Forecasting Exchange Rate Density Using Parametric Models: the Case of Brazil

Marcos Massaki Abe (), Eui Jung Chang () and Benjamin Tabak
Additional contact information
Marcos Massaki Abe: Banco Central do Brasil

Brazilian Review of Finance, 2007, vol. 5, issue 1, 29-39

Abstract: This paper employs a recently developed parametric technique to obtain density forecasts for the Brazilian exchange rate, using the exchange rate options market. Empirical results suggest that the option market contains useful information about future exchange rate density. These results suggests that density forecasts using options markets may add value for portfolio and risk management, and may be useful for financial regulators to assess financial stability.

Keywords: Density forecasting; emerging market; exchange rate; options market (search for similar items in EconPapers)
JEL-codes: F31 G10 G15 (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/download/1164/375 (application/pdf)
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/1164 (text/html)

Related works:
Working Paper: Forecasting Exchange Rate Density using Parametric Models: The Case of Brazil (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:brf:journl:v:5:y:2007:i:1:p:29-39

Access Statistics for this article

Brazilian Review of Finance is currently edited by Marcio Laurini

More articles in Brazilian Review of Finance from Brazilian Society of Finance
Bibliographic data for series maintained by Marcio Laurini ().