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Possibilidade de obter lucros com arbitragem no Mercado de Câmbio no Brasil

Author

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  • Cassuce, Francisco Carlos da Cunha
  • Muller, Carlos Andre da Silva
  • Campos, Antonio Carvalho

Abstract

O trabalho objetivou determinar a presença de volatilidade nas taxas de câmbio a vista e futura, detectando, assim, a presença de risco. Detectada a volatilidade procurou modelar esta volatilidade e construir modelos capazes de prever as taxas de câmbio a vista e futura. Diante das previsões procurou detectar se tais taxas convergiam, ou não, na data dos vencimentos dos contratos futuros, identificando a oportunidade de obter ganhos com arbitragem. Para isso utilizou-se modelos GARCH e TARCH, modelando a volatilidade das taxas de câmbio. Os resultados mostraram que as taxas de câmbio futura e a vista são muito voláteis e que o mercado de câmbio a vista apresenta assimetria sendo mais afetada por impactos negativos. A análise de volatilidade também mostrou que os choques nas taxas de câmbio a vista e futura perduram por um longo período de tempo. Finalmente, diante das previsões, realizadas para ambas as taxas, detecta-se a possibilidade de obter ganhos com arbitragem no mercado de câmbio brasileiro.

Suggested Citation

  • Cassuce, Francisco Carlos da Cunha & Muller, Carlos Andre da Silva & Campos, Antonio Carvalho, 2006. "Possibilidade de obter lucros com arbitragem no Mercado de Câmbio no Brasil," 44th Congress, July 23-27, 2006, Fortaleza, Ceará, Brazil 146463, Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER).
    • Handle: RePEc:ags:sobr06:146463
    DOI: 10.22004/ag.econ.146463
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    International Relations/Trade;

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