Banca de DEFESA: João Paulo Madureira Horta da Costa

Uma banca de DEFESA de DOUTORADO foi cadastrada pelo programa.
STUDENT : João Paulo Madureira Horta da Costa
DATE: 09/02/2024
TIME: 09:00
LOCAL: Vídeo Conferência
TITLE:

Essays of macroeconomic shocks, exchange rate dynamics, output reaction, and stock market return: the role of identified source and channels

KEY WORDS:

 

BGVAR, bayesian estimation, exchange rate pass-through, stock market, panel estimation, financial channel, trade channel.

PAGES: 113
BIG AREA: Ciências Sociais Aplicadas
AREA: Economia
SUMMARY:

This work analyzes the exchange rate pass-through and its determinants in emerging countries. It examines the impact of shocks on the exchange rate pass-through and identifies the source of the shocks that determine the degree of exchange rate pass-through. We show that the source of the shocks is essential to the price level response. The study also investigates the Brazilian Stock market responses conditional on the source of the shocks. The findings suggest domestic outcomes are more relevant for the Brazilian stock market return than foreign outcomes. Additionally, we show how local currency depreciation affects economic activity through trade and financial channels in different countries. We found a positive relation for the trade channel and a negative sign for the financial channel. However, in countries with more foreign currency claims than liabilities, the financial channel operates in the opposite direction, improving domestic financial conditions and boosting economic activity. This highlights the importance of banks’ foreign exchange rate position in determining the sign of the financial channel.

COMMITTEE MEMBERS:
Externo à Instituição - ANDRÉ MINELLA - BACEN
Interno - 1550794 - JOSE GUILHERME DE LARA RESENDE
Externo à Instituição - JOSÉ LUIZ ROSSI JÚNIOR - BID
Presidente - 2262223 - MARINA DELMONDES DE CARVALHO ROSSI
Interno - 1229140 - ROBERTO DE GOES ELLERY JUNIOR