Um Ensaio sobre Expectativas de Taxa de Câmbio no Brasil

Autor:	Ana Luiza Louzada Pereira, Wagner Piazza Gaglianone
Rok vydání:	2005
Předmět:	Rational expectations Exchange rate Interest rate parity Us dollar Financial economics Central bank Mean value Economics General Medicine Foreign exchange
Zdroj:	Brazilian Review of Finance. 3:55
ISSN:	1984-5146 1679-0731
DOI:	10.12660/rbfin.v3n1.2005.1145
Popis:	This article analyses the behavior of the Brazilian exchange rate (Real/US dollar) and the corresponding values forecasted by the market agents, from 2001 (November) to 2004 (may). We use the data-base of the Brazilian Central Bank, called Sistema de Expectativas de Mercado, which has been created in 1999. We evaluate the rational expectations hypothesis (REH) for the exchange rate market, comparing the mean value predicted by some Brazilian financial institutions with the daily exchange rate that has really occurred (PTAX). The particular arrangement of the data-base allows us to make the analysis in two different ways: with fixed-event forecasts. The main result suggests that the Brazilian exchange rate market support the weak form of the REH, for short horizons of forecasting.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::8546fd9fc2db0048437882ad1ffa906f https://doi.org/10.12660/rbfin.v3n1.2005.1145 Zobrazit plný text záznamu