, in the expected path of fiscal variables. Fiscal restraint is necessary to avoid speculative attacks against the currency, debt management has to be more careful, seignorage can no longer be used to finance increases in government spending before elections, and the more transparent costs of government activity provide an incentive to increase government efficiency. In a simple small open economy model these fiscal impulses can help explain many of the symptoms experienced by economies that peg their exchange rate. This suggests that the real side of monetary reforms may play an important role in shaping the effects of fixed exchange rate experiences.

Exchange Rate and Output Fluctuations in the Small Open Economy of Mauritius

Bastos, Fabiano; Angelo Divino, Jose
Fonte: Banco Mundial Publicador: Banco Mundial
Português
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The authors estimate a VAR and compute generalized impulse response to analyze the joint dynamics of four key macroeconomic variables in the small open economy of Mauritius. Results suggest that nominal exchange rate and interest rate have limited ability to impact output growth over the medium-run. Large error bands hinder analysis of the inflation output trade-off, but evidence points to a weak relationship in the short run as well. These findings are used to shed some light into the policy response to the current worldwide economic slowdown affecting Mauritius.

Regime-Switching in Exchange Rate Policy and Balance Sheet Effects

Fiess, Norbert; Shankar, Rashmi
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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The authors apply regime-switching methods to a monetarist model of exchange rates and identify well-defined intervention policy cycles. The policy response indices include a standard exchange market pressure-based index and a model-based volatility ratio that is endogenized relative to Japan, assumed to be a "benchmark" floater. The authors find strong evidence that balance sheet effects, proxied by the stock ratio of external liabilities to assets, and economic performance, as measured by GDP and stock market indices, determine the cost of the regime shift. They use a panel of quarterly data from 1985 to 2004 for a sample of 15 countries, mostly in East Asia and Latin America.

How Interest Rates Changed under Financial Liberalization : A Cross-Country Review

Honohan, Patrick
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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Financial liberalization was expected to make interest rates, and asset prices more volatile, with distributional consequences, such as reduced, or relocated rents, and increased competition in financial services. The author examines available data on money market, and bank interest rates for evidence of whether these things happened. He shows that as more and more countries liberalized, the level and dynamic behavior of developing-country interest rates converged to industrial-country norms. In the short term, volatility increased in both real, and nominal money market interest rates. Treasury bill rates, and bank spreads, evidently the most repressed, showed the greatest increase as liberalization progressed - shifting substantial rents from the public sector, and from favored borrowers. Whereas quoted bank spreads in industrial countries contracted somewhat in the late 1990s, spreads in developing countries remained much higher, presumably reflecting both market power, and the higher risks of lending in the developing world. There was no clear-cut change in mean rates of inflation...

Preferences, Purchasing Power Parity, and Inequality

Majumder, Amita; Ray, Ranjan; Santra, Sattwik
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Trabalho em Andamento
Português
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This paper makes analytical, methodological and empirical contributions to the literature on purchasing power parity. Purchasing power parities are required in a host of cross-country welfare comparisons, such as poverty rates and gross domestic product. The subject has recently generated much interest in the wake of the release of the final results of the 2011 International Comparison Program. This paper introduces a preference-based analytical framework that departs from the conventional Balassa-Samuelson framework in deriving empirically verifiable propositions on the link between purchasing power parity and exchange rates, and between purchasing power parity and inequality. The paper also provides an alternative methodology for calculating purchasing power parities that are benchmarked against the 2011 International Comparison Program purchasing power parities. As this study shows, the alternative methodology is capable of easy implementation on readily available data sets. The benchmarking exercise suggests that the 2011 International Comparison Program generally understates purchasing power parity and overstates gross domestic product...

Oil Price Shocks and Exchange Rate Management: The Implications of Consumer Durables for the Small Open Economy

Plante, Michael
Fonte: Center for Applied Economics and Policy Research Publicador: Center for Applied Economics and Policy Research
Tipo: Trabalho em Andamento Formato: 698571 bytes; application/pdf
Português
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This paper has been revised. The revised version is at http://hdl.handle.net/2022/3119; This paper examines exchange rate management issues when a small open economy is hit by an exogenous oil price shock. In this model consumer durables play an important role in the demand for oil and oil based products as opposed to the traditional role of oil as a factor of production. When prices are sticky, oil price shocks lead to reduced output, lower inflation, and real exchange rate deprecation. These recessionary effects occur whether or not oil is in the production function because of the close relationship between consumer durables and oil. Tentative results suggest that flexible exchange rates produce smaller output losses and less volatile inflation in the non-tradables sector than fixed exchange rates but at the cost of front-loading real exchange rate movements.

Oil Price Shocks and Exchange Rate Management: The Implications of Consumer Durables for the Small Open Economy

Plante, Michael
Fonte: Center for Applied Economics and Policy Research Publicador: Center for Applied Economics and Policy Research
Tipo: Trabalho em Andamento Formato: 698435 bytes; application/pdf
Português
Relevância na Pesquisa
55.97%
Revised version of http://hdl.handle.net/2022/3118; This paper examines exchange rate management issues when a small open economy is hit by an exogenous oil price shock. In this model consumer durables play an important role in the demand for oil and oil based products as opposed to the traditional role of oil as a factor of production. When prices are sticky, oil price shocks lead to reduced output, lower inflation, and real exchange rate deprecation. These recessionary effects occur whether or not oil is in the production function because of the close relationship between consumer durables and oil. Tentative results suggest that flexible exchange rates produce smaller output losses and less volatile inflation in the non-tradables sector than fixed exchange rates but at the cost of front-loading real exchange rate movements.

Myanmar Economic Monitor, Octoer 2015

World Bank Group
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Report; Economic & Sector Work :: Economic Updates and Modeling; Economic & Sector Work
Português
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The Myanmar Economic Monitor (MEM) aims to periodically take stock of economic development and highlight economic prospects and policy priorities in Myanmar. Myanmar grew at an estimated 8.5 percent in real terms in 2014/15. The MEM touches on continued recovery in growth, public consumption, private investment, services, investment in manufacturing and industry, rebound in agriculture and the impact of floods. The monitor examines foreign trade and investment; the inflation, monetary and exchange rates; fiscal policy; and Myanmar’s economic outlook. The Policy Watch section covers a few selected priority issues closely related to Myanmar’s overall economic developments and outlook.

Trade and Foreign Exchange Policies in Iran : Reform Agenda, Economic Implications and Impact on the Poor

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Português
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Iran's economic performance in the last two decades has been very disappointing. This is highlighted by the fact that per capita GDP was 16 percent lower in 1998 than in 1979. However, the most important single reason for this poor performance was not any domestic economic policy, but the long and costly war with Iraq. Fluctuations in oil prices and the US embargo also adversely affected the economy. Once the war with Iraq had finished, economic performance began to improve slowly; in the decede ending in 1998 per capita GDP growth was positive, although it averaged only 3 percent per year. Although less important than the war with Iraq, Iran's domestic economic policies have not been conducive to rapid economic growth. Economic performance has been and still is hampered by administered prices; large, poorly targeted subsidies; multiple exchange rates (Which remain important, despite recent progress in reducing disparities among them); trade restrictions; and state domination of economic activity. All banks in Iran are sdtate owned...

Monetary Policy under Flexible Exchange Rates : An Introduction to Inflation Targeting

Agenor, Pierre-Richard
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper
Português
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In the past few years, a number of central banks have adopted inflation targeting for monetary policy. The author provides an introduction to inflation targeting, with an emphasis on analytical issues, and the recent experience of middle- and high-income developing countries (which have relatively low inflation to begin with, and reasonably well-functioning financial markets). After presenting a formal analytical framework, the author discusses the basic requirements for inflation targeting, and how such a regime differs from money, and exchange rate targeting regimes. After discussing the operational framework for inflation targeting (including the price index to monitor the time horizon, the forecasting procedures, and the role of asset prices), he examines recent experiences with inflation targets, providing new evidence on the convexity of the Phillips curve for six developing countries. His conclusions: Inflation targeting is a flexible policy framework that allows a country's central bank to exercise some degree of discretion, without putting in jeopardy its main objective of maintaining stable prices. In middle- and high-income developing economies that can refrain from implicit exchange rate targeting, it can improve the design...

Natural Resource Abundance, Growth and Diversification in MENA : The Effects of Natural Resources and the Role of Policies

Diop, Ndiame; Marotta, Daniela; de Melo, Jaime
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Brief; Publications & Research
Português
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The Middle East and North Africa (MENA) region is one of the richest in the world in terms of natural resources. It holds more than 60 percent of the world's proven oil reserves, mostly located in the Gulf region, and nearly half of global gas reserves. Not surprisingly, oil represents close to 85 percent of the merchandise exports of the region, making it highly susceptible to fluctuations in international prices. A long strand of economic literature suggests that such dependence may hurt a country's growth prospects and job creation by reducing the scope for economic diversification. A forthcoming WB publication investigates how MENA can overcome this challenge and encourage greater economic diversification. The study examines the pattern of structural transformation in MENA and explores the role of natural resources and macroeconomic policies in driving the current (limited) diversification outcomes. The authors explore analytical questions, such as: (i) the impact of the real exchange rate on manufacturing and tradable services competitiveness in MENA; (ii) the role of fiscal policy in supporting diversification; (iii) how 'weak links' (input sectors with low productivity) play a critical role in explaining the concentration of economic activities...

Currency Undervaluation and Sovereign Wealth Funds : A New Role for the World Trade Organization

Mattoo, Aaditya; Subramanian, Arvind
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
56.06%
Two aspects of global imbalances - undervalued exchange rates and sovereign wealth funds - require a multilateral response. For reasons of inadequate leverage and eroding legitimacy, the International Monetary Fund has not been effective in dealing with undervalued exchange rates. This paper proposes new rules in the World Trade Organization to discipline cases of significant undervaluation that are clearly attributable to government action. The rationale for WTO involvement is that there are large trade consequences of undervalued exchange rates, which act as both import tariffs and export subsidies, and that the WTO's enforcement mechanism is credible and effective. The World Trade Organization would not be involved in exchange rate management, and would not displace the International Monetary Fund. Rather, the authors suggest ways to harness the comparative advantage of the two institutions, with the International Monetary Fund providing the essential technical expertise in the World Trade Organization's enforcement process. There is a bargain to be struck between countries with sovereign wealth funds...

Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR

Marçal, Emerson Fernandes; Zimmermann, Beatrice; Mendonça, Diogo de Prince; Merlin, Giovanni Tondin
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Relatório
Português
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Exchange rates are important macroeconomic prices and changes in these rates a ect economic activity, prices, interest rates, and trade ows. 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 the global vector autoregressions model (GVAR) proposed by Pesaran and co-authors can add relevant information to the literature on measuring exchange rate misalignment. Our empirical exercise suggests that the estimate exchange rate misalignment obtained from GVAR can be quite di erent to that using the traditional cointegrated time series techniques, which treat countries as detached entities. The di erences between the two approaches are more pronounced for small and developing countries. Our results also suggest a strong interdependence among eurozone countries, as expected

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

Marçal, Emerson Fernandes; Zimmermann, Beatrice; Mendonça, Diogo de Prince; Merlin, Giovanni Tondin
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Relatório
Português
Relevância na Pesquisa
56.01%
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

A política cambial brasileira : taxas de juros e de câmbio na vigência do Plano Real

Toffoli, Pedro Edmundo
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Dissertação Formato: application/pdf
Português
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Até o ano de 1964, o Brasil enfrentou sérias adversidades no campo econômico, não só pela ausência de tradição exportadora e cultural mas, também, pelas limitações da estrutura operacional do mercado de câmbio. Com o advento da Lei 4595, de 31.12.64, extingue-se a Sumoc, cria-se o Banco Central, estabelecem-se condições para o Banco do Brasil impulsionar as suas atividades comerciais e normatiza-se o funcionamento do mercado de capitais, circunstância que acenava como sinal dos novos tempos.De lá para cá, o país, a acompanhar a torrente dos tempos modernos, organizou o sistema financeiro nacional e empreendeu forte escalada na área internacional. A criação de agências bancárias no exterior estimulou o aprendizado de novos conhecimentos e a aquisição de técnicas operacionais sofisticadas, igualando-nos, no particular, às nações mais desenvolvidas do mundo. Tais aspectos são destacados no presente trabalho, inicialmente, por meio de uma abordagem do mercado de câmbio brasileiro, sua estrutura em termos organizacionais e o seu funcionamento em termos operacionais. De outra parte, ao relatarmos, de forma retrospectiva, a política cambial brasileira, desde a Segunda Guerra Mundial aos dias de hoje, enfatizamos as inúmeras tentativas de acerto na condução das políticas monetária e cambial...

Are there non-linearities in us: Latin American real exchange behavior

Holmes, Mark J.
Fonte: Universidad de Chile. Facultad de Economía y Negocios Publicador: Universidad de Chile. Facultad de Economía y Negocios
Tipo: Artículo de revista
Português
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This study tests for non-linearities in the behavior of US dollar real exchange rates of thirteen Latin American countries. For this purpose, logistic and exponential smooth transition regression models are applied to quarterly data over the sample period 1973Q2-2001Q1. There is evidence of non-linearities in the behavior of seven real exchange rates where, in most of these cases, nonlinearities are captured by the logistic smooth transition autoregressive model. The extent of non-linearities varies across Latin American countries with Colombia and Venezuela exhibiting the sharpest transition between regimes of low and high real exchange rates.

The structural approach of a natrex model on equilibrium exchange rates

Marín Martínez, Carmen
Fonte: Universidade Autônoma de Barcelona Publicador: Universidade Autônoma de Barcelona
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em //2006 Português
Relevância na Pesquisa
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Following a general macroeconomic approach, this paper sets a closed micro-founded structural model to determine the long run real exchange rate of a developed economy. In particular, the analysis follows the structure of a Natrex model. The main contribution of this research paper is the development of a solid theoretical framework that analyse in depth the basis of the real exchange rate and the details of the equilibrium dynamics after any shock influencing the steady state. In our case, the intertemporal factors derived from the stock-flow relationship will be particularly determinant. The main results of the paper can be summarised as follows. In first place, a complete well-integrated structural model for long-run real exchange rate determination is developed from first principles. Moreover, within the concrete dynamics of the model, it is found that some convergence restrictions will be necessary. On one hand, for the medium run convergence the sensitivity of the trade balance to changes in real exchange rate should be higher that the correspondent one to the investment decisions. On the other hand, and regarding long-run convergence, it is also necessary both that there exists a negative relationship between investment and capital stock accumulation and that the global saving of the economy depends positively on net foreign debt accumulation. In addition...

Growth, exchange rates and trade in Brazil: a structuralist post Keynesian approach; Growth, exchange rates and trade in Brazil: a structuralist post Keynesian approach

Barbosa Filho, Nelson H.
Fonte: Nova Economia; Nova Economia Publicador: Nova Economia; Nova Economia
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Formato: application/pdf
Publicado em 01/06/2009 Português
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Este artigo apresenta uma análise estruturalista e pós-keynesiana de ajustes comerciais no Brasil. Baseado no conceito de restrição do balanço de pagamentos (BoP) sobre o crescimento, o artigo investiga qual é a relação entre crescimento do PIB e desvalorização da taxa real de câmbio necessária para a obtenção de um ajuste comercial determinado pela restrição externa. O resultado principal é que, com importações preço-inelásticas e renda-elásticas e baseado em sua estrutura comercial em 2002, o Brasil pode ter que compensar 1% a mais de crescimento com aproximadamente 7% a mais de desvalorização cambial para manter seu saldo comercial estável em termos do PIB no futuro próximo. Além disso, os parâmetros do comércio do Brasil parecem desfavoráveis ao crescimento com estabilidade comercial, isto é, mesmo com crescimento moderado da renda, há um crescimento substancial das importações e, consequentemente, é necessária uma desvalorização também substancial da taxa real de câmbio para evitar uma deterioração do saldo comercial.; This paper presents a structuralist post-Keynesian analysis of trade adjustment in Brazil. Based on the concept of the balance-of-payments (BoP) constraint on growth, the paper investigates the relationship between income growth and real-exchange-rate devaluation necessary to adjust trade to a foreign-exchange constraint. The main result is that...