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

"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."

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2011

Author dc:creator

• Drummond, Paulo Flavio Nacif

Contributors dc:contributor

• Baer, Werner W.

• Economics, Finance

Statement dc:rights

• Copyright 1993 Drummond, Paulo Flavio Nacif

Language dc:language

eng

Identifier

AAI9411605
(UMI)AAI9411605

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/19449