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Title:Financial innovations, inflation and the futures market for foreign exchange in Brazil
Author(s):Drummond, Paulo Flavio Nacif
Doctoral Committee Chair(s):Baer, Werner W.
Department / Program:Economics
Degree Granting Institution:University of Illinois at Urbana-Champaign
Subject(s):Economics, Finance
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.
Issue Date:1993
Rights Information:Copyright 1993 Drummond, Paulo Flavio Nacif
Date Available in IDEALS:2011-05-07
Identifier in Online Catalog:AAI9411605
OCLC Identifier:(UMI)AAI9411605

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