Exchange Rate Forecast
Mostrando 1-8 de 8 artigos, teses e dissertações.
-
1. Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options
Building Risk-Neutral Densities (RND) from options data can provide market-implied expectations about the future behavior of a financial variable. And market expectations on financial variables may influence macroeconomic policy decisions. It can be useful also for corporate and financial institutions decision making. This paper uses the Liu et all (2007) ap
Publicado em: 12/04/2012
-
2. Curva a termo para o risco de conversibilidade: uma abordagem utilizando o diferencial de juros / Convertibility risk yield curve: an approach using the interest spread
This paper has the purpose of explaining the fluctuation of the convertibility risk (spread) through an alternative to the commonly used on the literature, exchange rate parity differential (DPC) measurement. The Brazilian convertibility risk will be calculated as the differential between the interest rate in dollars paid in Brazil and interest rate in dolla
Publicado em: 2009
-
3. Análise e previsão dos recolhimentos compulsórios sobre recursos à vista / Analysis and Forecast of Reserve Requirements
This dissertation discusses the reserves requirements in Brazil. It analyses and forecasts the top five time series that form these requirements. A VARMAX model with autoregressives lags, moving averages and exogenous variables is used. The interest rate Selic, exchange rate BRL/USD, commerce sales, consumption and income are the exogenous variables. A BEKK
Publicado em: 2008
-
4. Tests applied in macroeconomics: exchange rate expectations and inflation / Ensaios aplicados de macroeconomia: taxa de câmbio e expectativas de inflação
This doctoral thesis consists of three essays in applied macroeconomics. The first essay retakes the classic result of the article by Meese and Rogoff (1983), in which the authors found strong evidence that no structural model for the exchange rate surpasses the projections of a random walk model. In this first essay we compare the error of the projections f
Publicado em: 2008
-
5. Econometrical assays on the dynamics of the agricultural Gdp / Ensaios economÃtricos sobre a dinÃmica o Pib agrÃcola
The thesis entitled "Econometrical assays on the dynamics of the agricultural Gdp" is composed of three papers. The first article is entitled "Brazilian Agricultural Sector: An Analysis of Microregional Convergence" analyzes the process of agricultural micro regional convergence using the Threshold Model in the period 1970 to 1996. The results show the exist
Publicado em: 2007
-
6. International prices and exchange rate: the brazilian case / Preços internacionais e taxa de câmbio: o caso brasileiro
This work analyzes to Brazil one of the most important debates on the New Open Economy Macroeconomic literature: the choice of the currency in which international prices are fixed. There are two possible hypotheses: either the export firm establishes his prices in your own currency, named producer currency pricing (PCP) or the export firm fix his price in th
Publicado em: 2006
-
7. Exchange rate determination: applying economic models to the Brazilian economy / Determinação da taxa de câmbio: uma aplicação de modelos econômicos à economia brasileira
As variáveis econômicas explicam e ajudam a prever a taxa de câmbio? Neste trabalho, utilizando o Método Generalizado de Momentos e dados mensais de março de 1999 a dezembro de 2005, estimam-se os modelos econômicos para determinação da taxa de câmbio: Modelo Monetário de Preços Flexíveis (FPMM) e sua vertente do Asset Model, Modelo Monetário de
Publicado em: 2006
-
8. THE PERFORMANCE OF THE NATIONAL INDUSTRIAL SEGMENTS, COMPOSED OF PUBLICLY TRADED COMPANIES, IN LIGHT OF BRAZILIAN AND WORLD ECONOMIC ACTIVITY LEVEL / O DESEMPENHO DOS SETORES DA INDÚSTRIA NACIONAL, FORMADOS PELAS EMPRESAS DE CAPITAL ABERTO, DIANTE DO NÍVEL DA ATIVIDADE ECONÔMICA DO BRASIL E DO MUNDO
In pursuit of the objective of evaluating the performance of the national industrial segments, composed of publicly traded companies, in light of Brazilian and world economic activity level, the present dissertation attempts to contribute to the development of forecast models intended to aid managers and investors in the decision making process. The relation
Publicado em: 2003