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Um ensaio sobre expectativas da taxa de câmbio no Brasil
[An essay on the foreign exchange rate expectations in Brazil]

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  • Gaglianone, Wagner Piazza
  • Pereira, Ana Luiza Louzada

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.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 20840.

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Date of creation: 2005
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Publication status: Published in Revista Brasileira de Finanças 1.1(2005): pp. 55-100
Handle: RePEc:pra:mprapa:20840

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Related research

Keywords: taxa de câmbio; volatilidade; expectativas racionais;

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  1. Hasan Bakhshi & Anthony Yates, 1998. "Are UK inflation expectations rational?," Bank of England working papers 81, Bank of England.
  2. Paquet, Alain, 1992. "Inflationary expectations and rationality," Economics Letters, Elsevier, vol. 40(3), pages 303-308, November.
  3. Forsells, Magnus & Kenny, Geoff, 2002. "The rationality of consumers' inflation expectations: survey-based evidence for the euro area," Working Paper Series 0163, European Central Bank.
  4. Grant, Alan P. & Thomas, Lloyd B., 1999. "Inflationary expectations and rationality revisited," Economics Letters, Elsevier, vol. 62(3), pages 331-338, March.
  5. Hasan Bakhshi & George Kapetanios & Anthony Yates, 2003. "Rational expectations and fixed-event forecasts: an application to UK inflation," Bank of England working papers 176, Bank of England.
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