Economia internacional: bolhas racionais nas taxas de câmbio dos BRICS e limite da variação das reservas para decisão de empréstimos

• Ano de defesa: 2019
• Autor(a) principal: Ribeiro, Jussara
• Orientador(a): Silva Filho, Osvaldo Candido da
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Católica de Brasília
• Programa de Pós-Graduação: Programa Stricto Sensu em Economia de Empresas
• Departamento: Escola de Humanidades, Negócios e Direito
• País: Brasil
• Palavras-chave em Português: Taxa de câmbio; Reservas internacionais; Investimento estrangeiro
• Palavras-chave em Inglês: International reserves; Foreign investment; Exchange rates
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
• Link de acesso: https://bdtd.ucb.br:8443/jspui/handle/tede/2644

This thesis includes two studies. In the first one, we test for the presence of four types of rational bubbles in the BRICS exchange rates against the US dollar. For the fundamental value of the exchange rate, we use two structural specifications: the pure PPP rule and a modified PPP rule where PPP is adjusted for the interest rate differential between the country and the US. For the bubble dynamics, we consider four models: explosive bubbles, multiple bubbles, periodically collapsing bubbles of the Evans type, and intrinsic bubbles. We find evidence of the presence of at least one of these bubbles for Brazil, Russia, India and South Africa, but none for China, confirming the results of other periodically recurring bubble tests for this dataset. In the second study, we propose a methodology for the calculation of an international reserves variation threshold for lending decisions of international creditors to developing countries. If the change in international reserves net of the borrowing variation is above that threshold, the creditors are willing to provide more lending. Otherwise, if that change is below the threshold, there will be capital flight. Such threshold depends on the stocks of debt and international reserves, as well as on the perception of the default risk of the country to honor its debts. Using that threshold, we perform a counterfactual exercise to calculate the time series of international reserve levels that minimize the total cost of reserves holding. We illustrate the methodology by applying it to five Latin American countries. Keywords: