Interpretando hiperinflação como bolhas racionais: o caso da América Latina
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2021-11-16Autor
Revoredo, Jonatas Rodrigues
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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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