| Three topics in international finance/open macroeconomics are studied. The first chapter explores asymmetries in the real exchange raze between the Italian lire, French franc; Deutsch mark, and the British pound using quantile autoregression methods developed by Koenker and Xiao (2002, 2004). We verified a strong heterokedasticity in the relations between the lire, franc, and mark, which was resolved by estimating a quadratic autoregressive model. We observed higher probability for the real exchange rate to appreciate (depreciate) given the currency was depreciated (appreciated). These probabilities were more similar when the real exchange assumed central values. Fatter tails were observed in the relations between the lire, franc and mark.; The second chapter extends the work of Cole and Kehoe (1996, 2000) to verify how confidence crises can affect the real side of the economy without triggering a default. This chapter was motivated by the empirical evidence in Brazil showing that (1) public debt and political uncertainty affect sovereign risk premium, and (2) risk premium explains physical investment. We consider a situation in which the probability of default increases due to political uncertainty preceding presidential elections. The candidate likely to win the match is viewed as anti-market, and market participants believe he would default for lower levels of debt, which increases risk premium and reduces the expected productivity of the firms. Investment falls before the new president takes office, reducing GDP in early stages of his mandate.; The third chapter analyzes issues about public debt maturity in a general equilibrium model of a small open economy under inflation target. Following a risk premium shock, the households of this economy suffer higher wealth losses if they finance the government with longer maturity nominal bond. This happens due to surprise inflation and because of the foregone returns not earned in a longer position. This result may explain the difficulty faced by several Treasuries of emerging economies to extend the debt maturity in moments of confidence crisis. Our simulations also indicate that stronger commitment to stable inflation helps a Treasury willing to extend debt maturity since it reduces wealth losses. |
