An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1999.

This paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through March 1999. Using options data, we derive implied probability density functions (PDF) for expected future exchange rates and thus measures of the credibility of the "crawling peg" and target zone ("maxiband") regimes governing the exchange rate.

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Year of publication:	2000
Authors:	Campa, J.M. ; Chang, P.H.K. ; Refalo, J.F.
Institutions:	Centro de Estudios Monetarios y Financieros (CEMFI)
Subject:	EXCHANGE RATE \| FINANCIAL MARKET \| INTERNATIONAL ECONOMY

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Series:	Centro de Estudios Monetarios Y Financieros-.
Type of publication:	Book / Working Paper
Notes:	63 pages
Classification:	F31 - Foreign Exchange ; G15 - International Financial Markets ; G13 - Contingent Pricing; Futures Pricing ; F37 - International Finance Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005625762