Eficiência do mercado implícito de câmbio a termo no Brasil. / Efficiency of the implied forward exchange market in Brazil.
AUTOR(ES)
Guilherme Maia Garcia
DATA DE PUBLICAÇÃO
2003
RESUMO
In this dissertation, the forward exchange market efficiency hypothesis is tested for the recent floating regime in Brazil. We use daily frequency data, with implied forward rates based on the swap market. The statistical approach is a semiparametric procedure which is statistically robust to data distributions with heavy tails and allows for non-stationarity of the data and overlapping observations (when the interval between observations is shorter than the futures maturity). The efficiency hypothesis is rejected when the robust procedure is used; still, a distinct procedure more sensible to the presence of outliers fails to reject the hypothesis. At last, we discuss some issues regarding the efficiency hypothesis, emphasizing the question of whether the rejection of the efficiency hypothesis denounces the presence of a risk premium, of market inefficiency or both. The results suggest the Brazilian forward exchange market is not efficient.
ASSUNTO(S)
câmbio a termo - brasil forward exchange rate exchange rate risk premium prêmio de risco cambial
