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Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil

Author

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  • Souza, Sergio R.S.
  • Tabak, Benjamin M.
  • Cajueiro, Daniel O.

Abstract

Neste trabalho, é medida a evolução da memória de longo prazo da taxa de câmbio diária, Real contra Dólar dos Estados Unidos, no período de 1995 a 2004. Essa medição é realizada por meio da análise R/S clássica, com janela móvel de dados. O trabalho focaliza o abandono do regime de câmbio administrado em favor do de câmbio flutuante, ocorrido em 1999, identificando antipersistência da taxa de câmbio durante a vigência do primeiro regime e memória longa a partir do início da vigência do segundo regime. Mostra também evidência de memória longa para as volatilidades dos retornos das taxas analisadas.

Suggested Citation

  • Souza, Sergio R.S. & Tabak, Benjamin M. & Cajueiro, Daniel O., 2006. "Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(2), November.
    • Handle: RePEc:fgv:epgrbe:v:60:y:2006:i:2:a:915
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    Cited by:

    1. Barbara Alemanni & José Renato Haas Ornelas, 2006. "Herding Behavior by Equity Foreign Investors on Emerging Markets," Working Papers Series 125, Central Bank of Brazil, Research Department.
    2. Flávia Mourão Graminho, 2006. "A Neoclassical Analysis of the Brazilian "Lost-Decades"," Working Papers Series 123, Central Bank of Brazil, Research Department.
    3. Ricardo Schechtman, 2017. "Joint Validation of Credit Rating PDs under Default Correlation," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 235-282, June.
    4. Correa, Arnildo da Silva & Minella, André, 2010. "Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 64(3), September.
    5. Sergio R. S. Souza & Benjamin M. Tabak & Daniel O. Cajueiro, 2008. "Long-Range Dependence In Exchange Rates: The Case Of The European Monetary System," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 199-223.
    6. Benjamin M. Tabak, 2006. "The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence For Brazil," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(08), pages 1377-1396.
    7. Solange Gouvea, 2007. "Price Rigidity in Brazil: Evidence from CPI Micro Data," Working Papers Series 143, Central Bank of Brazil, Research Department.
    8. Marcelo Y. Takami & Benjamin M. Tabak, 2007. "Evaluation of Default Risk for The Brazilian Banking Sector," Working Papers Series 135, Central Bank of Brazil, Research Department.
    9. Gilneu F. A. Vivan & Benjamin M. Tabak, 2007. "A New Proposal for Collection and Generation of Information on Financial Institutions' Risk: the case of derivatives," Working Papers Series 133, Central Bank of Brazil, Research Department.
    10. Areosa, Waldyr Dutra & Areosa, Marta B.M., 2016. "The inequality channel of monetary transmission," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 214-230.
    11. Jaqueline Terra Moura Marins & Eduardo Saliby & Joséte Florencio do Santos, 2006. "Out-Of-The_Money Monte Carlo Simulation Option Pricing: the join use of Importance Sampling and Descriptive Sampling," Working Papers Series 116, Central Bank of Brazil, Research Department.
    12. Aloísio P. Araújo & José Valentim M. Vicente, 2006. "Contagion, Bankruptcy and Social Welfare Analysis in a Financial Economy with Risk Regulation Constraint," Working Papers Series 118, Central Bank of Brazil, Research Department.
    13. de Area Leão Pereira, Eder Johnson & da Silva, Marcus Fernandes & Pereira, H.B.B., 2017. "Econophysics: Past and present," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 251-261.
    14. de Souza Ramser, Claudia Aline & Souza, Adriano Mendonça & Souza, Francisca Mendonça & da Veiga, Claudimar Pereira & da Silva, Wesley Vieira, 2019. "The importance of principal components in studying mineral prices using vector autoregressive models: Evidence from the Brazilian economy," Resources Policy, Elsevier, vol. 62(C), pages 9-21.

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