Institution
Gávea Investimentos
About: Gávea Investimentos is a based out in . It is known for research contribution in the topics: Exchange rate & Interest rate. The organization has 7 authors who have published 24 publications receiving 1275 citations. The organization is also known as: Gavea Investimentos.
Papers
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TL;DR: In this article, a model that focuses on the interaction of liquidity creation by financial intermediaries with capital flows and exchange rate collapses is developed. But the model is not suitable for the case of large inflows and abrupt outflows.
Abstract: This paper develops a model that focuses on the interaction of liquidity creation by financial intermediaries with capital flows and exchange rate collapses. The intermediaries` role of transforming maturities is shown to result in larger movements of capital and a higher probability of crisis. These movements resemble the observed cycle in capital flows: large inflows, crisis and abrupt outflows. The model highlights how adverse productivity and international interest rate shocks may trigger a sudden outflow of capital and an exchange collapse. The initial shock is magnified by the behavior of individual foreign investors linked through their deposits in the intermediaries. The expectation of an eventual exchange rate crisis links investors` behavior even further.
270 citations
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TL;DR: In this paper, the authors studied whether exchange rate expectations and overvaluations are predictors of currency crises and found that overvaluation has predictive power in explaining crises, although expected depreciation obtained from survey data partially takes different measures of exchange rate misalignment into consideration, expectations fail to anticipate currency crises.
Abstract: This paper studies whether exchange rate expectations and overvaluations are predictors of currency crises. The results suggest that overvaluation has predictive power in explaining crises. However, although expected depreciation obtained from survey data partially takes different measures of exchange rate misalignment into consideration, expectations fail to anticipate currency crises.
207 citations
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TL;DR: In this paper, monetary policy and its relationship with the exchange rate in the five Asian crisis countries were compared to previous currency crises in recent history, and it was found that there is no evidence of overly tight monetary policy in these countries in 1997 and early 1998.
Abstract: This paper evaluates monetary policy and its relationship with the exchange rate in the five Asian crisis countries. The findings are compared to previous currency crises in recent history. The paper finds that there is no evidence of overly tight monetary policy in the Asian crisis countries in 1997 and early 1998. There is also no evidence that high interest rates led to weaker exchange rates. The usual trade-off between inflation and output when raising interest rates suggested the need for a softer monetary policy in the crisis countries to combat recession. However, in some countries, corporate balance sheet considerations suggested the need to reverse overly depreciated currencies through firmer monetary policy.
146 citations
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TL;DR: The authors assesses inflation targeting in emerging market economies (EMEs), and develops applied prescriptions for the conduct of monetary policy and inflation-targeting design in EMEs, and proposes a procedure that a central bank under inflation targeting can apply and communicate when facing strong supply shocks, and suggest a monitoring structure for an inflation targeting regime under an IMF program.
Abstract: This paper assesses inflation targeting in emerging market economies (EMEs), and develops applied prescriptions for the conduct of monetary policy and inflation-targeting design in EMEs We verify that EMEs have faced more acute trade-offs higher output and inflation volatility and worse performance than developed economies These results stem from more pronounced external shocks, lower credibility, and lower level of development of institutions in these countries In order to improve their performance, we recommend high levels of transparency and communication with the public and the development of more stable institutions At an operational level, we propose a procedure that a central bank under inflation targeting can apply and communicate when facing strong supply shocks, and suggest a monitoring structure for an inflation-targeting regime under an IMF program
100 citations
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TL;DR: In this article, a set of dummy variables using daily news is constructed to capture the impact of own-country and cross-border news on the markets, after controlling for own country news and other fundamentals.
Abstract: This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Cross-country correlations among currencies and sovereign spreads are found to increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. A set of dummy variables using daily news is constructed to capture the impact of own-country and cross-border news on the markets. After controlling for own-country news and other fundamentals, the paper shows evidence of cross-border contagion in the currency and equity markets.
99 citations
Authors
Showing all 7 results
Name | H-index | Papers | Citations |
---|---|---|---|
Ilan Goldfajn | 33 | 85 | 5336 |
Eduardo Zilberman | 6 | 27 | 202 |
Arminio Fraga Neto | 1 | 1 | 1 |
Gabriel Srour | 1 | 2 | 51 |
Marcos Barbosa Pinto | 1 | 2 | 43 |
Bernardo Meres | 1 | 1 | 3 |
André d'Almeida Monteiro | 1 | 1 | 2 |