| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w6929 |
| 来源ID | Working Paper 6929 |
| An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1997 | |
| Jose M. Campa; P.H. Kevin Chang; James F. Refalo | |
| 发表日期 | 1999-02-01 |
| 出版年 | 1999 |
| 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-U.S. dollar exchange rate from October 1994 through July 1997. 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, but improved afterwards. The market anticipated periodic band adjustments, but over time developed greater confidence in the Real. We also test whether devaluation intensities estimated from these option prices can be explained by standard macroeconomic factors. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w6929 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564444 |
| 推荐引用方式 GB/T 7714 | Jose M. Campa,P.H. Kevin Chang,James F. Refalo. An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1997. 1999. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w6929.pdf（1272KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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