Thursday, October 8, 2015

Falha de São Paulo

O artigo da Laura Carvalho de hoje foi a gota d'água para mim: cancelei a minha assinatura digital da Folha de São Paulo.

Friday, July 17, 2015

Novo trabalho sobre efetividade de intervenção cambial, com Blanchard e Adler

Este foi um longo projeto – comecei durante o verão de 2012 enquanto visitava o Swiss National Bank. Finalmente publicado como IMF Working Paper.

Can Foreign Exchange Intervention Stem Exchange Rate Pressures from Global Capital Flow Shocks? (with Olivier Blanchard and Gustavo Adler)

IMF Working Paper 15/159
Many emerging market economies have relied on foreign exchange intervention (FXI) in response to gross capital inflows. In this paper, we study whether FXI has been an effective tool to dampen the effects of these inflows on the exchange rate. To deal with endogeneity issues, we look at the response of different countries to plausibly exogenous gross inflows, and explore the cross country variation of FXI and exchange rate responses. Consistent with the portfolio balance channel, we find that larger FXI leads to less exchange rate appreciation in response to gross inflows.

Monday, September 8, 2014

Cadê o abaixo assinado?

Segundo o Geraldo Samor, logo um grupo de economistas peso-pesados vai circular um texto de apoio a Alexandre Schwartsman, que se tornou a mais recente vítima do autoritarismo e da mediocridade.

Pois bem, alguém me inclua neste abaixo assinado! 


O abaixo assinado esta aqui.

Monday, December 23, 2013

Consumption Based Estimates of Urban Chinese Growth

Meu IMF working paper Consumption Based Estimates of Urban Chinese Growth, com Marcos Chamon, acabou de ser postado no website do FMI.

 Link aqui.

 Abstract: This paper estimates the household income growth rates implied by food demand in a sample of urban Chinese households in 1993–2005. Our estimates, based on Engel curves for food consumption, indicate an average per capita income growth of 6.8 percent per year in 1993–2005. This figure is slightly larger than the 5.9 percent per year obtained by deflating nominal incomes by the CPI. We attribute this discrepancy to a small bias in the CPI, which is of a similar magnitude to the one often associated with the CPI in the United States. Our estimates indicate stronger gains among poorer households, suggesting that urban inflation up to 2005 in China was “pro-poor,” in the sense that the increase in the cost of living for poorer households was smaller than for the average one.

Monday, December 9, 2013

Quintal de casa

Meu vizinho pensa que meu jardim é buffet.
Mas quando chego perto, sai correndo.

Wednesday, November 6, 2013

The Curious Case of Japan

My paper with Dennis Botman and W. Raphael Lam, both from the Asian and Pacific Department of the International Monetary Fund, “The Curious Case of the Yen as a Safe Haven Currency: A Forensic Analysis”, has just been made available at the public IMF website. 

In that paper, we study the effect of risk-off episodes on the Japanese yen. The abstract below tells the story.

During risk-off episodes, the yen is a safe haven currency and on average appreciates against the U.S. dollar. We investigate the proximate causes of yen risk-off appreciations. We find that neither capital inflows nor expectations of the future monetary policy stance can explain the yen’s safe haven behavior. In contrast, we find evidence that changes in market participants’ risk perceptions trigger derivatives trading, which in turn lead to changes in the spot exchange rate without capital flows. Specifically, we find that risk-off episodes coincide with forward hedging and reduced net short positions or a buildup of net long positions in yen. These empirical findings suggest that offshore and complex financial transactions should be part of spillover analyses and that the effectiveness of capital flow management measures or monetary policy coordination to address excessive exchange rate volatility might be limited in certain cases.

Monday, August 19, 2013

Risk-off episodes and capital flows to Switzerland

Meu texto sobre episódios de risk-off e fluxos de capitais na Suíça está disponibilizado como texto para discussão do Studienzentrum Gerzensee.

My working paper on risk-off episodes and capital flows to Switzerland is available now at the working paper series from Studienzentrum Gerzensee.

During episodes of increased global risk aversion, or risk-off episodes, safe haven currencies such as the Swiss franc tend to appreciate. The immediate impact of a risk-off shock is an increase in net private inflows to Switzerland, mostly driven by a reduction in Swiss residents’ net purchases of foreign debt securities and reduced foreign exposure by Swiss banks: Over several quarters, risk-off episodes also appear to be related to reductions in net FDI outflows by Swiss residents. Given that the bulk of capital movements related to risk-off episodes is driven by decisions of Swiss residents, capital flow management policies that discriminate based on the residency of the investor (capital controls) are not likely to be effective at reducing the impact of risk-off episodes. However, prudential policies that limit leveraging or foreign exposure by Swiss banks may diminish the volatility of capital flows during risk-off episodes.