An options-based analysis of emerging market exchange rate expectations: Brazil's Real Plan, 1994-1999
AbstractThis 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Development Economics.
Volume (Year): 69 (2002)
Issue (Month): 1 (October)
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Web page: http://www.elsevier.com/locate/devec
Other versions of this item:
- Campa, José Manuel & Chang, Kevin & Refalo, James F, 2000. "An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil’s Real Plan, 1994-1999," CEPR Discussion Papers 2611, C.E.P.R. Discussion Papers.
- Campa, J.M. & Chang, P.H.K. & Refalo, J.F., 2000. "An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1999," Papers 0006, Centro de Estudios Monetarios Y Financieros-.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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- Bernardo Guimaraes, 2008.
"Vulnerability of Currency Pegs: Evidence from Brazil,"
CEP Discussion Papers
dp0871, Centre for Economic Performance, LSE.
- Bernardo Guimaraes, 2008. "Vulnerability of currency pegs: evidence from Brazil," LSE Research Online Documents on Economics 4909, London School of Economics and Political Science, LSE Library.
- Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, School of Economics and Management, University of Aarhus.
- Maltritz, Dominik & Eichler, Stefan, 2010. "Currency crisis prediction using ADR market data: An options-based approach," International Journal of Forecasting, Elsevier, vol. 26(4), pages 858-884, October.
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