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O prêmio de risco da taxa de câmbio no Brasil

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Abstract

A principal explicação sugerida pela literatura para o viés do preço futuro em relação à taxa de câmbio que prevalecerá no futuro é a existência de um prêmio de risco. Aplicamos aqui os principais modelos teóricos e técnicas econométricas para identificação e mensuração do prêmio de risco aos dados brasileiros do mercado futuro de câmbio posteriores ao Plano Real. Identifica-se um prêmio de risco que varia ao longo do tempo, o qual correlaciona-se com os fundamentos macroeconômicos da economia. A partir de 1999, coerentemente com a introdução da livre flutuação cambial, observou-se uma diminuição da importância do prêmio de risco relativamente aos erros de previsão na composição do forward discount. As técnicas empregadas permitem-nos avaliar importantes questões de política econômica, como o quanto podem cair as taxas de juros reais.

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File URL: http://www.econ.puc-rio.br/pdf/td409.pdf
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Bibliographic Info

Paper provided by Department of Economics PUC-Rio (Brazil) in its series Textos para discussão with number 409.

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Length: 34 pages
Date of creation: Nov 1999
Date of revision:
Handle: RePEc:rio:texdis:409

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