Testing Nonlinearities between Brazilian Exchange Rate and Inflation Volatilities

dc.creatorAlbuquerque, Christiane Rocha
dc.creatorPortugal, Marcelo S.
dc.date2006-02-22
dc.date.accessioned2023-08-31T21:06:14Z
dc.date.available2023-08-31T21:06:14Z
dc.identifierhttps://periodicos.fgv.br/rbe/article/view/963
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/8559380
dc.descriptionThere are few studies, directly addressing exchange rate and inflation volatilities, and lack of consensus among them. However, this kind of study is necessary, especially under an inflation-targeting system where the monetary authority must know well price behavior. This article analyses the relation between exchange rate and inflation volatilities using a bivariate GARCH model, and therefore modeling conditional volatilities, fact largely unexplored by the literature. We find a semi-concave relation between those series, and this nonlinearity may explain their apparently disconnection under a floating exchange rate system. The article also shows that traditional tests, with non-conditional volatilities, are not robust.en-US
dc.formatapplication/pdf
dc.formatapplication/pdf
dc.languageeng
dc.languagepor
dc.publisherEGV EPGEpt-BR
dc.relationhttps://periodicos.fgv.br/rbe/article/view/963/179
dc.relationhttps://periodicos.fgv.br/rbe/article/view/963/499
dc.sourceRevista Brasileira de Economia; Vol. 60 No. 4 (2006); 325-351en-US
dc.sourceRevista Brasileira de Economia; v. 60 n. 4 (2006); 325-351pt-BR
dc.source1806-9134
dc.source0034-7140
dc.titleTesting Nonlinearities between Brazilian Exchange Rate and Inflation Volatilitiesen-US
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion
dc.typeArticlesen-US
dc.typeArtigospt-BR


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