A piramide e a esfinge : estudo sobre a hierarquia das divisas, a integração financeira de paises perifericos e a volatilidade de cambio e juros / The Pyramid and the Sphinx : a study on currency hierarchy, financial integration of peripheral countries and the volatility of exchange

AUTOR(ES)
DATA DE PUBLICAÇÃO

2008

RESUMO

This dissertation consists of a theoretical analysis and an empirical study on the effects of international financial integration on the volatility of macroeconomic variables, such as exchange rates and interest rates in peripheral countries. In the proposed theoretical approach, which is developed in the first chapter, the analysis starts with a qualitative theory of money to characterize two monetary spaces: a domestic space, where the National State rules over the acceptation of money, and an international space, where other factors determine the use of money. Thus, two hierarchical monetary structures are characterized, and they interact through trading of financial assets between residents and non-residents. The hypothesis that permeates the analysis is that the exposure of weak currency countries to free trading of currencies brings, as a consequence, great volatility in exchange rates and interest rates. In the empirical part of our work, which is developed in the second chapter, we try to evaluate the relationship between the type of financial integration and the volatility of exchange and interest rates. First, we make an analysis of the intensity and the quality of financial integration of eight countries, four Latin American; Argentina, Brazil, Chile and Mexico, and four Asians; Korea, India, Indonesia and Malaysia. And, through statistics measures applied to stocks and flows of financial assets, we make a typology of financial integration patterns of these countries between 1990 and 2006. Then, we verify the hypothesis that the volatility of macroeconomic variables of these countries is associated with the kinds of financial integration. In other words, the work pursuit to check whether in countries with worse financial integration pattern the volatility of exchange and interest rates is greater. Once confirmed this hypothesis, we review a direct implication of this discussion that regards the degree of monetary policy autonomy. Three key issues will be put in this work; the hierarchy of currencies, the financial integration pattern and the volatility of both exchange and interest rates. These three issues are connected around a central problem that, in our view, is associated to a monetary characteristic of underdevelopment. The root of this problem is the hierarchy of international currencies, financial capital flows are its channel of transmission, and the effect of this problem is the volatility of macroeconomic variables such as exchange and interest rates.

ASSUNTO(S)

hierarchy interest rate money cambio - taxas taxa de juros exchange rate hierarquias moeda

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