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Measuring the impact of financial flows on macroeconomic variables: the case of Brazil after the 2008 crisis

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  • Roberto Meurer

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    (Universidade Federal de Santa Catarina)

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    Abstract

    The effects of changes in foreign portfolio investment flows on Brazilian GDP and investment during the financial crisis of 2008 are evaluated through impulse-response functions, parsimonious models, and out of sample forecasts. Impulse-response functions results show a positive relation between fixed income flows and GDP and investment, but this relation is not as strong between the real variables and equity flows, although these flows anticipate GDP and investment behavior. Expectations seem to have an important role in explaining GDP and investment, which also have an influence on flows. The reduced vulnerability of the Brazilian economy consequently lessened the effect of the crisis when compared with previous crisis episodes.

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    File URL: http://www.economiaetecnologia.ufpr.br/textos_discussao/texto_para_discussao_ano_2011_texto_07.pdf
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    Bibliographic Info

    Paper provided by Universidade Federal do Paraná, Department of Economics in its series Working Papers with number 0117.

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    Length: 17 pages
    Date of creation: 2011
    Date of revision:
    Handle: RePEc:fup:wpaper:0117

    Note: Creation Date corresponds to the year in which the paper was published on the Department of Economics website. The paper may have been written a small number of months before its publication date.
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    Keywords: foreign portfolio investment; growth; investment; crisis; Brazil;

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    1. Perron, P., 1989. "Testing For A Unit Root In A Time Series With A Changing Mean," Papers 347, Princeton, Department of Economics - Econometric Research Program.
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    11. Baur, Dirk G. & Lucey, Brian M., 2009. "Flights and contagion--An empirical analysis of stock-bond correlations," Journal of Financial Stability, Elsevier, vol. 5(4), pages 339-352, December.
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    13. Fernando A. Ribeiro Soares & Mauricio Barata de Paula Pinto & Tito Belchior Silva Moreira, 2010. "An alternative methodology for testing currency crises resulting from imbalances in macroeconomic fundamentals," Applied Financial Economics, Taylor & Francis Journals, vol. 20(13), pages 1051-1056.
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