Ensaios sobre o risco cambial

Resumo

This thesis comprises three chapters that explore exchange rate risk in floating exchange rate regimes, contributing to the literature on macroeconomics and finance. The first chapter distinguishes between two types of exchange rate risk: structural risk, characterized by continuous fluctuations in the exchange rate, and discrete risk, associated with abrupt jumps. To identify these risks within the data, we employed a parametric model and option pricing data. This methodology enables us to further decompose discrete risk into two components: the probability and the expected magnitude of the jump. Our findings indicate that discrete risk is significant, is always associated with currency depreciation, and accounts for at least one-third of the implied volatility of the exchange rate, with its composition between probability and expected jump magnitude varying according to historical contexts. In the second chapter, we utilize the theoretical framework proposed by Orestes (2021) to rationalize the empirical findings presented in the first chapter. The interplay between financial frictions and the coordination problem leads agents to adopt a threshold rule. Under this framework, depending on the realization of macroeconomic fundamentals, all foreign investors may either exit the local market simultaneously or choose to remain. Consequently, there exists a positive probability that the exchange rate will experience a discrete jump. The influence of monetary policy and currency interventions on the expected jump of the currency is ambiguous. An increase in interest rates or a commitment to purchase foreign currency raises the return on investment, thereby reducing the likelihood of the jump occurring; however, by attracting more investments to the local market, it increases the magnitude of the jump if it occurs. In the third chapter, the parameters of the model from the second chapter are calibrated to reproduce both structural risk and discrete risk, along with their two components: probability and jump magnitude, as identified in the first chapter. Our analysis reveals that the parameter reflecting the intensity of financial frictions shows a downward trend over time. In contrast, regarding the parameter related to the coordination problem, no trend can be observed over the historical series. Subsequently, we conduct counterfactual analyses. Within our sample, monetary policy exhibits an ambiguous effect on the expected jump of the currency, while currency interventions reduce the expected jump during the analyzed period.

Ficha do documento

Tipo

Tese

Ano

2025

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/36997

Temas

Economia

Palavras-chave

Risco cambialOpções de câmbioFalha de coordenaçãoExchange rate riskCurrency optionsCoordination failureEconomiaCâmbioRisco (Economia)Mercado de opçõesEquilíbrio econômico