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  • 标题:Testing Nonlinearities between Brazilian Exchange Rate and Inflation Volatilities
  • 本地全文:下载
  • 作者:Christiane Rocha Albuquerque ; Marcelo S. Portugal
  • 期刊名称:Revista Brasileira de Economia
  • 印刷版ISSN:0034-7140
  • 出版年度:2006
  • 卷号:60
  • 期号:4
  • 页码:325-351
  • 语种:English
  • 出版社:Escola de Pós-Graduação em Economia da FGV
  • 摘要:There are few studies, directly addressing exchange rate and inflation volatilities, and lack of consensus among them. However, this kind of study is necessary, especially under an inflation-targeting system where the monetary authority must know well price behavior. This article analyses the relation between exchange rate and inflation volatilities using a bivariate GARCH model, and therefore modeling conditional volatilities, fact largely unexplored by the literature. We find a semi-concave relation between those series, and this nonlinearity may explain their apparently disconnection under a floating exchange rate system. The article also shows that traditional tests, with non-conditional volatilities, are not robust.
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