This paper investigates the contagion from Russia to Brazil in late 1998 under two dimensions-pla... more This paper investigates the contagion from Russia to Brazil in late 1998 under two dimensions-players involved and the timing of events. The data does not seem to reflect a compensatory liquidation of assets story by international institutional investors. It does contribute, however, to the suspicion that the contagion was triggered by foreign investors panicking from the Russian crisis, and joining local residents on their speculation against the Brazilian real. Adjusted correlations in the Brady market increase significantly during the crisis, which lends support to the view that if there was a contagion from Russia to Brazil, the most likely place of the transmission was the offshore Brady market. Finally, the paper does not support the hypothesis that it was the liquidity crisis in mature markets, and not the Russian crisis, that timed the crisis in Brazil.
This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, I... more This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Crosscountry 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.
Esta nota visa resumir, de forma nao-tecnica, as consideragoes levantadas pela literatura economi... more Esta nota visa resumir, de forma nao-tecnica, as consideragoes levantadas pela literatura economica acerca da composi^ao otima da divida publica, concentrando-se em aspectos mais aplicados da teoria para a polftica da escolha otima da composi9ao da divida. Segundo a literatura, o gestor da divida publica deve ter em mente objetivos como a minimizagao do risco o^amentario (ligada ao objetivo de suaviza9ao de impostos), a manutengao de credibilidade, sinaliza^ao, a minimiza^ao do risco de rolagem, a provisao de liquidez ao mercado e a minimiza^ao de riscos ligados a indexa^ao da economia. Faz-se uma breve analise para o caso brasileiro, onde se indicam as prescri9oes de polftica recomendadas pela literatura aqui resumida. Palavras-chave: dfvida publica, gestao otima de dfvida, Brasil.
This is a Working Paper and the author(s) would welcome any comments on the present text. Citatio... more This is a Working Paper and the author(s) would welcome any comments on the present text. Citations should refer to a Working Paper o/the International Monetary Fund. The views expressed are those of the author(s) and do not necessarily represent those ofthe Fund.
for helpful comments and suggestions. This paper tests for evidence of contagion between the fina... more for helpful comments and suggestions. 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.
Las economias abiertas, especialmente las emergentes y las exportadoras de productos primarios, t... more Las economias abiertas, especialmente las emergentes y las exportadoras de productos primarios, tienen que hacer frente a grandes shocks externos. Las reacciones de politica y el marco de politica economica pueden potencialmente amplificar o atenuar las consecuencias de estos shocks. En este trabajo analizamos las experiencias de Australia, Brasil y Chile en cuanto a sus reacciones de politica economica a los mayores shocks de los ultimos ocho anos y presentamos una descripcion de los distintos marcos de politica macroeconomica implementados por estos paises y las lecciones que se pueden extraer de su experiencia.
This is a Working Paper and the author(s) would welcome any comments on the present text. Citatio... more This is a Working Paper and the author(s) would welcome any comments on the present text. Citations should refer 10a Working Paper o/the International Monetary Fund. The views expressed are those of the author(s) and do not necessarily represent those of the Fund.
This is a Working Paper and the author(s) would welcome any comments on the present text. Citatio... more This is a Working Paper and the author(s) would welcome any comments on the present text. Citations should refer to a Working Paper of the International Monetary Fund. The views expressed are those of the author(s) and do not necessarily represent those of the Fund.
This paper evaluates monetary policy and its relationship with the exchange rate in five Asian cr... more This paper evaluates monetary policy and its relationship with the exchange rate in five Asian crisis countries. The findings are compared with previous currency crises in recent history. The paper finds no evidence of overly tight monetary policy in the Asian crisis countries in 1997 and early 1998, nor 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 called for the reversal of overly depreciated currencies through firmer monetary policy.
Inflation Targeting. Debt, and the Brazilian Experience, 1999 to 2003 edited by Francesco Giavazz... more Inflation Targeting. Debt, and the Brazilian Experience, 1999 to 2003 edited by Francesco Giavazzi, Nan Goldfajn, and Santiago Herrera Inflation targetingwhen central bank policies set specific inflation rate objectivesis widely used by both developed and developing ...
This paper investigates the contagion from Russia to Brazil in late 1998 under two dimensions-pla... more This paper investigates the contagion from Russia to Brazil in late 1998 under two dimensions-players involved and the timing of events. The data does not seem to reflect a compensatory liquidation of assets story by international institutional investors. It does contribute, however, to the suspicion that the contagion was triggered by foreign investors panicking from the Russian crisis, and joining local residents on their speculation against the Brazilian real. Adjusted correlations in the Brady market increase significantly during the crisis, which lends support to the view that if there was a contagion from Russia to Brazil, the most likely place of the transmission was the offshore Brady market. Finally, the paper does not support the hypothesis that it was the liquidity crisis in mature markets, and not the Russian crisis, that timed the crisis in Brazil.
This is a Working Paper and the author(s) would welcome any comments on the present text. Citatio... more This is a Working Paper and the author(s) would welcome any comments on the present text. Citations should refer 10a Working Paper o/the International Monetary Fund. The views expressed are those of the author(s) and do not necessarily represent those of the Fund.
Could Latin America economy have recovered as fast from the global crisis if it was not for China... more Could Latin America economy have recovered as fast from the global crisis if it was not for China's performance? Did domestic fundamentals help the recovery along? In this article, we offer some evidence that better fundamentals indeed mattered, as Latin American countries were less vulnerable to external shocks than in the past. Buffers built up in previous years allowed countries to implement counter-cyclical policies in the aftermath of the Lehman Brothers bankruptcy. But what conditions allowed a sizable monetary stimulus to be implemented? Why were the fiscal targets adopted by most countries not a constraint on fiscal stimulus? In this article, we address these questions and other, more idiosyncratic questions as well (including: why the Mexican peso has underperformed its peers; whether partial dollarization in Peru was a constraint on monetary easing; why monetary and fiscal stimulus was relatively limited in Mexico; and what factors allowed Chile to implement a monetary response similar to that of developed economies). The opinions expressed in this Working Paper are those of the author(s), not necessarily those of Itaú Unibanco.
?La economia de America Latina se habria podido recuperar tan rapidamente de la crisis global si ... more ?La economia de America Latina se habria podido recuperar tan rapidamente de la crisis global si no hubiera sido por el desempeno de China? ?Los fundamentos internos ayudaron a su vez a lo largo de la recuperacion? En este documento, ofrecemos alguna evidencia de que mejores fundamentos de hecho resultaron de importancia. La generacion de mecanismos de contencion en los anos previos permitio a los paises ejecutar politicas anticiclicas tras la bancarrota de Lehman Brothers. Pero, ?que condiciones permitieron que se ejecutara un estimulo monetario considerable? ?Por que las metas fiscales adoptadas por la mayor parte de los paises no resultaron una restriccion al estimulo fiscal? Adicionalmente, abordamos estas preguntas y otras, mas idiosincrasicas (incluidas: ?por que el peso mexicano ha mostrado un desempeno por debajo de sus pares?; si la dolarizacion en Peru resulto en una restriccion para el relajamiento monetario; y ?que factores le permitieron a Chile llevar a cabo una respuesta monetaria similar a la de economias desarrolladas?)
This paper creates an index of capital controls to analyze the determinants of capital flows to B... more This paper creates an index of capital controls to analyze the determinants of capital flows to Brazil, accounting for the endogeneity of capital controls by considering a government that sets controls in response to capital flows. It finds that the government reacts strongly to capital flows by increasing controls on inflows during booms and relaxing them in moments of distress. The paper estimates a vector autoregression with capital flows, controls, and interest differentials. It shows that controls have been temporarily effective in altering levels and composition of capital flows but have had no sustained effects in the long run.
This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, I... more This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Crosscountry 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.
This paper empirically analyzes a broad range of real exchange rate appreciation episodes. The ca... more This paper empirically analyzes a broad range of real exchange rate appreciation episodes. The cases are identified after compiling a large sample of monthly multilateral real exchange rates from 1960 to 1994. The objective is twofold. First, the paper studies the dynamics of appreciations, avoiding the sample selection of analyzing exclusively the crisis (or devaluation) cases. Second, the paper analyzes the mechanism by which overvaluations are corrected. In particular, we are interested in the proportion of the reversions that occur through nominal devaluations, rather than cumulative inflation differentials. We calculate the probability of undoing appreciations without nominal depreciations for various degrees of misalignment. The overall conclusion is that it is very unlikely to undo large and medium appreciations without nominal devaluations.
Rogoff, and seminar participants at Princeton University for their comments. We are also grateful... more Rogoff, and seminar participants at Princeton University for their comments. We are also grateful to Fabia A. de Carvalho, Eduardo Loyo and Marcio I. Nakane for their suggestions, to Thaís P. Ferreira and Myrian B. S. Petrassi for research assistance, and to Marcileide A. da Silva and Raquel K. de S. Tsukada for assistance with data. The views expressed are those of the authors and not necessarily those of the Central Bank of Brazil. The views expressed herein are those of the authors and are not necessarily those of the National Bureau of Economic Research.
This paper investigates the contagion from Russia to Brazil in late 1998 under two dimensions-pla... more This paper investigates the contagion from Russia to Brazil in late 1998 under two dimensions-players involved and the timing of events. The data does not seem to reflect a compensatory liquidation of assets story by international institutional investors. It does contribute, however, to the suspicion that the contagion was triggered by foreign investors panicking from the Russian crisis, and joining local residents on their speculation against the Brazilian real. Adjusted correlations in the Brady market increase significantly during the crisis, which lends support to the view that if there was a contagion from Russia to Brazil, the most likely place of the transmission was the offshore Brady market. Finally, the paper does not support the hypothesis that it was the liquidity crisis in mature markets, and not the Russian crisis, that timed the crisis in Brazil.
This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, I... more This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Crosscountry 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.
Esta nota visa resumir, de forma nao-tecnica, as consideragoes levantadas pela literatura economi... more Esta nota visa resumir, de forma nao-tecnica, as consideragoes levantadas pela literatura economica acerca da composi^ao otima da divida publica, concentrando-se em aspectos mais aplicados da teoria para a polftica da escolha otima da composi9ao da divida. Segundo a literatura, o gestor da divida publica deve ter em mente objetivos como a minimizagao do risco o^amentario (ligada ao objetivo de suaviza9ao de impostos), a manutengao de credibilidade, sinaliza^ao, a minimiza^ao do risco de rolagem, a provisao de liquidez ao mercado e a minimiza^ao de riscos ligados a indexa^ao da economia. Faz-se uma breve analise para o caso brasileiro, onde se indicam as prescri9oes de polftica recomendadas pela literatura aqui resumida. Palavras-chave: dfvida publica, gestao otima de dfvida, Brasil.
This is a Working Paper and the author(s) would welcome any comments on the present text. Citatio... more This is a Working Paper and the author(s) would welcome any comments on the present text. Citations should refer to a Working Paper o/the International Monetary Fund. The views expressed are those of the author(s) and do not necessarily represent those ofthe Fund.
for helpful comments and suggestions. This paper tests for evidence of contagion between the fina... more for helpful comments and suggestions. 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.
Las economias abiertas, especialmente las emergentes y las exportadoras de productos primarios, t... more Las economias abiertas, especialmente las emergentes y las exportadoras de productos primarios, tienen que hacer frente a grandes shocks externos. Las reacciones de politica y el marco de politica economica pueden potencialmente amplificar o atenuar las consecuencias de estos shocks. En este trabajo analizamos las experiencias de Australia, Brasil y Chile en cuanto a sus reacciones de politica economica a los mayores shocks de los ultimos ocho anos y presentamos una descripcion de los distintos marcos de politica macroeconomica implementados por estos paises y las lecciones que se pueden extraer de su experiencia.
This is a Working Paper and the author(s) would welcome any comments on the present text. Citatio... more This is a Working Paper and the author(s) would welcome any comments on the present text. Citations should refer 10a Working Paper o/the International Monetary Fund. The views expressed are those of the author(s) and do not necessarily represent those of the Fund.
This is a Working Paper and the author(s) would welcome any comments on the present text. Citatio... more This is a Working Paper and the author(s) would welcome any comments on the present text. Citations should refer to a Working Paper of the International Monetary Fund. The views expressed are those of the author(s) and do not necessarily represent those of the Fund.
This paper evaluates monetary policy and its relationship with the exchange rate in five Asian cr... more This paper evaluates monetary policy and its relationship with the exchange rate in five Asian crisis countries. The findings are compared with previous currency crises in recent history. The paper finds no evidence of overly tight monetary policy in the Asian crisis countries in 1997 and early 1998, nor 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 called for the reversal of overly depreciated currencies through firmer monetary policy.
Inflation Targeting. Debt, and the Brazilian Experience, 1999 to 2003 edited by Francesco Giavazz... more Inflation Targeting. Debt, and the Brazilian Experience, 1999 to 2003 edited by Francesco Giavazzi, Nan Goldfajn, and Santiago Herrera Inflation targetingwhen central bank policies set specific inflation rate objectivesis widely used by both developed and developing ...
This paper investigates the contagion from Russia to Brazil in late 1998 under two dimensions-pla... more This paper investigates the contagion from Russia to Brazil in late 1998 under two dimensions-players involved and the timing of events. The data does not seem to reflect a compensatory liquidation of assets story by international institutional investors. It does contribute, however, to the suspicion that the contagion was triggered by foreign investors panicking from the Russian crisis, and joining local residents on their speculation against the Brazilian real. Adjusted correlations in the Brady market increase significantly during the crisis, which lends support to the view that if there was a contagion from Russia to Brazil, the most likely place of the transmission was the offshore Brady market. Finally, the paper does not support the hypothesis that it was the liquidity crisis in mature markets, and not the Russian crisis, that timed the crisis in Brazil.
This is a Working Paper and the author(s) would welcome any comments on the present text. Citatio... more This is a Working Paper and the author(s) would welcome any comments on the present text. Citations should refer 10a Working Paper o/the International Monetary Fund. The views expressed are those of the author(s) and do not necessarily represent those of the Fund.
Could Latin America economy have recovered as fast from the global crisis if it was not for China... more Could Latin America economy have recovered as fast from the global crisis if it was not for China's performance? Did domestic fundamentals help the recovery along? In this article, we offer some evidence that better fundamentals indeed mattered, as Latin American countries were less vulnerable to external shocks than in the past. Buffers built up in previous years allowed countries to implement counter-cyclical policies in the aftermath of the Lehman Brothers bankruptcy. But what conditions allowed a sizable monetary stimulus to be implemented? Why were the fiscal targets adopted by most countries not a constraint on fiscal stimulus? In this article, we address these questions and other, more idiosyncratic questions as well (including: why the Mexican peso has underperformed its peers; whether partial dollarization in Peru was a constraint on monetary easing; why monetary and fiscal stimulus was relatively limited in Mexico; and what factors allowed Chile to implement a monetary response similar to that of developed economies). The opinions expressed in this Working Paper are those of the author(s), not necessarily those of Itaú Unibanco.
?La economia de America Latina se habria podido recuperar tan rapidamente de la crisis global si ... more ?La economia de America Latina se habria podido recuperar tan rapidamente de la crisis global si no hubiera sido por el desempeno de China? ?Los fundamentos internos ayudaron a su vez a lo largo de la recuperacion? En este documento, ofrecemos alguna evidencia de que mejores fundamentos de hecho resultaron de importancia. La generacion de mecanismos de contencion en los anos previos permitio a los paises ejecutar politicas anticiclicas tras la bancarrota de Lehman Brothers. Pero, ?que condiciones permitieron que se ejecutara un estimulo monetario considerable? ?Por que las metas fiscales adoptadas por la mayor parte de los paises no resultaron una restriccion al estimulo fiscal? Adicionalmente, abordamos estas preguntas y otras, mas idiosincrasicas (incluidas: ?por que el peso mexicano ha mostrado un desempeno por debajo de sus pares?; si la dolarizacion en Peru resulto en una restriccion para el relajamiento monetario; y ?que factores le permitieron a Chile llevar a cabo una respuesta monetaria similar a la de economias desarrolladas?)
This paper creates an index of capital controls to analyze the determinants of capital flows to B... more This paper creates an index of capital controls to analyze the determinants of capital flows to Brazil, accounting for the endogeneity of capital controls by considering a government that sets controls in response to capital flows. It finds that the government reacts strongly to capital flows by increasing controls on inflows during booms and relaxing them in moments of distress. The paper estimates a vector autoregression with capital flows, controls, and interest differentials. It shows that controls have been temporarily effective in altering levels and composition of capital flows but have had no sustained effects in the long run.
This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, I... more This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Crosscountry 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.
This paper empirically analyzes a broad range of real exchange rate appreciation episodes. The ca... more This paper empirically analyzes a broad range of real exchange rate appreciation episodes. The cases are identified after compiling a large sample of monthly multilateral real exchange rates from 1960 to 1994. The objective is twofold. First, the paper studies the dynamics of appreciations, avoiding the sample selection of analyzing exclusively the crisis (or devaluation) cases. Second, the paper analyzes the mechanism by which overvaluations are corrected. In particular, we are interested in the proportion of the reversions that occur through nominal devaluations, rather than cumulative inflation differentials. We calculate the probability of undoing appreciations without nominal depreciations for various degrees of misalignment. The overall conclusion is that it is very unlikely to undo large and medium appreciations without nominal devaluations.
Rogoff, and seminar participants at Princeton University for their comments. We are also grateful... more Rogoff, and seminar participants at Princeton University for their comments. We are also grateful to Fabia A. de Carvalho, Eduardo Loyo and Marcio I. Nakane for their suggestions, to Thaís P. Ferreira and Myrian B. S. Petrassi for research assistance, and to Marcileide A. da Silva and Raquel K. de S. Tsukada for assistance with data. The views expressed are those of the authors and not necessarily those of the Central Bank of Brazil. The views expressed herein are those of the authors and are not necessarily those of the National Bureau of Economic Research.
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