| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP2652
|
| DP2652 Government Guarantees, Investment And Vulnerability To Financial Crises |
| David Vines; Gregor Irwin
|
| 发表日期 | 2000-12-19
|
| 出版年 | 2000
|
| 语种 | 英语
|
| 摘要 | This Paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-US dollar exchange rate from October 1994 through to March 1999. Using options data, we derive implied probability density functions (PDF) for expected future exchange rates and thus measures of the credibility of the ?crawling peg? and target zone (?maxiband?) regimes governing the exchange rate. Since we do not impose an exchange rate model, our analysis is based on either the risk-neutral PDF or arbitrage-based tests of target zones. The Paper, one of the first to use options data from an emerging market, finds that target zone credibility was poor prior to February 1996, improved afterwards through September 1997 and later started to worsen again. The market anticipated periodic band adjustments, and estimated distributions are very sensitive to political and economic news affecting the credibility of the regime. We also test whether devaluation intensities estimated from these option prices can be explained by standard macroeconomic factors. |
| 主题 | International Macroeconomics
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| 关键词 | Exchange rate credibility
Implied distributions
Options
|
| URL | https://cepr.org/publications/dp2652
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| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531713
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推荐引用方式
GB/T 7714 |
David Vines,Gregor Irwin. DP2652 Government Guarantees, Investment And Vulnerability To Financial Crises. 2000.
|
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