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Valor da Opção de Investimento (Exportação) e Volatilidade da Taxa de Câmbio

Listed author(s):
  • Roberto Siqueira
  • Ajax R. B. Moreira

In this paper we evaluate the effect of the real exchange rate volatility on thehysteresis band relative to investment plans in output and export capacityenlargement in the thirty six industrial sectors in the Brazilian input-output matrix.For this, the approach by Dixit (1989a e b) was extended to consider: a) the effect ofthe exchange rate volatility on the agent?s income and costs; and b) on the agent?s riskaversion.

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File URL: http://www.ipea.gov.br/portal/images/stories/PDFs/TDs/td_1109.pdf
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Paper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1109.

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Length: 32 pages
Date of creation: Aug 2005
Handle: RePEc:ipe:ipetds:1109
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  1. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
  2. L. Wade, 1988. "Review," Public Choice, Springer, vol. 58(1), pages 99-100, July.
  3. Campa, Joe Manuel, 1993. "Entry by Foreign Firms in the United States under Exchange Rate Uncertainty," The Review of Economics and Statistics, MIT Press, vol. 75(4), pages 614-622, November.
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