Coleção Insper Business and Economics Working Papers

URI permanente para esta coleçãohttps://repositorio.insper.edu.br/handle/11224/5740

Navegar

Filtros

2008 - 200942010 - 20125

Configurações

Autor: search.filters.author.Moura, Marcelo L.Idioma: search.filters.langiso.Inglês

Resultados da Pesquisa

Agora exibindo 1 - 9 de 9
  • N/D
    Working Paper
    Currency Wars in Action: How Foreign Exchange Interventions Work in an Emerging Economy
    (2012) Moura, Marcelo L.; Pereira, Fátima R.; Attuy, Guilherme de Moraes
    This paper investigates the impact of central bank interventions on the level and volatility of exchange rates. We explore the case of Brazil, the 7th largest economy in the world in 2012, which since 1999 has adopted a floating exchange rate. As Central Bank decisions to intervene in the exchange market are not independent of market conditions, we estimated a Central Bank reaction function using a logit model including market fundamentals and macroeconomic surprises as explanatory variables. We employed the nonparametric Propensity Score Matching (PSM) method to find counterfactual pairs of intervention and non-intervention days. This indicated that the effectiveness of foreign exchange interven tions depends on the period analyzed. For instance, from 1999 to 2003, with scarce and smaller interventions, the buying operations of U.S. Dollars depreciated the Brazilian Real whereas from 2004 to 2012, a period with larger and frequent interventions, only selling interventions were significant, and tended to increase the currency’s volatility.
  • N/D
    Working Paper
    Impact of macroeconomic surprises on the brazilian yield curve and expected inflation
    (2012) Moura, Marcelo L.; Gaião, Rafael Ladeira
    Announcements of macroeconomic data can contain unanticipated shocks that impact on the term structure of interest rates, a highly relevant topic for market agents and monetary authorities. The present study investigates how unexpected variations in Brazilian and U.S. macroeconomic indicators affect the term structure of interest rates and expected inflation in Brazil. Using daily data from March 2005 to July 2011, we employ a vector error-correction model in order to take into account the long-term equilibrium among different maturities of the yield curve and the inflation expectations curve. In general, we find empirical evidence that macroeconomic announcement surprises, domestic (Brazilian) and external (U.S. American), which lead the market to believe that there might be a higher risk of inflation or an overheated economy, raise the nominal yield curves and, in some cases, affect the real yield curve and the expected inflation. Surprisingly, in relation to the efficient-market hypothesis, we also find that some macroeconomic surprises have a lagged effect on the yield curve, indicating over- and undershooting as well as delayed responses.
  • N/D
    Working Paper
    Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis
    (2011) Joaquim, Gustavo P.; Moura, Marcelo L.
    This study investigates the performance and persistence of the Brazilian hedge fund market using daily data from October 2007 to February 2011. A period containing what was characterized by many as the worst world financial crisis since the great depression of the 1930’s. Despite the financial turmoil, results indicate the existence of a representative group of funds with abnormal returns as well as evidence of a joint persistence of funds with time frames of 1 to 3 months. Individual evaluations of the funds, however, indicate a reduced number of persistent funds.
  • N/D
    Working Paper
  • N/D
    Working Paper
    Taylor Rules and Exchange Rate Predictability in Emerging Economies
    (2010) Galimberti, Jaqueson K.; Moura, Marcelo L.
    This study links exchange rate determination and endogenous monetary policy represented by Taylor rules. We fill a gap in the literature by focusing on a group of fifteen emerging economies that adopted free-floating exchange rate and inflation targeting beginning in the mid-1990s. Due to the limited time-series span, a common obstacle to studying emerging economies, we employ panel data regressions to produce more efficient estimates. Following the recent literature, we use a robust set of out-of-sample statistics using bootstrapped and asymptotic distributions for the Diebold-Mariano, Clark and West and Theil’s U ratio. By evaluating different specifications for the Taylor rule exchange rate model based on their out-of-sample performance, we find that the forward-looking specification shows strong evidence of exchange rate predictability.
  • N/D
    Working Paper
    What Can Taylor Rules Say About Monetary Policy in Latin America?
    (2008) Moura, Marcelo L.; Carvalho, Alexandre de
  • N/D
    Working Paper
    Price-Setting Policy Determinants: Micro-Evidence from Brazil
    (2008) Rossi, José Luiz; Moura, Marcelo L.
    The paper studies the determinants of the frequency of price changes from survey data on Brazilian companies. Strong evidence of price-nominal rigidities is found in the data with average and median price durations very close to results reported for the euro area and the United States. We find that empirical determinants of price-change duration are mostly competition, size, product specialisation and sector dummies.
  • N/D
    Working Paper
  • N/D
    Working Paper
    Exchange Rate and Fundamentals: The Case of Brazil
    (2008) Moura, Marcelo L.; Lima, Adauto Ricardo Sobreira De; Mendonça, Rodrigo Maldonado
    Forecasting performance is tested for a broad set of empirical exchange rate models for an emerging economy with independently floating regime and inflation target monetary arrangement. Compared to the recent literature on out-of-sample exchange rate predictability, we include a more extensive set of models. We test vintage monetary models of the 80’s, exchange rate equilibrium models of the 90’s and a Taylor Rule based model. This last model assumes an endogenous monetary policy, where the Central Bank follows a Taylor rule reaction function to set interest rates. Our results show that Taylor Rule models and Behavioral Equilibrium models, the last one combining productivity differentials with portfolio balance effect, have superior predictive accuracy when compared to the random walk benchmark. Some out-of-sample predictability is also obtained with parsimonious models based on uncovered interest parity arguments. Those stimulating results should lead to more studies of exchange rate forecasting accuracy for other emerging economies.