Ricardo Summa | Universidade Federal do Rio de Janeiro (UFRJ) (original) (raw)
Papers by Ricardo Summa
Oikos, Nov 20, 2007
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Pesquisa Debate Revista Do Programa De Estudos Pos Graduados Em Economia Politica Issn 1806 9029, 2011
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Ensaios Fee, Dec 4, 2013
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Investigacion Economica Escuela Nacional De Economia Universidad Nacional Autonoma De Mexico, Dec 1, 2012
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Analise Economica, May 1, 2012
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Oikos, Dec 31, 2012
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Resumo Com a implantação do Sistema de Metas de Inflação (SMI) no Brasil, ganhou importância a ne... more Resumo Com a implantação do Sistema de Metas de Inflação (SMI) no Brasil, ganhou importância a necessidade de medir o hiato do produto, que segundo o modelo em que se baseia o SMI, é a principal causa da inflação no longo prazo. O presente artigo visa avaliar criticamente os artigos e estudos feitos pelas instituições oficiais brasileiras (como BACEN e
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The purpose of this paper is to argue that this sharp slowdown in the growth rate of the Brazilia... more The purpose of this paper is to argue that this sharp slowdown in the growth rate of the Brazilian economy since 2011 can be explained predominantly as due to changes in the orientation of domestic macroeconomic policy, rather than to changes in the external conditions of trade and finance. Moreover, we shall argue that, as the economy was neither constrained by foreign exchange nor by the general scarcity of labor or capital, these changes in macroeconomic policy led to a substantial decrease in the rate of growth of aggregate demand and are chiefly responsible for the lower growth of both output and business investment
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Nova Economia, 2014
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Review of Keynesian Economics, 2015
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The purpose of this paper is to test the validity of the covered interest parity theorem for the ... more The purpose of this paper is to test the validity of the covered interest parity theorem for the Brazilian economy between 2008 and 2013. We will show that, unlike the scarce empirical work that investigated this relation for the Brazilian economy and does not confirm this empirical result, our estimates suggest the covered interest parity theorem holds for Brazilian data. Thus, a byproduct of this work is the evaluation of the characteristics of the Brazilian data and the variables used to estimate the covered parity. We argue that the relevantforeign interest ratevariable to test the CIP in Brazil is that one available to domestic agents, whose proxy is the LIBOR rate plus the Brazilian EMBI+ (the spread between the Brazilian sovereigndebt and the US treasury bonds rate), and we will compare this rate with the Brazilian foreign exchange coupon (which is a tautological closure to the covered parity), which is an alternative way to evaluate the covered parity in Brazil.
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Interest parity theorems, namely the covered interest parity (CIP), uncovered interest parity (UI... more Interest parity theorems, namely the covered interest parity (CIP), uncovered interest parity (UIP) and real interest parity (RIP), as part of the basic open macroeconomics framework, are presented in almost every textbook in macroeconomics and international economics. This set of theorems explain how international capital flows make it impossible for a monetary authority to autonomously set their basic real interest rate in relation to the international one. In this work we will trace back the development of these theorems. We argue that although some post-Keynesians nowadays reject uncovered and real interest parities, even in the long period, these interest parity theorems have a Keynesian root. Covered Interest Parity first appears in Keynes 1923s’ A Tract on Monetary Reform. Uncovered Interest Parity theorem relies on early contributions from Keynes (1936), Kaldor (1939) and Tsiang (1958). But it is only during the 70’s, along with the diminished influence of keynesian theory, that other elements such as Rational Expectations and the Efficient Market Hypothesis are incorporated in this open economy framework and together with the PPP lead to the Real Interest Parity. Moreover, during the development of these theorems some interesting questions were tackled such as the role of speculation in destabilizing a floating exchange rate regime and the possibility of setting autonomously real interest rates across countries. Finally, we briefly summarize themain results obtained by the vast empirical literature. While there is great evidence in favor of the CIP, the results known as “UIP failure” and “forward premium puzzle” represent the persistent difficulty to falsify the UIP empirically.
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In the present paper we test the validity of the uncovered interest parity theorem to the Brazili... more In the present paper we test the validity of the uncovered interest parity theorem to the Brazilian economy from 2000 to 2014. Our results endorse the empirical failure of this theorem, known in the literature as UIP Failure or Forward Premium Puzzle. The coefficient estimated of the interest rate differential by a GARCH model is negative, contradicting UIP tests for emerging economies. However, using Markov models of regime change, we found two well-defined patterns: during periods of lower volatility the estimated coefficient becomes negative, while in the volatility periods estimated coefficient is positive. The results are consistent with the exogenous interest rate approach in an open economy.
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Drafts by Ricardo Summa
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Oikos, Nov 20, 2007
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Pesquisa Debate Revista Do Programa De Estudos Pos Graduados Em Economia Politica Issn 1806 9029, 2011
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Ensaios Fee, Dec 4, 2013
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Investigacion Economica Escuela Nacional De Economia Universidad Nacional Autonoma De Mexico, Dec 1, 2012
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Analise Economica, May 1, 2012
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Oikos, Dec 31, 2012
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Resumo Com a implantação do Sistema de Metas de Inflação (SMI) no Brasil, ganhou importância a ne... more Resumo Com a implantação do Sistema de Metas de Inflação (SMI) no Brasil, ganhou importância a necessidade de medir o hiato do produto, que segundo o modelo em que se baseia o SMI, é a principal causa da inflação no longo prazo. O presente artigo visa avaliar criticamente os artigos e estudos feitos pelas instituições oficiais brasileiras (como BACEN e
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
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The purpose of this paper is to argue that this sharp slowdown in the growth rate of the Brazilia... more The purpose of this paper is to argue that this sharp slowdown in the growth rate of the Brazilian economy since 2011 can be explained predominantly as due to changes in the orientation of domestic macroeconomic policy, rather than to changes in the external conditions of trade and finance. Moreover, we shall argue that, as the economy was neither constrained by foreign exchange nor by the general scarcity of labor or capital, these changes in macroeconomic policy led to a substantial decrease in the rate of growth of aggregate demand and are chiefly responsible for the lower growth of both output and business investment
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Nova Economia, 2014
Bookmarks Related papers MentionsView impact
Review of Keynesian Economics, 2015
Bookmarks Related papers MentionsView impact
The purpose of this paper is to test the validity of the covered interest parity theorem for the ... more The purpose of this paper is to test the validity of the covered interest parity theorem for the Brazilian economy between 2008 and 2013. We will show that, unlike the scarce empirical work that investigated this relation for the Brazilian economy and does not confirm this empirical result, our estimates suggest the covered interest parity theorem holds for Brazilian data. Thus, a byproduct of this work is the evaluation of the characteristics of the Brazilian data and the variables used to estimate the covered parity. We argue that the relevantforeign interest ratevariable to test the CIP in Brazil is that one available to domestic agents, whose proxy is the LIBOR rate plus the Brazilian EMBI+ (the spread between the Brazilian sovereigndebt and the US treasury bonds rate), and we will compare this rate with the Brazilian foreign exchange coupon (which is a tautological closure to the covered parity), which is an alternative way to evaluate the covered parity in Brazil.
Bookmarks Related papers MentionsView impact
Interest parity theorems, namely the covered interest parity (CIP), uncovered interest parity (UI... more Interest parity theorems, namely the covered interest parity (CIP), uncovered interest parity (UIP) and real interest parity (RIP), as part of the basic open macroeconomics framework, are presented in almost every textbook in macroeconomics and international economics. This set of theorems explain how international capital flows make it impossible for a monetary authority to autonomously set their basic real interest rate in relation to the international one. In this work we will trace back the development of these theorems. We argue that although some post-Keynesians nowadays reject uncovered and real interest parities, even in the long period, these interest parity theorems have a Keynesian root. Covered Interest Parity first appears in Keynes 1923s’ A Tract on Monetary Reform. Uncovered Interest Parity theorem relies on early contributions from Keynes (1936), Kaldor (1939) and Tsiang (1958). But it is only during the 70’s, along with the diminished influence of keynesian theory, that other elements such as Rational Expectations and the Efficient Market Hypothesis are incorporated in this open economy framework and together with the PPP lead to the Real Interest Parity. Moreover, during the development of these theorems some interesting questions were tackled such as the role of speculation in destabilizing a floating exchange rate regime and the possibility of setting autonomously real interest rates across countries. Finally, we briefly summarize themain results obtained by the vast empirical literature. While there is great evidence in favor of the CIP, the results known as “UIP failure” and “forward premium puzzle” represent the persistent difficulty to falsify the UIP empirically.
Bookmarks Related papers MentionsView impact
In the present paper we test the validity of the uncovered interest parity theorem to the Brazili... more In the present paper we test the validity of the uncovered interest parity theorem to the Brazilian economy from 2000 to 2014. Our results endorse the empirical failure of this theorem, known in the literature as UIP Failure or Forward Premium Puzzle. The coefficient estimated of the interest rate differential by a GARCH model is negative, contradicting UIP tests for emerging economies. However, using Markov models of regime change, we found two well-defined patterns: during periods of lower volatility the estimated coefficient becomes negative, while in the volatility periods estimated coefficient is positive. The results are consistent with the exogenous interest rate approach in an open economy.
Bookmarks Related papers MentionsView impact