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Valor da Opção de Investimento (Exportação) e Volatilidade da Taxa de Câmbio

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  • Roberto Siqueira
  • Ajax R. B. Moreira

Abstract

In this paper we evaluate the effect of the real exchange rate volatility on thehysteresis band relative to investment plans in output and export capacityenlargement in the thirty six industrial sectors in the Brazilian input-output matrix.For this, the approach by Dixit (1989a e b) was extended to consider: a) the effect ofthe exchange rate volatility on the agent?s income and costs; and b) on the agent?s riskaversion.

Suggested Citation

  • Roberto Siqueira & Ajax R. B. Moreira, 2005. "Valor da Opção de Investimento (Exportação) e Volatilidade da Taxa de Câmbio," Discussion Papers 1109, Instituto de Pesquisa Econômica Aplicada - IPEA.
    • Handle: RePEc:ipe:ipetds:1109
    as

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    References listed on IDEAS

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    1. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    2. L. Wade, 1988. "Review," Public Choice, Springer, vol. 58(1), pages 99-100, July.
    3. Kulatilaka, Nalin & Kogut, Bruce, 1996. "Direct Investment, Hysteresis, and Real Exchange Rate Volatility," Journal of the Japanese and International Economies, Elsevier, vol. 10(1), pages 12-36, March.
    4. Campa, Joe Manuel, 1993. "Entry by Foreign Firms in the United States under Exchange Rate Uncertainty," The Review of Economics and Statistics, MIT Press, vol. 75(4), pages 614-622, November.
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