Exercicios Intern. I
Finanças Internacionais
Prof: Paulo Sérgio Tenani
Este é um curso introdutório aos tópicos Finanças Internacionais e Macroeconomia
Aberta e tem por objetivo desenvolver o instrumental analítico e econométrico
necessários para uma melhor compreensão dos muitos canais pelos quais a taxa de
câmbio afeta as variáveis econômicas. A primeira metade do curso, International
Finance, trata das propriedades da taxa de câmbio – mais especificamente de seu
comportamento e características estocásticas – e tenta explicar desvios das condiçoes de
arbitragem, através do comportamento do prêmio pelo risco e de uma série de “small
sample problems”. O livro texto é Jacob Frenkel’s “On Exchange Rates” mas o livro de
Robert Hodrick , “The Empirical Evidence on the Efficiency of the Foreign Exchange
Market”, da Harwood Academic Press é também uma referência importante. Sempre que
possível - ou quando existirem referências,- estarei replicando as regularidades empíricas
encontradas no comportamento das taxas de câmbio dos países desenvolvidos para o caso
brasileiro e de alguns outros países emergentes.
A segunda metade do curso, Macroeconomia Aberta, lida com as dimensões estáticas e
intertemporais da taxa de câmbio e analisa seus efeitos sobre preços relativos, nível de
atividade, conta corrente, taxas de juros, consumo e conta de capitais – sob a ótica de
diferentes regime cambias e políticas econômicas. O livro texto para esta segunda metade
do curso é “International Finance and Open-Economy Macroeconomics”, de Giancarlo
Gandolfo, da Springer. O livro Foundations of International Macroeconomics”, de
Maurice Obstfeld e Kenneth Rogoff, da Editora “The MIT Press” também é uma
referência importante e sua leitura é recomendada.
O curso terá 2/3 de aulas expositivas, que eu estarei ministrando, e 1/3 de aulas práticas e
de exercícios, a serem ministradas pelo monitor. A avaliação do curso será baseada em
duas provas, cada uma compondo 35% da nota final. O trabalho do curso e as listas de
exercícios terão um peso de 20% e 10% respectivamente. A seguir, segue a lista de
leitura para o curso – com as leituras obrigatórias marcadas com um asterisco.
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1) International
Finance
1.1) Introduction and the Gains from Capital Mobility
Cheung, Yin-Wong and Menzie D. Chinn (2002): “Empirical Exchange Rate Models of the Nineties: Are
any Fit to Survive”, NBER Working Paper 9393
Cumby, R. and Obstfeld (1981): “A Note on Exchange Rate Expectations and Nominal Interest Rate
Differentials”, Journal of Finance 36
Hansen, L. and R. Hodrick (1980): “Forward Exchange Rates as Optimal Predictors of Future Spot Rates”,
The Journal of Political Economy 88
Frenkel, J. (1981): “Flexible Exchange rates, Prices and the Role of News”, The Journal of Political
Economy 89
Levich, R. (1985): “Empirical Studies of Exchange Rates: Price Behavior, Rate Determination and Market
Efficiency”, in Handbook of International Economics, vol. II, chapter 14; Ronald Jones e Peter Kenen,
editors.
*Gandolfo, G. (2000): “International Finance and Open-Economy Macroeconomics”, chapters 1,2 and 3
Garcia, M. (2004): “O Mercado de Cambio no Brasil”, mimeo PUC-RJ.
*Mundell, R (1957): “International Trade and Factor Mobility”, American Economic Review, June 1957.
Obstfeld, M. (1993), “International Capital Mobility in the 1990s”, em P. Kenen (ed.), Understanding
Interdependence: The Macroeconomics of the Open Economy, Princeton: Princeton University Press,
pp.201-261.
*Hodrick, R. (1988): The Empirical Evidence on the Efficiency of the Foreign Exchange Market, Harwood
Academic Press, chapter 1
*Taylor, A. e Maurice Obstfeld (2002): “Globalization and Capital Markets”, NBER Working Paper 8846.
1.2) Purchasing Power Parity, Interest Rate Parity and Real Interest Rates
Cumby, R. and R. Mishkin (1986): “The International Linkage of Real Interest Rates: The European – US
Connection”, Journal of International Money and Finance 5
Cumby, R. and M. Obstfeld (1984): “International Interest Rates and Price Level Linkages under Flexible
Exchange Rates”, in Exchange Rates: Theory and Practice, editors J.F. Bilson and R. Marston, University
of Chicago Press
Cumby, R. and J. Huizinga (1990): “The Predictability of Real Exchange Rate Changes in the Short and
Long Run”, NBER Working Paper 3468
Frenkel, J. (1993): “On the Mark: A Theory of Floating Exchange Rates Based on Real Interest
Differentials” in Jacob Frenkel’s On Exchange Rates, chapter 3
Frenkel, J. (1993): “Monetary and Portfolio-Balance Models of the Determination of Exchange Rates” in
Jacob Frenkel’s On Exchange Rates, chapter 4
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*Frenkel, J. (1993): “Tests of Rational Expectations in the Forward Exchange Market” in Jacob Frenkel’s
On Exchange Rates, chapter 8
Frenkel, J. e A. MacArthur (1988), “Political vs Currency Premia in International Real Interest Rate
Differentials: A Study for 24 Countries”, European Economic Review, v.32, n.5, June.
*Gandolfo, G. (2000): “International Finance and Open-Economy Macroeconomics”, chapters 4 and 15
*Hodrick, R. (1988): The Empirical Evidence on the Efficiency of the Foreign Exchange Market, Harwood
Academic Press, pages 51-54
*Rogoff, K., Froot, K., and Kim M. (2001): The Law of one Price over 700 years, IMF Working Paper
01;174
1.3) Exchange Rate Risk Premium
*Fama, E. (1984): “Forward and Spot Exchange Rates” Journal of Monetary Economics 14
*Frenkel, J. (1993): “In Search of the Exchange Rate Risk Premium: A Six-Currency Test Assuming a
Mean-Variance Optimization” in Jacob Frenkel’s On Exchange Rates, chapter 10
Frenkel, J. (1993): “Recent Estimates of Time-Variation in the Conditional Variance and in the Exchange
Risk Premium” in Jacob Frenkel’s On Exchange Rates, chapter 11
Frenkel, J. and K. Froot (1993): “Forward Discount Bias: Is it an Exchange Risk Premium?” in Jacob
Frenkel’s On Exchange Rates, chapter 12
Hansen, L. and R. Hodrick (1983): “Risk Averse Speculation in the Forward Exchange Market”, in
Exchange Rates and International Macroeconomics, ed. By J. Frenkel, University of Chicago Press
*Hodrick, R. (1988): The Empirical Evidence on the Efficiency of the Foreign Exchange Market, Harwood
Academic Press, pages 84-96
*Lucas, R. (1982): “Interest Rates and Currency Prices in a Two-Country World”, Journal of Monetary
Economics 10
1.4) The Peso Problem
*Obstfeld, M. (1986): “Peso Problems, Bubbles and Risks in the Empirical Assessment of Exchange Rate
Behavior”, mimeo, University of Pennsylvania
*Lewis, K. (1988): “The Persistence of the Peso Problem When Policy is Noisy”, Journal of International
Money and Finance 7
Tabellini, G (1988): “Learning and the Volatility of Exchange Rates”, Journal of International Money and
Finance 7.
1.5) Exchange rate Expectations
*Frenkel, J. and K. Froot (1993): “Using Survey Data to Test Standard Propositions Regarding Exchange
Rate Expectations” in Jacob Frenkel’s On Exchange Rates, chapter 13
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*Frenkel, J. (1993): “Understanding the US Dollar in the Eighties: The Expectations of Chartists and
Fundamentalists” in Jacob Frenkel’s On Exchange Rates, chapter 14
*Frenkel, J. and K. Froot (1993): “Chartists, Fundamentalists, and Trading in the Foreign Exchange
Market”, in Jacob Frenkel’s On Exchange Rates, chapter 15
2) Open Economy Macroeconomics
2.1) Introduction: Course Overview, Historical Perspectives and The International
Monetary System
Edwards, Sebastian (2001),“Exchange Rate Regimes, Capital Flows and Crisis Prevention,” NBER
working paper 8529.
Eichengreen, Barry and Michael Mussa (1998) “Capital Account Liberalization: Theoretical and Practical
Aspects,” IMF Occasional paper n. 172.
Fernández-Arias, Eduardo e Ricardo Hausmann (2001), “The Redesign of the International Financial
Architecture from a Latin American Perspective: Who Pays the Bill?” Inter-American Development Bank,
Working Paper #440.
Kenen, P. (2000), “Financial-Sector Reform in Emerging-Market Countries: Getting the Incentives Right,”
mimeo.
Kenen, P. (1985): “Macroeconomic Theory and Policy: How the Closed Economy was Opened”, in
Handbook of International Economics, vol. II, chapter 13; Ronald Jones and Peter Kenen, editors.
Krugman, Paul (1995), “What do we need to know about the international monetary system?,” em P.
Kenen (ed.), Understanding Interdependence: The macroeconomics of the Open Economy, Princeton:
Princeton University Press), pp.509-530.
Niehans, Jurg (1984):“International Monetary Economics”, The John Hopkins University Press, chapter
1and 2.
Rogoff, K. (1999), “International Institutions for reducing Global Financial Instability,” Journal of
Economic Perspectives, v. 13, n.4, p. 21-42.
Rogoff, K. (2001), “On Why not a Global Currency,” mimeo.
2.2) Balance of Payments and the Foreign Exchange Market
Dornbusch, R. (1980): Open Economy Macroeconomics, chapters 1 and 2
*Gandolfo, G. (2000): “International Finance and Open-Economy Macroeconomics”, chapters 5 and 6
Kindleberger, C. (1969): “Measuring Equilibrium in the Balance of Payments”, Journal of Political
Economy, Nov/Dec.
Kenen, P. (2000): The International Economy, Cambridge University Press, chapter 12.
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*Krugman, Paul and Maurice Obstfeld (2000): International Economics: Theory and Policy, Sixth Edition,
Addison Wesley, chapter 12.
*Rivera-Batiz, Francisco and Luiz Rivera-Batiz (1994): “International Finance and Open Economy
Macroeconomics”, Prentice Hall, chapters 9,10,11,12
2.3) Income and the Current Account
Bruce, N. and Douglas Purvis (1985): “The Specification of Goods and Factor Markets in Open Economy
Macroeconomic Models”, in Handbook of International Economics, vol. II, chapter 16; Ronald Jones and
Peter Kenen, editors.
Dornbusch, R. (1980): Open Economy Macroeconomics, chapters 3, 7, 8, 9
*Gandolfo, G. (2000): “International Finance and Open-Economy Macroeconomics”, chapters 7, 8, 9
*Kenen, P. (2000): The International Economy, Cambridge University Press, chapter 13.
*Krugman, Paul e Maurice Obstfeld (2000), International Economics: Theory and Policy, Sixth Edition,
Addison Wesley, chapter 16.
Niehans, Jurg (1984): “International Monetary Economics” John Hopkins University Press, chapter 3.
2.4) Exchange Rates and the Current Account
Dornbusch, R. (1980): Open Economy Macroeconomics, chapters 4, 5, 6
*Gandolfo, G. (2000): “International Finance and Open-Economy Macroeconomics”, chapters 12, 13, 14
Goldsterin, M. and Moshin Khan (1985): “Income and Price Effects on Foreign Trade”, in Handbook of
International Economics, vol. II, chapter 20; Ronald Jones and Peter Kenen, editors.
*Kenen, P. (2000): The International Economy, Cambridge University Press, chapter 14.
*Krugman, Paul and Maurice Obstfeld (2000): International Economics: Theory and Policy, Sixth Edition,
Addison Wesley, chapter 15.
Niehans, Jurg (1984): “International Monetary Economics” John Hopkins University Press, chapters 4 and
5.
Obstfeld, M. and K. Rogoff (1996), Foundations of International Macroeconomics, Cambridge: The MIT
Press, sections 4.1 e 4.2.
*Rivera-Batiz, Francisco and Luiz Rivera-Batiz (1994): “International Finance and Open Economy
Macroeconomics”, Prentice Hall, chapters 13,14
Rogoff, K. (1996), “The Purchasing Power Parity Puzzle”, Journal of Economic Literature, XXXIV, June.
*Rogoff, K.; Froot, K, Kim, Michael (2001), “The Law of one Price over 700 years”, IMF Working paper
01/174, Nov.
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2.5) Exchange Rates and the Capital Account
Branson, W. and Dale Henderson (1985): “The Specification and Influence of Asset Markets”, in
Handbook of International Economics, vol. II, chapter 15; Ronald Jones and Peter Kenen, editors.
Dornbusch, R (1980): Open Economy Macroeconomics, ch.13
*Gandolfo, G. (2000): “International Finance and Open-Economy Macroeconomics”, chapters 12 and 13
*Kenen, P. (2000): The International Economy, Cambridge University Press, chapter 17.
*Krugman, Paul and Maurice Obstfeld (2000): International Economics: Theory and Policy, Sixth Edition,
Addison Wesley, chapters 13 and 14.
Niehans, Jurg (1984): “International Monetary Economics” John Hopkins University Press, chapters 6, 7,
8, 9, 10.
2.6) Exchange Rates, Exchange Rate Regimes and Economic Policy
Andrew, Rose (1999), "One Money, One Market: Estimating the Effects of a Common Currency on
Trade," mimeo, UC Berkeley, November.
Chang, Roberto e Andres Velasco (2000), "Financial Fragility and the Exchange Rate Regime," Journal of
Economic Theory, 92(1), May, pages 1-34.
*Dornbusch, R. (1976). “Expectations and Exchange Rate Dynamics,” Journal of Political Economy,
December, v.84, n.6.
Dornbusch, R. (1980) Open Economy Macroeconomics, ch.10, 11, 12
Drazen, Allan (2000), Political Economy in Macroeconomics, Capítulo 12, Princeton University Press.
Fleming, M. (1962) “Domestic Financial Policies Under Fixed and Under Floating Exchange Rates”, IMF
Staff Pappers
*Frenkel, J.A. and A. Razin (1987): “The Mundell-Fleming Model a Quarter of a Century Later,”
International Monetary Fund, Staff Papers, December.
*Frenkel, J. and M. Mussa (1985): “Asset Markets, Exchange Rates and the Balance of Payments”, in
Handbook of International Economics, vol. II, chapter 14; Ronald Jones and Peter Kenen, editors.
Gagnon, J. (1993), “Exchange Rate Variability and the Level of Trade,” Journal of International
Economics, May.
*Gandolfo, G. (2000): “International Finance and Open-Economy Macroeconomics”, chapters 10 and 11
Garber, P. e L. Svensson (1994), “Properties of Exchange Rate Regimes: Fixed vs. Flexible Exchange
Rates,” mimeo.
*Kenen, P. (2000): The International Economy, Cambridge University Press, chapter 16, 18.
*Krugman, Paul and Maurice Obstfeld (2000): International Economics: Theory and Policy, Sixth Edition,
Addison Wesley, chapter 17, 18, 19
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Marston, R. (1985): “Stabilization Policies in Open Economies”, in Handbook of International Economics,
vol. II, chapter 14; Ronald Jones and Peter Kenen, editors.
Mundell, R. (1961): “Flexible Exchange Rates and Employment Policy, Canadian Journal of Economics
Niehans, Jurg (1984): “International Monetary Economics” John Hopkins University Press, chapters 11,
12, 13, 14, 15.
Obstfeld, M. and Alan Stockman (1985): “Exchange Rate Dynamics”, in Handbook of International
Economics, vol. II, chapter 14; Ronald Jones and Peter Kenen, editors.
*Obstfeld, M. and K. Rogoff (1996): “Foundations of International Macroeconomics, Cambridge: The
MIT Press, chapters 8 and 9.
*Rivera-Batiz, Francisco e Luiz Rivera-Batiz (1994): “International Finance and Open Economy
Macroeconomics”, Prentice Hall, chapters 16, 17, 18
*Rogoff, K. (2001) “Dornbush’s Overshooting Model after Twenty-Five Years, IMF Working Paper
02/32, Feb.
2.7) Intertemporal Models of the Exchange Rate
*Gandolfo, G. (2000): “International Finance and Open-Economy Macroeconomics”, chapters 18 and 19
Milesi-Ferretti, G. e A. Razin (1996), “Current Account Sustainability: Selected East Asian and Latin
American Experiences”, NBER Working Paper 5791.
*Obstfeld, M. (2002): “International Macroeconomics: Beyond the Mundell-Fleming Model”, NBER
Working Paper 8369.
Obstfeld, M. (2002): “Exchange Rates and Adjustments: Perspectives from the New Open Economy
Macroeconomics”, NBER Working Paper 9118.
*Obstfeld, M. e K. Rogoff (1990): “The International Approach to the Current Account”, NBER Working
Paper 9814.
*Obstfeld, M. e K. Rogoff (1996): Foundations of International Macroeconomics, Cambridge: The MIT
Press, pages 1-27.
2.8) Speculative Atacks and Balance of Payment Crisis
Chang, Roberto e Andres Velasco (2001): "A Model of Financial Crises in Emerging Markets," The
Quarterly Journal of Economics, May, pages 489-517.
Eichengreen Barry, Rose K. Andrew e Wyplosz Charles (1995): “Exchange Market Mayhem,” Economic
Policy, October.
*Gandolfo, G. (2000): “International Finance and Open-Economy Macroeconomics”, chapters 16
Garber, P. e L. Svensson (1994): “The Operation and Collapse of Fixed Exchange Rate Regimes,” em
G.Grossman e K.Rogoff (eds), Handbook of International Economics, vol III, capítulo 36, North Holland.
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Goldberg, Linda S. (1994): “Predicting exchange rate crises,” Journal of International Economics 36 –
413-430.
Kaminsky, Graciela e Carmen Reinhart (2000): "The Twin Crises: The Causes of Banking and Balance of
Payments Problems," American Economic Review 89 (3), June.
Kaminsky, Graciela L e Reinhart, Carmen M. (2000): “On Crisis, Contagion and Confusion”, Journal of
International Economics 51(1), June, p. 145-68.
Kaminsky, Graciela, Saul, Lizondo e Reinhart, Carmen (1997): “Leading Indicator of Currency Crises,”
Board of Governors of the Federal Reserve System, The World Bank, Washington, D.C. and University of
Maryland, College Park, Maryland, February.
Obstfeld, M. (1994), “The Logic of Currency Crises” Banque de France, Cahiers économiques et
monétaires n. 43
Obstfeld, M. e K. Rogoff (1996), Foundations of International Macroeconomics, Cambridge: The MIT
Press, p. 558-569, 576-579, 648-654.
Sachs, Jeffrey, Aaron Tornell and Andrés Velasco (1996), “The Collapse of the Mexican Peso: What Have
We Learned?”, Economic Policy, April, 13-56.
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