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Financial innovations, inflation and the futures market for foreign exchange in Brazil
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http://hdl.handle.net/2142/19449
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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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Graduate Theses and Dissertations at Illinois
Graduate Theses and Dissertations at Illinois -
Dissertations and Theses - Economics
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