Now showing items 1-10 of 13
Deviations from covered interest parity: the role played by fundamentals, financial and political turmoils and market frictions
Recent works for mature markets on covered interest parity suggest that deviations are mean reverting but persistent particularly after 2008 crisis (Du et al., 2018). Our study aims to contribute to the literature by ...
Deviations from the covered interest parity: The role of fundamentals, financial and political turmoil, and market frictions
(Lociedade Brasileira de Finanças, 2021)
Estudo das relações de paridade de juros para a economia brasileira no período recente
The aim of this paper is to test whether the correction of the interest parity conditions by market expectancy (uncovered parity) and by risk premium (covered and uncovered parity) results in a (close) econometric validation ...
Eficiência do mercado de câmbio brasileiro: comportamento do mercado em face às crises, mudanças políticas e econômicas
A taxa de câmbio é um assunto sempre presente nas discussões sobre política econômica brasileira, sendo a flutuação do câmbio um fator relevante aos agentes de mercado que recorrem aos contratos futuros de câmbio (forward) ...
Um teste de paridade coberta de juros, ajustada por prêmio de risco, para a economia brasileira entre 2007 e 2010
The concept of covered interest parity imply that, in the absence of arbitrage barriers between two markets, the interest differential among two assets, identical in all relevant aspects, excepted by the reference currency, ...
Cambios de las tasas de política, paridad cubierta de intereses y estructura a plazo
Abstract Data from the USA and the UK markets is used to re-estimate the capability of the Federal Reserve and Bank of England to affect the interest rates. The evidence shows that these reactions are smaller than the ...
Forward premium puzzle in Brasil: risk premium and order flow
The uncovered interest parity postulates the relationship between two currencies over time should be given by the nominal interest rate differential. However, for over four decades, the forward exchange rate fails as a ...