Valor da Opção de Investimento (Exportação) e Volatilidade da Taxa de Câmbio

Roberto Siqueira and Ajax Moreira ()

No 1109, Discussion Papers from Instituto de Pesquisa Econômica Aplicada - IPEA

Abstract: In this paper we evaluate the effect of the real exchange rate volatility on thehysteresis band relative to investment plans in output and export capacityenlargement in the thirty six industrial sectors in the Brazilian input-output matrix.For this, the approach by Dixit (1989a e b) was extended to consider: a) the effect ofthe exchange rate volatility on the agent?s income and costs; and b) on the agent?s riskaversion.

Pages: 32 pages
Date: 2005-08
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