Interpretando hiperinflação como bolhas racionais: o caso da América Latina
Autor(a) principal: | |
---|---|
Data de Publicação: | 2021 |
Tipo de documento: | Trabalho de conclusão de curso |
Idioma: | por |
Título da fonte: | Repositório Institucional da UFSCAR |
Texto Completo: | https://repositorio.ufscar.br/handle/ufscar/15180 |
Resumo: | Inflation is one of the most fruitful areas of the economy, being the target of several studies and hypotheses, whose control is essential for the maintenance of economic stability and social well-being. Appropriate policy management to deal with hyperinflationary environments is dependent on the inflation-generating factor, an incorrect diagnosis will lead to unresolved measures. Thus, the early identification of price movements and the root of their causes become decisive factors in the implementation of efficient actions for hyperinflationary control.One of the factors that affect the price trajectory is the demand for currency, which in times of inflationary surges tends to be determined by agents' speculative factors. Thus, the present work advances in the identification of bubbles of a speculative nature, the so-called rational bubbles. These are bubbles that are influenced by the behavior of agents, detaching themselves from the endogenous factors that should explain their variations. Thus, the crucial hypothesis of the work is that discrepant changes between the price level and the market fundamentals in hyperinflationary periods configure the existence of a rational bubble. A money demand model that relates real money stocks to a single variable, inflation expectations, is used as a structural model. Such a model presents great adequacy in hyperinflationary periods, duet o the behavior of agents on future price speculation. For the identification of bubbles in the series, the RADF, SADF and GSADF tests were used, which apply ADF tests on the sample, alternating the taking of the windows within the sample. To verify the relationship between the price level and market fundamentals, cointegration tests were used. The results for the money demand model were robust both in terms of what the theory predicts and adequacy and adjustment statistics. Bubble tests identified 11 total bubbles in the series for Bolivia, Brazil, ChileColombia, Peru, and Suriname. Of these, Brazil, Peru, and Suriname presented zero cointegration vectors in the trace and Lambda Maxtests, between the logarithm variables of prices, exchange rate, and monetary base, identifying the presence of rational bubbles in the hyperinflationary processes of these countries. |
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Revoredo, Jonatas RodriguesSilva Junior, Geraldo Edmundohttp://lattes.cnpq.br/5138808982229139http://lattes.cnpq.br/85124691968965940a994f33-12f7-4271-ace5-95c57d5fe3ee2021-11-26T21:12:07Z2021-11-26T21:12:07Z2021-11-16REVOREDO, Jonatas Rodrigues. Interpretando hiperinflação como bolhas racionais: o caso da América Latina. 2021. Trabalho de Conclusão de Curso (Graduação em Ciências Econômicas) – Universidade Federal de São Carlos, Sorocaba, 2021. Disponível em: https://repositorio.ufscar.br/handle/ufscar/15180.https://repositorio.ufscar.br/handle/ufscar/15180Inflation is one of the most fruitful areas of the economy, being the target of several studies and hypotheses, whose control is essential for the maintenance of economic stability and social well-being. Appropriate policy management to deal with hyperinflationary environments is dependent on the inflation-generating factor, an incorrect diagnosis will lead to unresolved measures. Thus, the early identification of price movements and the root of their causes become decisive factors in the implementation of efficient actions for hyperinflationary control.One of the factors that affect the price trajectory is the demand for currency, which in times of inflationary surges tends to be determined by agents' speculative factors. Thus, the present work advances in the identification of bubbles of a speculative nature, the so-called rational bubbles. These are bubbles that are influenced by the behavior of agents, detaching themselves from the endogenous factors that should explain their variations. Thus, the crucial hypothesis of the work is that discrepant changes between the price level and the market fundamentals in hyperinflationary periods configure the existence of a rational bubble. A money demand model that relates real money stocks to a single variable, inflation expectations, is used as a structural model. Such a model presents great adequacy in hyperinflationary periods, duet o the behavior of agents on future price speculation. For the identification of bubbles in the series, the RADF, SADF and GSADF tests were used, which apply ADF tests on the sample, alternating the taking of the windows within the sample. To verify the relationship between the price level and market fundamentals, cointegration tests were used. The results for the money demand model were robust both in terms of what the theory predicts and adequacy and adjustment statistics. Bubble tests identified 11 total bubbles in the series for Bolivia, Brazil, ChileColombia, Peru, and Suriname. Of these, Brazil, Peru, and Suriname presented zero cointegration vectors in the trace and Lambda Maxtests, between the logarithm variables of prices, exchange rate, and monetary base, identifying the presence of rational bubbles in the hyperinflationary processes of these countries.A inflação é uma das áreas mais profícuas da economia, sendo alvo de diversos estudos e hipóteses, cujo controle é essencial para a manutenção da estabilidade econômica e bem-estar social. A condução política adequada para lidar com ambientes hiperinflacionários é dependente do fator gerador da inflação, um diagnóstico incorreto induzirá a medidas sem resultados. Sendo assim, a identificação antecipada do movimento de preços e da raiz de suas causas tornam-se fatores decisivos na implementação de ações eficientes para o controle hiperinflacionário. Um dos fatores que afetam a trajetória dos preços é a demanda por moeda, que em momentos de surtos inflacionários tende a ser determinada por fatores especulativos dos agentes. Dessa forma, o presente trabalho avança na identificação de bolhas de natureza especulativa, as chamadas bolhas racionais. Tratam-se de bolhas que são influenciadas pelo comportamento dos agentes, descolando-se dos fatores endógenos que deveriam explicar suas variações. Assim, a hipótese crucial do trabalho é que alterações discrepantes entre nível de preços e os fundamentos de mercado em períodos hiperinflacionários configuram a existência de uma bolha racional. É utilizado como modelo estrutural um modelo de demanda por moeda que relaciona os estoques monetários reais à uma única variável, as expectativas de inflação. Tal modelo apresenta grande adequação em períodos hiperinflacionários, devido ao comportamento dos agentes sobre especulação de preços futuros. Para a identificação de bolhas nas séries foram utilizados os testes RADF, SADF e GSADF, que aplicam testes ADF na amostra alternando o tomando das janelas dentro da amostra. Para a verificação de relações entre nível de preços e fundamentos de mercado foi utilizado os testes de cointegração. Os resultados para o modelo de demanda por moeda foram robustos tanto em questão ao que a teoria prevê, quanto a adequação e estatísticas de ajuste. Os testes de bolhas identificaram 11 bolhas totais nas séries da Bolívia, Brasil, Chile Colômbia, Peru e Suriname. Desses, Brasil, Peru e Suriname apresentaram zero vetores de cointegração nos testes do traço e Lambda Max, entre as variáveis logaritmo dos preços, da taxa de câmbio e da base monetária, identificando a presença de bolhas racionais nos processos hiperinflacionários desses países.Não recebi financiamentoporUniversidade Federal de São CarlosCâmpus SorocabaCiências Econômicas - CEc-SoUFSCarAttribution-NonCommercial-NoDerivs 3.0 Brazilhttp://creativecommons.org/licenses/by-nc-nd/3.0/br/info:eu-repo/semantics/openAccessHiperinflaçãoTeste GSADFBolhas racionaisHyperinflationGSADF testRational bubblesCIENCIAS SOCIAIS APLICADAS::ECONOMIA::ECONOMIA MONETARIA E FISCAL::TEORIA MONETARIA E FINANCEIRAInterpretando hiperinflação como bolhas racionais: o caso da América LatinaInterpreting hyperinflation as rational bubbles: the America Latina Caseinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/bachelorThesis60060003366850-7eab-46e0-a25b-ea2303fb4166reponame:Repositório Institucional da UFSCARinstname:Universidade Federal de São Carlos (UFSCAR)instacron:UFSCARORIGINALTCC-Jonatas Rodrigues Revoredo-UFSCAR.pdfTCC-Jonatas Rodrigues Revoredo-UFSCAR.pdfMain textapplication/pdf1382565https://repositorio.ufscar.br/bitstream/ufscar/15180/1/TCC-Jonatas%20Rodrigues%20Revoredo-UFSCAR.pdfd83b352d68adcdd6b39ee9ede46fc5adMD51CC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-8811https://repositorio.ufscar.br/bitstream/ufscar/15180/2/license_rdfe39d27027a6cc9cb039ad269a5db8e34MD52TEXTTCC-Jonatas Rodrigues Revoredo-UFSCAR.pdf.txtTCC-Jonatas Rodrigues Revoredo-UFSCAR.pdf.txtExtracted texttext/plain86486https://repositorio.ufscar.br/bitstream/ufscar/15180/3/TCC-Jonatas%20Rodrigues%20Revoredo-UFSCAR.pdf.txt8e9c0661dfbf7f9e49e6289a556e940cMD53THUMBNAILTCC-Jonatas Rodrigues Revoredo-UFSCAR.pdf.jpgTCC-Jonatas Rodrigues Revoredo-UFSCAR.pdf.jpgIM Thumbnailimage/jpeg5496https://repositorio.ufscar.br/bitstream/ufscar/15180/4/TCC-Jonatas%20Rodrigues%20Revoredo-UFSCAR.pdf.jpga35ea86806d8eb6ed56cebe4dcef9437MD54ufscar/151802023-09-18 18:32:23.114oai:repositorio.ufscar.br:ufscar/15180Repositório InstitucionalPUBhttps://repositorio.ufscar.br/oai/requestopendoar:43222023-09-18T18:32:23Repositório Institucional da UFSCAR - Universidade Federal de São Carlos (UFSCAR)false |
dc.title.por.fl_str_mv |
Interpretando hiperinflação como bolhas racionais: o caso da América Latina |
dc.title.alternative.eng.fl_str_mv |
Interpreting hyperinflation as rational bubbles: the America Latina Case |
title |
Interpretando hiperinflação como bolhas racionais: o caso da América Latina |
spellingShingle |
Interpretando hiperinflação como bolhas racionais: o caso da América Latina Revoredo, Jonatas Rodrigues Hiperinflação Teste GSADF Bolhas racionais Hyperinflation GSADF test Rational bubbles CIENCIAS SOCIAIS APLICADAS::ECONOMIA::ECONOMIA MONETARIA E FISCAL::TEORIA MONETARIA E FINANCEIRA |
title_short |
Interpretando hiperinflação como bolhas racionais: o caso da América Latina |
title_full |
Interpretando hiperinflação como bolhas racionais: o caso da América Latina |
title_fullStr |
Interpretando hiperinflação como bolhas racionais: o caso da América Latina |
title_full_unstemmed |
Interpretando hiperinflação como bolhas racionais: o caso da América Latina |
title_sort |
Interpretando hiperinflação como bolhas racionais: o caso da América Latina |
author |
Revoredo, Jonatas Rodrigues |
author_facet |
Revoredo, Jonatas Rodrigues |
author_role |
author |
dc.contributor.authorlattes.por.fl_str_mv |
http://lattes.cnpq.br/8512469196896594 |
dc.contributor.author.fl_str_mv |
Revoredo, Jonatas Rodrigues |
dc.contributor.advisor1.fl_str_mv |
Silva Junior, Geraldo Edmundo |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/5138808982229139 |
dc.contributor.authorID.fl_str_mv |
0a994f33-12f7-4271-ace5-95c57d5fe3ee |
contributor_str_mv |
Silva Junior, Geraldo Edmundo |
dc.subject.por.fl_str_mv |
Hiperinflação Teste GSADF Bolhas racionais |
topic |
Hiperinflação Teste GSADF Bolhas racionais Hyperinflation GSADF test Rational bubbles CIENCIAS SOCIAIS APLICADAS::ECONOMIA::ECONOMIA MONETARIA E FISCAL::TEORIA MONETARIA E FINANCEIRA |
dc.subject.eng.fl_str_mv |
Hyperinflation GSADF test Rational bubbles |
dc.subject.cnpq.fl_str_mv |
CIENCIAS SOCIAIS APLICADAS::ECONOMIA::ECONOMIA MONETARIA E FISCAL::TEORIA MONETARIA E FINANCEIRA |
description |
Inflation is one of the most fruitful areas of the economy, being the target of several studies and hypotheses, whose control is essential for the maintenance of economic stability and social well-being. Appropriate policy management to deal with hyperinflationary environments is dependent on the inflation-generating factor, an incorrect diagnosis will lead to unresolved measures. Thus, the early identification of price movements and the root of their causes become decisive factors in the implementation of efficient actions for hyperinflationary control.One of the factors that affect the price trajectory is the demand for currency, which in times of inflationary surges tends to be determined by agents' speculative factors. Thus, the present work advances in the identification of bubbles of a speculative nature, the so-called rational bubbles. These are bubbles that are influenced by the behavior of agents, detaching themselves from the endogenous factors that should explain their variations. Thus, the crucial hypothesis of the work is that discrepant changes between the price level and the market fundamentals in hyperinflationary periods configure the existence of a rational bubble. A money demand model that relates real money stocks to a single variable, inflation expectations, is used as a structural model. Such a model presents great adequacy in hyperinflationary periods, duet o the behavior of agents on future price speculation. For the identification of bubbles in the series, the RADF, SADF and GSADF tests were used, which apply ADF tests on the sample, alternating the taking of the windows within the sample. To verify the relationship between the price level and market fundamentals, cointegration tests were used. The results for the money demand model were robust both in terms of what the theory predicts and adequacy and adjustment statistics. Bubble tests identified 11 total bubbles in the series for Bolivia, Brazil, ChileColombia, Peru, and Suriname. Of these, Brazil, Peru, and Suriname presented zero cointegration vectors in the trace and Lambda Maxtests, between the logarithm variables of prices, exchange rate, and monetary base, identifying the presence of rational bubbles in the hyperinflationary processes of these countries. |
publishDate |
2021 |
dc.date.accessioned.fl_str_mv |
2021-11-26T21:12:07Z |
dc.date.available.fl_str_mv |
2021-11-26T21:12:07Z |
dc.date.issued.fl_str_mv |
2021-11-16 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/bachelorThesis |
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bachelorThesis |
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dc.identifier.citation.fl_str_mv |
REVOREDO, Jonatas Rodrigues. Interpretando hiperinflação como bolhas racionais: o caso da América Latina. 2021. Trabalho de Conclusão de Curso (Graduação em Ciências Econômicas) – Universidade Federal de São Carlos, Sorocaba, 2021. Disponível em: https://repositorio.ufscar.br/handle/ufscar/15180. |
dc.identifier.uri.fl_str_mv |
https://repositorio.ufscar.br/handle/ufscar/15180 |
identifier_str_mv |
REVOREDO, Jonatas Rodrigues. Interpretando hiperinflação como bolhas racionais: o caso da América Latina. 2021. Trabalho de Conclusão de Curso (Graduação em Ciências Econômicas) – Universidade Federal de São Carlos, Sorocaba, 2021. Disponível em: https://repositorio.ufscar.br/handle/ufscar/15180. |
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https://repositorio.ufscar.br/handle/ufscar/15180 |
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Universidade Federal de São Carlos Câmpus Sorocaba Ciências Econômicas - CEc-So |
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