An options-based analysis of emerging market exchange rate expectations: Brazil's Real Plan, 1994-1999.
This paper uses currency option data to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through March 1999. We derive implied probability density functions (PDF) for expected future exchange rates and thus measures of the credibility of the “crawling...
| Publicado en: | Journal of Development Economics Vol. 69; no. 1; pp. 227 - 254 |
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| Autores principales: | , , |
| Formato: | Artículo |
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Elsevier Science
October 2002
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=513154435&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 513154435 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 03043878 JDE jtl: Journal of Development Economics issn: 03043878 maglogo: N pubinfo: dt: October 2002 vid: 69 iid: 1 pid: 1004 pub: Elsevier Science artinfo: ui: 513154435 10.1016/S0304-3878(02)00060-3 ppf: 227 ppct: 27 formats: tig: atl: An options-based analysis of emerging market exchange rate expectations: Brazil's Real Plan, 1994-1999. aug: au: Campa, José M. Chang, P. H. Kevin Refalo, James F. su: Foreign exchange administration Monetary policy Brazil sug: subj: Brazil Foreign exchange administration Monetary policy ab: This paper uses currency option data to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through March 1999. 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 regimes governing the exchange rate. 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. Copyright (c) 2002 Elsevier Science B.V. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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