Interpretando hiperinflação como bolhas racionais: o caso da América Latina

Abstract

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.