Artigos em Andamento [Working Paper]
URI permanente desta comunidadehttps://repositorio.insper.edu.br/handle/11224/3232
Navegar
2 resultados
Resultados da Pesquisa
Working Paper Exchange Rate Movements and Monetary Policy In Brazil: Econometric and Simulation Evidence(2008) Furlani, Luiz Gustavo Cassilatti; Portugal, Marcelo Savino; Laurini, Márcio PolettiThe literature on monetary economy has aroused growing interest in macroeconomics. Due to computational advancements, models have been increasingly more complex and accurate, allowing for the in-depth analysis of the relationships between real economic variables and nominal variables. Therefore, using a dynamic stochastic general equilibrium (DSGE) model, based on Gali and Monacelli (2005), we propose and estimate a model for the Brazilian economy by employing Bayesian methods so as to assess whether the Central Bank of Brazil takes exchange rate fluctuations into account in the conduct of monetary policy. The most striking result of the present study is that the Central Bank of Brazil does not directly change the interest rate path due to exchange rate movements. A simulation exercise is also used. Our conclusion is that the economy quickly accommodates shocks induced separately on the exchange rate, on the terms of trade, on the interest rate, and on global inflation.Working Paper Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data(2008) Laurini, Márcio Poletti; Furlani, Luiz Gustavo Cassilatti; Portugal, Marcelo SavinoThis article provides an analysis of empirical microstructure for the BRL/US$ exchange rate market using high-frequency bid and ask quote data. The aims of the article are to verify the importance of the presence of asymmetric information in price dynamics, to build a model for the price discovery process and to analyze the empirical determinants of the spread between bid and ask through a conditional model that captures an asymmetric response to the spread regarding past information. The asymmetric information hypothesis is tested through a nonparametric test of conditional independence for the Markov property. A model for price discovery is built using a vector error correction between bid and ask, controlling for duration and volatility. As a result of this vector, we build an equilibrium spread deviation series, and we show that the conditional distribution of equilibrium spread deviations responds asymmetrically to the spread changes and expected conditional volatilities and durations. This is made by using the quantilogram and a quantile autoregression as tools for modeling the asymmetry e ects. We relate the ndings to some facts presented in the theoretical literature on market microstructure.