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Short and long-run relations between capital netflows and the differential of american and brazilian interest rates

Author

Listed:
  • Alan M. M. Leal

    (UFMG)

  • Stefan D'Amato

    (UFMG)

  • Igor V. M. Viveiros

    (UFMG)

Abstract

This works aims at investigating the possible cointegration of the difference between the Brazilian and American real interest rates and the Brazilian capital netflows. Our main methodology is that of cointegrating processes, using spectral analysis. A cointegration process in the frequency domain allows us to test whether two series are of the same order of integration, even if this order is not 1, and given the lower order of the residuals of one series over the other, to affirm that a couple of series are cointegrated. We use those tests and we find that there is indeed cointegration between these two series and they also move similarly in the short-run.

Suggested Citation

  • Alan M. M. Leal & Stefan D'Amato & Igor V. M. Viveiros, 2021. "Short and long-run relations between capital netflows and the differential of american and brazilian interest rates," Textos para Discussão Cedeplar-UFMG 629, Cedeplar, Universidade Federal de Minas Gerais.
    • Handle: RePEc:cdp:texdis:td629
    as

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    File URL: https://www.cedeplar.ufmg.br/pesquisas/td/TD%20629.pdf
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    References listed on IDEAS

    as
    1. Guillermo A. Calvo & Leonardo Leiderman & Carmen M. Reinhart, 1993. "Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors," IMF Staff Papers, Palgrave Macmillan, vol. 40(1), pages 108-151, March.
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    4. Taylor, Mark P & Sarno, Lucio, 1997. "Capital Flows to Developing Countries: Long- and Short-Term Determinants," The World Bank Economic Review, World Bank, vol. 11(3), pages 451-470, September.
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    11. Guillermo A. Calvo & Leonardo Leiderman & Carmen M. Reinhart, 1993. "Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors," IMF Staff Papers, Palgrave Macmillan, vol. 40(1), pages 108-151, March.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    capital netflows; interest rates; cointegration; spectral analysis.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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