Viés no mercado de câmbioseria o fim do forward premium puzzle?

Resumo

The goal of this thesis is to analyze the forward rate bias (forward premium puzzle) in three different periods of time for a sample of developed and developing countries, in which it was shown that especially in the period after the financial crisis of 2008, the puzzle for developed countries is not found, since most of the obtained coefficients became positive, without rejecting the hypothesis of unbiased forward rate. For developing countries, the coefficients became on average negative and biased. Due to the positive coefficient for developed countries for the series from July 2009 to December 2019, by means of rolling regressions in 8-year windows, we analyzed that the puzzle starts becoming positive mid-2000, when there is a first cycle of reduction in American interest rates due to the dot-com crisis, peaking with coefficients on average above one after the crisis of 2008, when American interest rate reach the minimum level of zero, the Zero Lower Bound. The decomposition of the bias for the Zero Lower Bound setting, using surveys, after the crisis of 2008, indicates that although we do not reject the hypothesis of unbiased forward rate, for this group of developed and developing countries we observed rejection toward the hypothesis of perfect substitutability (absence of risk premium) in larger quantity than the hypothesis of rational expectations. The bias decomposition using the cointegration method also demonstrates a larger number of countries rejecting the hypothesis of absence of risk premium, although almost half the analyzed countries collectively rejected the hypothesis of rational expectations, therefore indicating both hypotheses are rejected. Some developed and emerging countries presented nonrejection to all of the hypotheses of bias tests, indicating these currencies present a rational, efficient, unbiased forward market. We conducted a specific analysis for Brazils forward and future market in which we identified the presence of risk premium component in all studied methodologies. Despite the floating regime and the greater macroeconomic stability, the risk premium component continues to be identified in the Brazilian market and the tests of residual analysis presented results of rejection of the hypotheses of efficient and rational markets.

Ficha do documento

Tipo

Dissertação

Ano

2021

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Não informado

Identificador

oai:repositorio.fgv.br:10438/30232

Temas

Economia

Palavras-chave

Forward premium puzzleForward decompositionCointegration2008 financial crisisDecomposição da forwardCointegraçãoCrise financeira de 2008EconomiaMercado de câmbioCâmbio a termoTaxas de jurosCrise financeira