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 |
| Publicado: |
Elsevier Science
October 2002
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |