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Master's Dissertation
DOI
10.11606/D.12.2010.tde-29112010-183257
Document
Author
Full name
Mirela Virginia Perrella Scarabel
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2010
Supervisor
Committee
Rodrigues Junior, Mauro (President)
Rangel, Marcos de Almeida
Schor, Adriana
Title in Portuguese
O impacto de mudanças de rating soberano sobre a taxa de câmbio em países emergentes
Keywords in Portuguese
Países em desenvolvimento
Risco-país
Taxa de câmbio
Abstract in Portuguese
O objetivo desta dissertação é avaliar o impacto de mudanças de rating soberano sobre a taxa de câmbio de países emergentes. Embora a literatura relacionada já tenha estudado o impacto de mudanças de rating soberano sobre ações, títulos e até fluxo de capital, nada foi feito sobre taxas de câmbio. Todavia, taxas de câmbio devem responder de maneira interessante a mudanças de rating, pois além de serem ativos financeiros, as moedas desempenham a função de intermediar o investimento estrangeiro nos demais ativos domésticos. Empregamos a metodologia de estudo de evento acrescentando a ela uma modificação que nos permite controlar a análise por efeitos agregados. Utilizando uma base de dados diária de taxas de câmbio de 23 países emergentes encontramos, grosso modo, evidências de que downgrades estão associados a depreciações da moeda doméstica, ao passo que, upgrades não provocam nenhuma reação significativa na taxa de câmbio. Este resultado vai ao encontro da literatura que estuda o impacto de mudanças de rating em ações, títulos e fluxo de capitais. Além disso, dentre ainda outros resultados, encontramos evidências de que o mercado antecipa o evento relevante e que não há efeitos defasados.
Title in English
The impact of sovereign rating changes on the exchange rate in emerging markets
Keywords in English
Emerging markets
Exchange rate
Sovereign rating
Abstract in English
The purpose of this dissertation is to examine the impact of sovereign rating changes on the exchange rate of emerging markets. Although the related literature has studied the impact of sovereign rating changes on stocks, bonds and even capital flows, nothing has been done on exchange rates. However, exchange rates should respond in an interesting way to rating changes because the currency is a financial asset and has a role in intermediating foreign investment in other domestic assets. We employ the event study methodology by adding to it an amendment that allows us to control the analysis by aggregate effects. Using a database of daily exchange rates of 23 developing countries, we found evidence that downgrades are associated with depreciations of the domestic currency, whereas, upgrades do not cause any significant reaction in the exchange rate. This result is consistent with the literature that studies the impact of rating changes on stocks, bonds and capital flows. Moreover, even among other results, we find evidence that the market anticipates the relevant event and there is no lagged effects on the market.
 
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MirelaVPScarabel.pdf (397.51 Kbytes)
Publishing Date
2010-12-03
 
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