Eficiência em mercados futuros, prêmio de risco e bandas de câmbio no Brasil

Resumo

The expectations are substantially affected by economic policy. The futures market prices are efficient when they capture all current important information, allowing them to be the best price estimate for the contract’s maturity. The bias between future and spot exchange rate can be due to a risk premium, which varies on time and can be explained by the past values of these variables. The dollar futures market efficiency in particular is mainly influenced by the exchange rate policy. This paper investigates this relationship testing the efficiency hypothesis for the Brazilian dollar futures market traded in BM&F from July 1994 to April 2000. The results had indicated that the dollar futures market was inefficient during the whole period. Analyzing only the Brazilian exchange rate bands system, dollar futures market was inefficient too. The results suggest yet that there is a risk premium in Brazilian exchange rate market.

Ficha do documento

Tipo

Artigo científico

Ano

2000

Instituição

Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária

Fonte

Estudos Econômicos

Idioma

Português

Acesso

Não informado

DOI

10.11606/1980-53573042mawr

Identificador

oai:revistas.usp.br:article/117667

Licença

http://creativecommons.org/licenses/by-nc/4.0

Palavras-chave

EfficiencyFuture MarketRisk PremiumExchange Rate BandsEficiênciaMercado FuturoPrêmio De RiscoBandas Cambiais