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Extração de Informação de Opções Cambiais no Brasil

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  • Eui Jung Chang
  • Benjamin Miranda Tabak

Abstract

This paper presents a method for extracting risk neutral densities for exchange rate options. Implied volatility may be used as a forecast for future volatility and the predicted density to assess the future evolution of market expectations regarding prices in financial market. Implied skewness and kurtosis are interpreted as measures of market sentiment related to the direction of future movements in the exchange rate and the probability of occurrence of extreme events, respectively. These measures can be interpreted as forward looking macroprudential indicators for the domestic financial system. Furthermore, the results obtained from the options market are compared with densities obtained from a survey conducted with economists by the Central Bank of Brazil, leading to conclude that both possess relevant information. The methodology employed in this paper may be generalized and applied to contracts of different duration and different types of assets.

Suggested Citation

  • Eui Jung Chang & Benjamin Miranda Tabak, 2006. "Extração de Informação de Opções Cambiais no Brasil," Working Papers Series 104, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:104
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    File URL: https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps104.pdf
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    Cited by:

    1. Correa, Arnildo da Silva & Minella, André, 2010. "Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 64(3), September.
    2. Gilneu F. A. Vivan & Benjamin M. Tabak, 2007. "A New Proposal for Collection and Generation of Information on Financial Institutions' Risk: the case of derivatives," Working Papers Series 133, Central Bank of Brazil, Research Department.
    3. Sergio R. S. Souza & Benjamin M. Tabak & Daniel O. Cajueiro, 2008. "Long-Range Dependence In Exchange Rates: The Case Of The European Monetary System," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 199-223.
    4. Barbara Alemanni & José Renato Haas Ornelas, 2006. "Herding Behavior by Equity Foreign Investors on Emerging Markets," Working Papers Series 125, Central Bank of Brazil, Research Department.
    5. Jaqueline Terra Moura Marins & Eduardo Saliby & Joséte Florencio do Santos, 2006. "Out-Of-The_Money Monte Carlo Simulation Option Pricing: the join use of Importance Sampling and Descriptive Sampling," Working Papers Series 116, Central Bank of Brazil, Research Department.
    6. Aloísio P. Araújo & José Valentim M. Vicente, 2006. "Contagion, Bankruptcy and Social Welfare Analysis in a Financial Economy with Risk Regulation Constraint," Working Papers Series 118, Central Bank of Brazil, Research Department.
    7. Angelo Marsiglia Fasolo, 2006. "Interdependence and Contagion: an Analysis of Information Transmission in Latin America's Stock Markets," Working Papers Series 112, Central Bank of Brazil, Research Department.

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