An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1999

Jose Campa, P.H.K. Chang and J.F. Refalo

Working Papers from Centro de Estudios Monetarios Y Financieros-

Abstract: This paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through March 1999. Using options data, we derive implied probability density functions (PDF) for expected future exchange rates and thus measures of the credibility of the "crawling peg" and target zone ("maxiband") regimes governing the exchange rate.

Keywords: EXCHANGE RATE; FINANCIAL MARKET; INTERNATIONAL ECONOMY (search for similar items in EconPapers)
JEL-codes: F31 F37 G13 G15 (search for similar items in EconPapers)
Pages: 63 pages
Date: 2000
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Related works:
Journal Article: An options-based analysis of emerging market exchange rate expectations: Brazil's Real Plan, 1994-1999 (2002)
Working Paper: An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1999 (2000)
Working Paper: An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil?s Real Plan, 1994-1999 (2000)
Working Paper: Options-based analysis of emerging market exchange rate expectations: Brazil's real plan, 1994-1999, An (2000)
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