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Master's Dissertation
DOI
10.11606/D.96.2016.tde-20072016-142113
Document
Author
Full name
Fernanda Isadora Mundim Gonçalves
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
Ribeirão Preto, 2016
Supervisor
Committee
Ferreira, Alex Luiz (President)
Bertolai, Jefferson Donizeti Pereira
Lyrio, Marco Túlio Pereira
Matos, Paulo Rogério Faustino
Title in Portuguese
Risco cambial num sistema de equações com choques correlacionados
Keywords in Portuguese
Câmbio
Juros
Risco
Abstract in Portuguese
Este trabalho apresenta uma abordagem inovadora para a modelagem do risco cambial. Ao invés de utilizar regressões de MQO "equação por equação", explora-se a correlação contemporânea e estrutural entre os choques de preferência num sistema de equações de precificação de ativos. Estima-se um modelo via SUR em uma amostra de excessos de retorno de países entre 1999Q1 e 2014Q2, utilizando-se novos fatores de risco associados ao PIB das diferentes economias. O modelo empírico é derivado de preferências que são consistentes com um problema de economia aberta, em contraste com a abordagem habitual que utiliza o crescimento do consumo de bens duráveis e não-duráveis como fatores de risco. A estratégia econométrica escolhida leva a uma melhora significativa da precisão das quantidades de risco (betas) estimadas. A relação positiva entre taxas de juros e quantidades de risco, contudo, não é corroborada para todos os betas.
Title in English
Currency risk in a system of equations with correlated shocks
Keywords in English
exchange rates
interest rates
risk
Abstract in English
This thesis presents an innovative approach for modeling currency risk. Instead of using equation by equation OLS, we explore the structural contemporaneous correlation between preference shocks across a system of asset pricing equations. SUR regressions as well as new risk factors lead to a marked improvement in efficiency for the estimation of the quantities of risk (betas) in a sample of country excess returns from 1999Q1 to 2014Q2. However, the monotonic relation between interest rates and quantities of risk is not statistically significant for all betas. Our model is derived from preferences that are consistent to an open economy problem, in contrast to the typical approach of using durable and non-durable consumption growth as risk factors.
 
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Publishing Date
2016-09-06
 
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