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On uncovered interest parity puzzles: excess return, asymmetry and crash risk
(Universidade Federal de Minas GeraisUFMG, 2017-01-19)
This dissertation evaluates implications of the uncovered interest parity (UIP) equation for the pound/dollar nominal exchange rate variation and for the return of the carry trade investment strategy. Conditioned on interest ...
Especificação da paridade descoberta de juros no mercado brasileiro
(2014-12-20)
Medimos a validade da paridade descoberta de juros – PDJ - para o mercado brasileiro no período de janeiro de 2010 a julho de 2014. Testamos a equação clássica da PDJ usando o Método dos Mínimos Quadrados Ordinários. Após ...
Estudo das relações de paridade de juros para a economia brasileira no período recente
(2002-09-16)
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 ...
PPP, UIP and Fisher parity: speculation or rational expectations? Evidence for four Latin American countries
(Universidad del RosarioMaestría en EconomíaFacultad de Economía, 2013)
This work aims to test the equilibrium relations of two international macroeconomics models for Colombia, Chile, Mexico and Brazil. The first model is the rational expectation hypothesis (REH) where three key relations ...
Real interest parity decomposition
(Instituto de Pesquisas Econômicas da FEA-USP, 2009)
The aim of this paper is to investigate the general causes of real interest rate differentials (rids) for a sample of emerging markets for the period of January 1996 to August 2007. To this end, two methods are applied. ...
Forward-premium puzzle: is it time to abandon the usual regression?
(Routledge Journals, Taylor & Francis Ltd, 2016-06)
The forward premium puzzle is usually evidenced by the rejection of the null hypothesis in the uncovered interest parity (UIP) regression. Because this parity need only hold in a risk-neutral world, a risk adjustment term ...
Fluxo de capitais de portfólio: efeitos sobre a economia brasileira sob o regime de câmbio flutuantePortfolio capital flows: effects on the Brazilian economy during the floating exchange rate regime
(Universidade Federal de ViçosaBREconomia e Gerenciamento do Agronegócio; Economia das Relações Internacionais; Economia dos RecursosDoutorado em Economia AplicadaUFV, 2015)
Uma voz a serviço do Rio Grande: fragmentos identitários do gaúcho na programação da Rádio Guaiba AM de Porto Alegre
(Pontifícia Universidade Católica do Rio Grande do SulPorto Alegre, 2008)
The thesis A voice in the service of the Rio Grande: fragments of the gaucho identity in the programming of Radio AM Guaíba of Porto Alegre proposes to respond to three main issues: the Guaíba AM radio is still "a voice ...