Um ensaio sobre expectativas da taxa de câmbio no Brasil
[An essay on the foreign exchange rate expectations in Brazil]
AbstractThis 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 20840.
Date of creation: 2005
Date of revision:
Publication status: Published in Revista Brasileira de Finanças 1.1(2005): pp. 55-100
taxa de câmbio; volatilidade; expectativas racionais;
Find related papers by JEL classification:
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- F31 - International Economics - - International Finance - - - Foreign Exchange
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