This article is on the activities of British money doctors in South America between the 1890s and the 1930s, hitherto overlooked in the literature. It focuses on Sir Otto Niemeyer’s missions to Brazil and Argentina in the early 1930s compared to his earlier report on New Zealand and Professor Edwin Kemmerer’s report on Chile in the mid-1920s. The impact of their visits on the market evaluation of risk related to bonds floated by the largest South American economies is quantitatively analyzed. Difficulties involved in generalizations about links between policy proposals and market evaluation enhance the interest of studying specific experiences.

Niemeyer’s general proposals to the Brazilian government in mid-1931 advising on a possible return to the gold standard are evaluated. His specific proposals on central banking in New Zealand, Argentina and Brazil are discussed in contrast with Kemmerer’s proposals in Chile. The focus is on the autonomy of central banks, representation of sectoral interests, the role of gold in total foreign exchange reserves, and the exertion of foreign influence though directors, shareholders and permanent experts. Finally, the realism of proposals is evaluated in the context of contemporary economic conditions compared with advice provided by other experts on related issues

A ser publicado em Journal of Money, Credit and Banking, 2012.

We study the simultaneous occurrence of long memory and nonlinear effects, such as parameter changes and threshold effects, in time series models and apply our modeling framework to daily realized measures of integrated variance. Asymptotic theory for parameter estimation is developed and two model building procedures are proposed. The methodology is applied to stocks of the Dow Jones Industrial Average during the period 2000 to 2009. We find strong evidence of nonlinear effects in financial volatility. An out-of-sample analysis shows that modeling these effects can improve forecast performance.

A ser publicado em Journal of Business & Economic Statistics

We derive the asymptotic distribution of the ordinary least squares estimator in a regression

with cointegrated variables under misspecification and/or nonlinearity in the regressors. We show

that, under some circumstances, the order of convergence of the estimator changes and the asymptotic

distribution is non-standard. The t-statistic might also diverge. A simple case arises when the intercept

is erroneously omitted from the estimated model or in nonlinear-in-variables models with endogenous

regressors. In the latter case, a solution is to use an instrumental variable estimator. The core results in

this paper also generalise to more complicated nonlinear models involving integrated time series.

Publicado em Econometic Reviews, v. 33, n.7, p. 713-731, 2014

Pblicado na Revista de Economia Política v. 32, n.2, p. 264-285, 2012