FGV Digital Repository
    • português (Brasil)
    • English
    • español
      Visit:
    • FGV Digital Library
    • FGV Scientific Journals
  • English 
    • português (Brasil)
    • English
    • español
  • Login
View Item 
  •   DSpace Home
  • FGV EESP - Escola de Economia de São Paulo
  • FGV EESP - Textos para Discussão / Working Paper Series
  • View Item
  •   DSpace Home
  • FGV EESP - Escola de Economia de São Paulo
  • FGV EESP - Textos para Discussão / Working Paper Series
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

All of DSpaceFGV Communities & CollectionsAuthorsAdvisorSubjectTitlesBy Issue DateKeywordsThis CollectionAuthorsAdvisorSubjectTitlesBy Issue DateKeywords

My Account

LoginRegister

Statistics

View Usage Statistics

Deviations from covered interest parity: the role played by fundamentals, financial and political turmoils and market frictions

Thumbnail
View/Open
PDF (743.8Kb)
Date
2019-05
Author
Costa, Marisa Gomes da
Marçal, Emerson Fernandes
Metadata
Show full item record
Abstract
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 modelling the deviations from covered interest rate parity (CIP) of an important emerging market economy. We focus on Brazilian data given the importance of its derivative market. One of strengths of our study is the use of an agnostic approach based on automatic model selection technique robust to structural change, the Autometrics algorithm (Hendry and Doornik, 2014), to unveil possible determinants of CIP deviations from a wide information data set. We show that CIP deviations are highly sensitive to changes in Federal government total debt, level of reserves, in ation and degree of trade openness. We also document the existence of instabilities in the model due to nancial and political turmoils. These conclusions come up from the intercept correction performed by the algorithm and can be seen as byproduct of our method- ology. Finally, we collect evidence that, even after corrected for fundamentals and instability points, CIP deviations still have persistence, suggesting that market frictions play an important role in the dynamics of CIP deviations.
URI
https://hdl.handle.net/10438/27455
Collections
  • FGV EESP - Textos para Discussão / Working Paper Series [538]
Knowledge Areas
Economia
Subject
Taxas de juros
Risco (Economia)
Taxas de câmbio
Keyword
Automatic model selection
Covered interest rate parity
Country risk
Exchange rate
Interest rate

DSpace software copyright © 2002-2016  DuraSpace
Contact Us | Send Feedback
Theme by 
@mire NV
 

 


DSpace software copyright © 2002-2016  DuraSpace
Contact Us | Send Feedback
Theme by 
@mire NV
 

 

Import Metadata