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Master's Dissertation
DOI
https://doi.org/10.11606/D.92.2007.tde-07062023-113943
Document
Author
Full name
Fábio de Pinho Noronha
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2007
Supervisor
Committee
Yoshino, Joe Akira (President)
Avelino, Ricardo Rezende Gomes
Rosenfeld, Rogério
 
Title in Portuguese
Anomalias empíricas nos modelos de precificação do prêmio de risco nos mercados a termo de moedas estrangeiras
Keywords in Portuguese
Câmbio (Economia)
Câmbio a termo
Econometria
Escola Econômica de Chicago
Taxa de câmbio
Abstract in Portuguese
Diversos estudos têm-se prestado a identificar anomalias no mercado a termo da taxa câmbio com base nos modelos tanto equilíbrio parcial (princípio de não-arbitragem) como de equilíbrio geral conforme Lucas Asset Pricing (1978). Considerando um investidor norte-americano atuando no mercado a termo de moedas de países desenvolvidos e emergentes, identificamos tanto o puzzle caracterizado por Fama (1984) - a violação da paridade coberta da taxa de juros - como os valores implausíveis para o coeficiente relativo de aversão ao risco (CRRA) estimado pelo CCAPM (consumption-based capital asset pricing model), nos moldes de Lucas (1978) e Mehra e Prescott (1985). Utilizando dados trimestrais, confirmamos o puzzle para a maioria das moedas de mercados emergentes quando analisadas individualmente. Ao agrupá-las, não identificamos o puzzle de Fama para o conjunto das moedas de economias emergentes e nem para o mercado como um todo (países emergentes e desenvolvidos). Por outro lado, identificamos este puzzle para o conjunto das moedas de países desenvolvidos. Posteriormente, estimamos o coeficiente relativo de aversão ao risco (CRRA) pelo CCAPM sobre a mesma base de dados. Encontramos valores bastante altos para todas as moedas de países desenvolvidos e para um dentre os países emergentes, números estes condizentes com o puzzle de Mehra e Prescott (1985). Ademais, encontramos CRRAs negativos para a maioria das moedas de economias emergentes. A estimativa do CRRA para o mercado de moedas de países emergentes é um resultado inédito na literatura.
 
Title in English
Empirical anomalies in risk premium pricing models in foreign currency forward markets
Keywords in English
Chicago School of Economics
Econometrics
Exchange rate
Foreign exchange (Economics)
Forward exchange
Abstract in English
Several studies have been used to identify anomalies in the exchange rate forward market based on models, both partial equilibrium (principle of non-arbitration) and general equilibrium, according to Lucas Asset Pricing (1978). Considering an American investor operating in the forward market of currencies from developed and emerging countries, we identify both the puzzle characterized by Fama (1984) - the violation of the covered interest rate parity - and the implausible values for the relative coefficient of aversion to the risk (CRRA) estimated by the CCAPM (consumption-based capital asset pricing model), along the lines of Lucas (1978) and Mehra and Prescott (1985). Using quarterly data, we confirm the puzzle for most emerging market currencies when analyzed individually. By grouping them, we did not identify the Fame puzzle for the set of currencies from emerging economies or for the market as a whole (emerging and developed countries). On the other hand, we identify this puzzle for the set of currencies of developed countries. Subsequently, we estimated the relative risk aversion coefficient (CRRA) by CCAPM on the same database. We found very high values for all currencies of developed countries and for one of the emerging countries, numbers consistent with the puzzle of Mehra and Prescott (1985). Furthermore, we found negative CRRAs for most emerging market currencies. The CRRA estimate for the currency market of emerging countries is an unprecedented result in the literature.
 
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Publishing Date
2023-06-07
 
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