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Advisor(s)
Abstract(s)
A investigação realizada incide sobre um conjunto alargado de questões relacionadas com os
índices de condições monetárias/financeiras, instrumentos de política monetária que comportam
informação acerca da forma como as alterações do sector financeiro da economia se manifestam
na evolução da taxa de inflação ou da procura agregada.
Numa primeira secção, apresenta-se o resumo da pesquisa das origens, aplicações e principais
deficiências e discussões referidas na literatura, bem como a justificação para a evolução a que
estes índices têm sido sujeitos.
Numa segunda secção, propõe-se uma composição alternativa para os ICFs, a qual consiste na
agregação às variáveis tradicionais, taxa de juro de curto prazo e taxa de câmbio, de um
conjunto de três variáveis calculadas com base na análise em factores comuns (método das
componentes principais). A aplicação desta metodologia tem como objectivo a sintetização das
principais características estruturais do sector financeiro da economia e, assim, o contorno da
problemática da dimensão das variáveis competidoras a entrar no índice e da justificação dos
mecanismos de transmissão dos choques sobre aquele sector com reflexo na taxa de inflação.
Por último, desenvolve-se um estudo empírico para a Zona Euro, abrangendo o período
compreendido entre 1991 e 2001, no qual foram focados aspectos como a origem, real e
nominal, dos choques sobre as variáveis tradicionais, a forma como a inclusão dos factores
condiciona o comportamento do ICF e a estrutura, estática e dinâmica, subjacente à construção
do índice.
Os índices apresentados constituem indicadores coincidentes dinâmicos e indicadores
avançados a um ano estáticos e dinâmicos das pressões inflacionistas. Deve ser, no entanto,
realçado que esta última representação é original da presente investigação, pelo que exigiu uma
avaliação da eficiência/qualidade dos resultados, tendo-se concluído pela consistência destes
com a informação comportada pelo respectivo índice coincidente e com a teoria económica.
This investigation relies on a wide number of aspects related to monetary/financial conditions indexes. FCIs are relevant monetary policy instruments that contam useful information about how changes in the financial sector of the economy affect the evolution of the inflation rate or aggregate demand. First, it is presented a summary of the research about the origins, applications and main deficiencies and discussions referred in the literature on the FCIs, as well as a justification for the evolution to which these indexes have been submitted. In the second section it is proposed an altemative composition for the FCIs, which consists on the aggregation to the traditional variables, short-term interest rate and exchange rate, of three variables extracted by the application of the common factors analysis (principal components method). The use of this methodology had the purpose of synthesizing the main structural features of the financial sector of the economy, in order to solve theoretical problems as the dimension of the variables competing to be included in the index or the justification for transmission mechanisms of the shocks over that sector with effects on the inflation rate. In the last section it is developed an empirical study for the Euro Zone, over the period between 1991 and 2001. This study focuses aspects as the origin, real and nominal, of the shocks suffered by the traditional variables; how the addition of the common factors affects the behaviour of the FCI; and the structure, static and dynamic, underling the construction of the index. The indexes proposed constitute dynamic coincident indicators and static and dynamic one-year leading indicators of the inflationist pressures. However, it should be noted that this last version is original of this investigation, therefore requiring a qualitative evaluation of its results, of which we have concluded for the consistency and robustness between its information and the information on the correspondent coincident index.
This investigation relies on a wide number of aspects related to monetary/financial conditions indexes. FCIs are relevant monetary policy instruments that contam useful information about how changes in the financial sector of the economy affect the evolution of the inflation rate or aggregate demand. First, it is presented a summary of the research about the origins, applications and main deficiencies and discussions referred in the literature on the FCIs, as well as a justification for the evolution to which these indexes have been submitted. In the second section it is proposed an altemative composition for the FCIs, which consists on the aggregation to the traditional variables, short-term interest rate and exchange rate, of three variables extracted by the application of the common factors analysis (principal components method). The use of this methodology had the purpose of synthesizing the main structural features of the financial sector of the economy, in order to solve theoretical problems as the dimension of the variables competing to be included in the index or the justification for transmission mechanisms of the shocks over that sector with effects on the inflation rate. In the last section it is developed an empirical study for the Euro Zone, over the period between 1991 and 2001. This study focuses aspects as the origin, real and nominal, of the shocks suffered by the traditional variables; how the addition of the common factors affects the behaviour of the FCI; and the structure, static and dynamic, underling the construction of the index. The indexes proposed constitute dynamic coincident indicators and static and dynamic one-year leading indicators of the inflationist pressures. However, it should be noted that this last version is original of this investigation, therefore requiring a qualitative evaluation of its results, of which we have concluded for the consistency and robustness between its information and the information on the correspondent coincident index.
Description
Mestrado em Economia Monetária e Financeira
Keywords
Pedagogical Context
Citation
Pinto, Rodolfo da Fonseca Pignatelli Soares Varela (2004). “Índices de condições monetárias e financeiras : construção de um indicador para as pressões inflacionistas”. Dissertação de Mestrado. Universidade Técnica de Lisboa. Instituto Superior de Economia e Gestão
Publisher
Instituto Superior de Economia e Gestão