Um ensaio sobre expectativas da taxa de câmbio no Brasil
An essay on the foreign exchange rate expectations in Brazil
Wagner Gaglianone () and
Ana Luiza Louzada Pereira
MPRA Paper from University Library of Munich, Germany
This article analyses the behaviour 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 and also with “rolling-event” forecasts. The main result suggests that the brazilian exchange rate market support the weak form of the REH, for short horizons of forecasting.
Keywords: taxa de câmbio; volatilidade; expectativas racionais (search for similar items in EconPapers)
JEL-codes: E37 F31 (search for similar items in EconPapers)
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Published in Revista Brasileira de Finanças 1.1(2005): pp. 55-100
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:20840
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