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Essays in FX and commodities: from Value at Risk to deep learning models
(2021-07-01)
A previsão em commodities e FX são assuntos de extrema relevância para empresas e entidades governamentais, sobretudo em países como o Brasil, que dependem significativamente do setor agrícola, de mineração e das indústrias ...
Comportamento da taxa de câmbio no Brasil: evidências empíricas
(2019-02-13)
O presente trabalho tem como objetivo analisar o comportamento do mercado de câmbio brasileiro, particularmente busca testar a hipótese de Meese-Rogoff, em que previsões da taxa de câmbio geradas a partir de um processo ...
Uncovered equity parity: an empirical analysis for the Brazilian financial market
(2018-10-04)
This paper analyzes if the uncovered equity parity conditions, established by Hau and Rey (2006), hold for Brazil or if divergent capital flow dynamics are observable. The paper applies a vector autoregressive model, ...
Investigação do comportamento do câmbio nominal brasileiro em relação aos fundamentos econômicos baseados na Regra de Taylor
(2017-02-17)
The objective of this paper is to analyze the relationship between the Brazilian nominal exchange rate and the economic fundamentals, defined according to the Taylor rule. The transitory and permanent decomposition method ...
An assessment of exchange rate impact over Taylor rule determination in Brazil
(2017-01-31)
This work assesses the validity of applying the Taylor Rule to the Brazilian market. Several variables, tools and features were analyzed. Among its variables, inflation, inflation target and output gap were included to ...
O Tratado da Parceria Transpacífico (TPP): impactos do novo marco regulatório para o Brasil
(Centro de Estudos do Comércio Global e Investimento (CCGI), 2017)
O governo dos EUA acaba de anunciar nova estratégia para sua política de comércio internacional. A fase dos megas-acordos foi substituída por negociações bilaterais, incluindo renegociações com os antigos parceiros (ex. ...
Migação dos choques nos termos de troca sobre o câmbio
(2016-08-12)
This paper analyzes if international reserves can reduce the effects of terms of trade shocks over the Exchange rate in Brazil. For this matter, an expansion of the model proposed by Aizeman e Riera-Critchon (2008) was ...
Estratégias de momentum no mercado cambial
(2016-02-15)
Utilizo dados semanais para investigar a lucratividade de estratégias de momentum no mercado de câmbio baseadas em dois diferentes métodos de extração da tendência, possivelmente não linear. Comparo a performance com as ...
Addressing important econometric issues on how to construct theoretical based exchange rate misalignment estimates
(2015-10-26)
Exchange rate misalignment assessment is becoming more relevant in recent period particularly after the nancial crisis of 2008. There are di erent methodologies to address real exchange rate misalignment. The real exchange ...
The Brazilian foreign exchange market through the microstructure perspective
(2015-07-27)
The objective of this study is to investigate whether the relationship between order ow and the spot exchange rate stems from the fact that the ow aggregates information on dispersed economic fundamentals in the economy. ...
