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

Author

Listed:
  • 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.

Suggested Citation

  • Gaglianone, Wagner Piazza & Pereira, Ana Luiza Louzada, 2005. "Um ensaio sobre expectativas da taxa de câmbio no Brasil
    [An essay on the foreign exchange rate expectations in Brazil]
    ," MPRA Paper 20840, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:20840
    as

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    File URL: https://mpra.ub.uni-muenchen.de/20840/1/MPRA_paper_20840.pdf
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    References listed on IDEAS

    as
    1. Grant, Alan P. & Thomas, Lloyd B., 1999. "Inflationary expectations and rationality revisited," Economics Letters, Elsevier, vol. 62(3), pages 331-338, March.
    2. Hasan Bakhshi & Anthony Yates, 1998. "Are UK inflation expectations rational?," Bank of England working papers 81, Bank of England.
    3. H. Bakhshi & G. Kapetanios & T. Yates, 2005. "Rational expectations and fixed-event forecasts: An application to UK inflation," Empirical Economics, Springer, vol. 30(3), pages 539-553, October.
    4. 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.
    5. Paquet, Alain, 1992. "Inflationary expectations and rationality," Economics Letters, Elsevier, vol. 40(3), pages 303-308, November.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    taxa de câmbio; volatilidade; expectativas racionais;

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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