Exchange Rate Volatility
Mostrando 13-24 de 24 artigos, teses e dissertações.
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13. Analysis of breaches and co-breaks in financial series: a non-parametric approach data using high frequency. / Análise de quebras e co-quebras em séries financeiras: uma abordagem não-paramétrica usando dados de alta frequência.
This research use a non-parametric test developed by Lee &MYKLAND (2007) to extract jumps in IBOVESPA series and study its dynamics. Among the qualities of this test there are the ability to identify the exact time of occurrence of break / co-break, the sign and size of it. The jumps in the series of Dow Jones, Exchange rate, C-Bond spread and SELIC rate wer
Publicado em: 2009
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14. A piramide e a esfinge : estudo sobre a hierarquia das divisas, a integração financeira de paises perifericos e a volatilidade de cambio e juros / The Pyramid and the Sphinx : a study on currency hierarchy, financial integration of peripheral countries and the volatility of exchange
This dissertation consists of a theoretical analysis and an empirical study on the effects of international financial integration on the volatility of macroeconomic variables, such as exchange rates and interest rates in peripheral countries. In the proposed theoretical approach, which is developed in the first chapter, the analysis starts with a qualitative
Publicado em: 2008
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15. Volatilidade da conta financeira do balanço de pagamentos: os casos do Brasil, México, Argentina e Chile
The main purpose of this essay is to analyze the Financial Account movement of Brazilian, Mexican, Argentinean and Chilean Balance of Payments. The specific objective is to find which financial flows are most volatile during the administrative and flexible exchange rate periods. Moreover, the thesis intends to look for the inter relation between these flows
Publicado em: 2008
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16. Relação entre volatilidade e volume para paridade USDBRL / Relation between volatility and trading activity for the USDBRL
Neste trabalho, baseando-me no trabalho feito por Bhargava Malhotra (2006) para algumas paridades de moedas, procurou-se entender a relação que existe entre a volatilidade e o volume de atividade para o mercado de dólar futuro operado na BM&F. Como medidas de volume foram utilizados contratos negociados como uma proxi dos especuladores e contratos abertos
Publicado em: 2008
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17. CÃmbio e performance inflacionÃria em regimes de cÃmbio flexÃvel e metas de inflaÃÃo: uma investigaÃÃo para paÃses selecionados da AmÃrica Latina
The main goal of this dissertation is to analyze Latin American experiences with flexible exchange rate and inflation target in order to understand the behavior of the exchange rate and inflation in a model with monetary characteristics. The volatility analysis suggests an increase in exchange rate volatility (except for Colombia) and a decrease in inflation
Publicado em: 2007
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18. Regimes cambiais em paises emergentes : a experiencia brasileira recente (1994-2006) / Exchange rate regimes in emerging countries : brazilian recent experience (1994-2006)
The deep changes verified at the international economy since the end of the Bretton Woods system created an ambience of a bigger complexity in which the opportunities opened to the countries that get into the financial globalization logic usually come with some dangers. The emergence of the euromarket, the development of direct finances and the financial lib
Publicado em: 2007
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19. A administração da taxa de câmbio no Plano Real e os fundamentos econômicos brasileiros
The thesis analyses exchange rate anchors over the 90s and their relationship with economic fundaments. Specifically, it was examined whether the episodes of exchange rate volatility experienced in Brazil are directly caused by the deterioration of economic fundaments. First, the Real Plan was described, as well as the central role of the exchange rate ancho
Publicado em: 2006
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20. Determinação dos juros e metas de inflação no Brasil: uma crítica através da abordagem pós-keynesiana
The central purpose of this study is analyze the behavior of the Inflation Target Regime in Brazil, presenting inconsistencies related to its own conception, that finish for keeping the country in the trap of the vulnerability, high interests rate and low economic growth. The specific objective is to relate the determination of the interest rate with the mov
Publicado em: 2006
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21. Speculative attacks and currency crisis: the 2002 Brazilian crisis analysis / Ataques especulativos e crises cambiais: uma análise da crise brasileira de 2002
Since the middle of the 1990s economic research relative to speculative attacks has focused attention on developing a new generation model to predict ex ante the likelihood of a currency crisis on a specific country or region. This new family of currency crisis models was denominated Early Warning Systems, well known as EWS Models. This paper examines the 20
Publicado em: 2006
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22. Mensuração do risco sistêmico no setor bancário com utilização de variáveis contábeis e econômicas / Systemic risk measurement in the banking sector with accounting and economic variables
The systemic risk in the financial system has been a constant concern for the international institutions and supervisory authorities. The financial crises occurred in Latin America, Southeast Asia, Russia, and other countries, have caused significant economic damages and high social costs. The related researches have tried to find common characteristics able
Publicado em: 2006
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23. Os impactos da taxa de cÃmbio sobre o risco financeiro de empresas multinacionais brasileiras
As instituiÃÃes financeiras mundiais, antes dos anos 70, vivenciavam uma certa estabilidade econÃmica advinda da estrutura de cambio fixo. ApÃs a dÃcada de 70, com a chegada do cÃmbio flutuante, as empresas comeÃaram a atentar para o impacto causado pela volatilidade cambial aos seus fluxos de caixa. Assim, surge a necessidade de se aferir o nÃvel de
Publicado em: 2005
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24. SUAVIZANDO MOVIMENTOS DA TAXA DE CÂMBIO OU ADICIONANDO VOLATILIDADE?: UM ESTUDO EMPÍRICO SOBRE INTERVENÇÕES DO BANCO CENTRAL NO MERCADO DE CÂMBIO / SMOOTHING EXCHANGE RATE MOVEMENTS OR ADDING VOLATILITY?: AN EMPIRICAL ANALYSIS OF CENTRAL BANK INTERVENTIONS ON THE FOREIGN EXCHANGE MARKET
Este trabalho tem como objetivo investigar o efeito das intervenções do Banco Central na volatilidade da taxa de câmbio no Brasil no período de 2000 a 2003 e entender se a autoridade monetária intervém com o intuito de suavizar a volatilidade do câmbio. Para abordarmos o primeiro ponto, utilizamos o modelo EGARCH de Nelson (1991) que nos permitiu esti
Publicado em: 2004