Um ensaio sobre expectativas da taxa de câmbio no Brasil

Gaglianone, Wagner Piazza and Pereira, Ana Luiza Louzada (2005): Um ensaio sobre expectativas da taxa de câmbio no Brasil. Published in: Revista Brasileira de Finanças , Vol. 1, No. 1 (2005): pp. 55-100.

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.

• Item Type: MPRA Paper
• English Title: An essay on the foreign exchange rate expectations in Brazil
• Language: Portuguese
• Keywords: taxa de câmbio; volatilidade; expectativas racionais
• Subjects: E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E37 - Forecasting and Simulation: Models and Applications; F - International Economics > F3 - International Finance > F31 - Foreign Exchange

References

Alves, S. L. (2001). Avaliação das projeções do modelo estrutural do Banco Central do Brasil para a taxa de variação do IPCA. Trabalhos para Discussão, 16. Banco Central do Brasil.

Bakhshi, H., Kapetanios, G., & Yates, A. (2003). Rational expectations and fixed event forecasts: An application to UK inflation. Working Paper, 176. Bank of England.

Bakhshi, H. & Yates, A. (1998). Are UK inflation expectations rational? Working Paper, 81. Bank of England.

Forsells, M. & Kenny, G. (2002). The rationality of consumers’ inflation expectations: Survey-based evidence for the euro area. Working Paper Series, 163. European Central Bank.

Grant, A. P. & Thomas, L. B. (1999). Inflationary expectations and rationality revisited. Economic Letters, 62:331–338.

Marques, A. B., Fachada, P., & Cavalcanti, D. C. (2003). Sistema Banco Central de expectativas de mercado. Notas Técnicas do Banco Central do Brasil, 36.

Obstfeld,M. & Rogoff, K. (1996). Foundations of International Macroeconomics. The MIT Press.

Paquet, A. (1992). Inflationary expectations and rationality. Economic Letters, 40:303–308.