Recent works for mature markets on covered interest parity suggest that deviations are mean reverting but persistent particularly after 2008 crisis. (Du et al. (2018)) Our study aims to contribute to the literature by modelling the deviations from covered interest rate parity (CIP) of an...

Assessing real effective exchange rate equilibrium is a challenging task. There is no consensus in the literature on which methodologies and norms apply best to tackle real effective exchange rate misalignment estimation. The novelty of our paper consists of showing that different methodologies...

This work aims to compare the forecast efficiency of different types of methodologies applied to Brazilian consumer inflation (IPCA). We will compare forecasting models using disaggregated and aggregated data from IPCA over twelve months ahead. We used IPCA in a monthly basis, over the period...

Assessing linkages across different regions and how macroeconomic shocks spread out across regions is not an easy task. In this study we address this problem using a global vector autoregressive methodology that deals with the curse of dimensionality in an ingenious form. Focusing on the...

The seminal study of Meese and Rogoff (1983) on exchange rate forecastability had a great impact on the international finance literature. The authors showed that exchange rate forecasts based on structural models are worse than a naive random walk. This result is known as the Meese-Rogoff (MR)...

The negotiations of mega agreements between the US and the Pacific countries (TPP) and between the US and the EU (TTIP) are raising the attention of experts on international trade law and economics. TPP and TTIP are proclaimed to be the designers of the rules for the XXI Century. Old trade...

Real exchange rate is an important macroeconomic price in the economy and affects economic activity, interest rates, domestic prices, trade and investments flows among other variables. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real...

The main goal of this paper is to assess the effectiveness of government spending policy in Brazil through the impact of fiscal stimuli on output. With a sample spanning from 1997 to 2018, the paper scrutinizes the estimations controlling the state of the economy, nonlinearity approach, and the...

A large effort in research was made in order to assess which are the determining factors in bank spreads. Employing information asymmetry indicators based on the World Bank's quot;Doing Businessquot; survey, we aim to investigate the role that information asymmetry plays in bank spreads. The...

Exchange rates are important macroeconomic prices and changes in these rates affect economic activity, prices, interest rates, and trade flows. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real effective exchange is overvalued or...