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Foreign Exchange Intervention And Central Bank Independence: The Latin American Experience, Mauricio Nunes, Sergio Da Silva
Foreign Exchange Intervention And Central Bank Independence: The Latin American Experience, Mauricio Nunes, Sergio Da Silva
Sergio Da Silva
Employing data from 13 Latin American countries, we find that greater central bank independence is associated with lesser intervention in the foreign exchange market, and also with leaning-against-the-wind intervention. We also find that the structural reforms that occurred in Latin America mostly in the 1990s helped to reduce the need for foreign exchange intervention.
Explosive And Periodically Collapsing Bubbles In Emerging Stockmarkets, Sergio Da Silva, Mauricio Nunes
Explosive And Periodically Collapsing Bubbles In Emerging Stockmarkets, Sergio Da Silva, Mauricio Nunes
Sergio Da Silva
We detected bubbles in 22 emerging stockmarkets using both standard and threshold cointegration. Eighteen stockmarkets experienced explosive bubbles (and some of them periodically collapsing bubbles as well). The remaining four markets experienced periodically collapsing bubbles only.
Is Mercosur An Optimum Currency Area? An Assessment Using Generalized Purchasing Power Parity, J. Anchieta Neves, Leandro Stocco, Sergio Da Silva
Is Mercosur An Optimum Currency Area? An Assessment Using Generalized Purchasing Power Parity, J. Anchieta Neves, Leandro Stocco, Sergio Da Silva
Sergio Da Silva
We consider the cointegration approach of generalized purchasing power parity to show that a necessary condition for Mercosur to be an optimum currency area is met. Yet there are still large cross-country differences as to cast doubt on the success of either monetary union or official dollarization. The PPP puzzle is also found to occur in Mercosur.
The Relative Efficiency Of Stockmarkets, Ricardo Giglio, Raul Matsushita, Sergio Da Silva
The Relative Efficiency Of Stockmarkets, Ricardo Giglio, Raul Matsushita, Sergio Da Silva
Sergio Da Silva
Financial economists usually assess market efficiency in absolute terms. This is a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. This paper employs such an approach in order to rank 36 stock exchanges and 37 individual company stocks in terms of their relative efficiency.
Optimal Control Theory For Inflation Targeting, Thiago Veloso, Roberto Meurer, Sergio Da Silva
Optimal Control Theory For Inflation Targeting, Thiago Veloso, Roberto Meurer, Sergio Da Silva
Sergio Da Silva
We make a case for the usefulness of an optimal control approach for the central banks’ choice of interest rates in inflation target regimes. We illustrate it with data from selected developed and emerging countries with longest experience of inflation targeting.
Is The Brazilian Stockmarket Efficient?, Caio Guttler, Roberto Meurer, Sergio Da Silva
Is The Brazilian Stockmarket Efficient?, Caio Guttler, Roberto Meurer, Sergio Da Silva
Sergio Da Silva
Employing both cointegration analysis and a variety of Granger causality tests, we examine whether the Brazilian stockmarket is efficient in processing new information about public macroeconomic data (semi-strong efficiency). We find the stockmarket to be inefficient, which is in line with most results for other emerging markets.