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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

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  • 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
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    References listed on IDEAS

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    More about this item

    Keywords

    taxa de câmbio; volatilidade; expectativas racionais;
    All these keywords.

    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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