Short and long-run relations between capital netflows and the differential of american and brazilian interest rates

Alan Leal, Stefan D'Amato and Igor Viveiros
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Stefan D'Amato: UFMG
Igor Viveiros: UFMG

No 629, Textos para Discussão Cedeplar-UFMG from Cedeplar, Universidade Federal de Minas Gerais

Abstract: This works aims at investigating the possible cointegration of the difference between the Brazilian and American real interest rates and the Brazilian capital netflows. Our main methodology is that of cointegrating processes, using spectral analysis. A cointegration process in the frequency domain allows us to test whether two series are of the same order of integration, even if this order is not 1, and given the lower order of the residuals of one series over the other, to affirm that a couple of series are cointegrated. We use those tests and we find that there is indeed cointegration between these two series and they also move similarly in the short-run.

Keywords: capital netflows; interest rates; cointegration; spectral analysis. (search for similar items in EconPapers)
JEL-codes: C22 E44 F32 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2021-02
New Economics Papers: this item is included in nep-mac and nep-ore
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