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

Abstract: 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)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Revista Brasileira de Finanças 1.1(2005): pp. 55-100

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/20840/1/MPRA_paper_20840.pdf original version (application/pdf)

Related works:
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:pra:mprapa:20840

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().