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Financial innovations, inflation and the futures market for foreign exchange in Brazil

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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
Discipline: Economics
Degree Granting Institution: University of Illinois at Urbana-Champaign
Degree: Ph.D.
Genre: Dissertation
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
Type: Text
Language: English
URI: http://hdl.handle.net/2142/19449
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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