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Reestruturação do sistema de pagamentos brasileiro: o caso da clearing de câmbio da BM&F.; Brazilian payment system restructuring: the case of the BM&F foreign exchange clearinghouse.

Lima, Douglas Miranda
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 20/01/2003 Português
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66.39%
Este estudo teve como finalidade mostrar a importância da Clearing de Câmbio dentro do novo projeto de reestruturação do Sistema de Pagamentos Brasileiro. Para tanto foi observado como funcionava o antigo sistema, com os riscos assumidos pelo Banco Central, principalmente no que se refere à possibilidade do risco sistêmico. No novo projeto, as Clearings são fundamentais para se evitar esse tipo de risco. Os dados utilizados permitiram que fossem feitas simulações com a presença ou não da Clearing. Para contextualizar o cenário em que se encontrava a economia antes da implantação do novo sistema fez-se uma breve análise do cenário de instabilidade pelo qual o sistema bancário atravessava e a forma como o governo conseguiu controlá-lo. Para garantir uma maior segurança em todo o sistema de pagamentos criou-se o Sistema de Transferência de Reservas adotando o processo de liquidação bruta em tempo real, conseguindo eliminar a possibilidade de risco de crédito. A Clearing de Câmbio possui um papel fundamental no novo SPB pois trabalha adotando o princípio da liquidação líquida, reduzindo a necessidade de capital para a realização das transações financeiras. O objetivo do trabalho foi mostrar os efeitos causados no mercado de câmbio e o papel da clearing nesse novo sistema. Notou-se que o mercado interbancário de câmbio tem apresentado um grande equilíbrio não só entre o número de contratos de compra e venda de moeda...

Disciplina jurídica do câmbio e política pública; Legal discipline of foreign exchange transactions and public policy

Costa, Luciana Pereira
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 12/05/2009 Português
Relevância na Pesquisa
66.32%
A presente dissertação tem por objetivo discorrer sobre a disciplina jurídica do câmbio no direito brasileiro e a sua relação com a política pública. A taxa de câmbio, ao expressar a relação de troca entre a moeda nacional e a moeda estrangeira, está sujeita à influência de diversos fatores que extrapolam os poderes de compra das respectivas moedas e que não refletem a noção de equivalência presente na determinação do preço nas compras e vendas, como a relação internacional de troca e atos de política econômica dos Estados envolvidos. O Estado, ao exercer a política cambial, dever agir conforme os princípios e fundamentos previstos na Constituição Federal. Sua atuação deve ser direcionada à implementação dos objetivos eleitos pela sociedade como prioritários, os quais estão fixados na Carta Magna. Esses objetivos encontram possibilidade de concretude nas políticas públicas.; This paper aims at discussing the legal framework of foreign exchange transactions in the Brazilian legal system and its relation with public policy. The exchange rate expresses the relation between the exchange of local currency and foreign currency. The rate is subject to the influence of several different factors other than the purchasing power of the relevant currencies (i.e. the terms of foreign international relations and economic policy acts of the respective countries)...

Dinâmica da taxa de câmbio no Brasil de 2004 a 2012: efeitos da crise econômico-financeira internacional de 2008; Brazilian foreign exchange rate dynamics from 2004 to 2012: effects of the international economic and financial crisis of 2008

Oliveira, Jayane Pereira de
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 15/04/2014 Português
Relevância na Pesquisa
66.46%
O presente trabalho teve por objetivo investigar se há evidências de que o regime de política cambial brasileiro teria se alterado no pós-crise econômico-financeira internacional de 2008, além de captar insights acerca da eficácia dos instrumentos de intervenção recentemente aplicados sobre o mercado de moedas e acerca do poder explicativo dos fundamentos da taxa de câmbio. Três fatos estilizados do mercado de câmbio brasileiro incitam essa investigação. O primeiro deles encontra-se no histórico de mudanças de regime cambial do Brasil e das demais economias emergentes, as quais geralmente têm ocorrido em momentos de crises internacionais por impossibilidade dos governos em sustentar o regime vigente. O segundo assenta-se na dinâmica recente do real cuja variação tem se descolado da dinâmica das demais moedas commodities currencies. Por fim, o terceiro ponto está nas inovações recentes em política de intervenção das autoridades monetárias e fiscais visando à gestão da cotação da moeda com medidas tais como as modificações das alíquotas do IOF sobre operações cambiais. Para o alcance dos objetivos foi utilizado o modelo Markov Switching desenvolvido por Hamilton (1989) aplicado ao modelo estrutural de curto prazo para taxa de câmbio...

Seasonalities in Eastern Foreign Exchange Markets: A Barrier to Euro Adoption?

Vieira, Carlos; Vieira, Isabel
Fonte: Universidade de Évora Publicador: Universidade de Évora
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
66.19%
Plans for an early adoption of the euro by some new EU members hang on political will and a set of nominal criteria. The focus, however, should be on the available adjustment mechanisms supporting a permanently fixed exchange rate. Efficient financial markets could provide stabilisation (following a shock), substituting the weakened array of traditional policy instruments. In order to assess the availability of such alternative, this paper presents a particular empirical analysis of efficiency in the foreign exchange markets of three recently acceded countries. The results suggest that some caution is needed in the transition towards full monetary integration, as the level of financial efficiency already attained may be insufficient to ensure an adequate source of stabilisation in economies affected by specific disturbances.

Seasonalities in Eastern Foreign Exchange Markets: A Barrier to Euro Adoption

Vieira, Carlos; Vieira, Isabel
Fonte: Springer Publicador: Springer
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
66.19%
Plans for an early adoption of the euro by some new EU members are hanged up on political will and a set of nominal criteria. The focus, however, should be on the available adjustment mechanisms supporting a permanently fixed exchange rate. Efficient financial markets could provide stabilisation (following a shock), substituting the weakened array of traditional policy instruments. In order to assess the availability of such alternative, this paper presents a particular empirical analysis of efficiency in three recently acceded countries’ foreign exchange markets. The results suggest that some caution is needed in the transition towards full monetary integration, as the level of financial efficiency already attained may be insufficient to ensure an adequate source of stabilisation in economies affected by specific disturbances.

Exchange rate exposure of firms and the demand for foreign exchange derivatives in Brazil: did hedge or speculatiom matter?

Oliveira,Fernando Nascimento de
Fonte: Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo Publicador: Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/12/2012 Português
Relevância na Pesquisa
66.37%
This paper examines empirically how the demand of foreign exchange derivatives by Brazilian corporations is related to their exchange rate exposure. With the help of an original database of 74,567 contracts written from 1999 to 2002 between corporations and financial institutions, we were able to identify the corporations that speculated and the ones that hedged with foreign exchange derivatives during this period. Our results show that the exchange rate exposure is positively related to the foreign operational exposures for firms that speculated and negatively related for firms that hedged in 2002. For the other years of the sample period, speculation or hedge did not affect the relationship between the exchange rate exposure and the foreign operational exposure of firms.

Official Intervention in the Foreign Exchange Markets

Poole, William
Fonte: William E. Simon Graduate School of Business Administration, University of Rochester Publicador: William E. Simon Graduate School of Business Administration, University of Rochester
Português
Relevância na Pesquisa
66.15%
Intervention policy in the foreign exchange markets during the second Reagan Administration has been completely different from that during the first Reagan Administration. During the first administration the policy was not to intervene except to calm disorderly markets, and there was in fact very little intervention. During the second administration, and especially since the Plaza Agreement of September 1985, the scale of intervention has been very substantial. The purpose of this memorandum is to review what has happened and to evaluate where we stand now.

A DYNAMIC FRAMEWORK FOR THE RELATIONS BETWEEN FOREIGN EXCHANGE RATES, SAVINGS AND INVESTMENTS

Yang, Jie (Stephan)
Fonte: Brock University Publicador: Brock University
Tipo: Electronic Thesis or Dissertation
Português
Relevância na Pesquisa
66.15%
The Meese-Rogoff forecasting puzzle states that foreign exchange (FX) rates are unpredictable. Since one country’s macroeconomic conditions could affect the price of its national currency, we study the dynamic relations between the FX rates and some macroeconomic accounts. Our research tests whether the predictability of the FX rates could be improved through the advanced econometrics. Improving the predictability of the FX rates has important implications for various groups including investors, business entities and the government. The present thesis examines the dynamic relations between the FX rates, savings and investments for a sample of 25 countries from the Organization for Economic Cooperation and Development. We apply quarterly data of FX rates, macroeconomic indices and accounts including the savings and the investments over three decades. Through preliminary Augmented Dickey-Fuller unit root tests and Johansen cointegration tests, we found that the savings rate and the investment rate are cointegrated with the vector (1,-1). This result is consistent with many previous studies on the savings-investment relations and therefore confirms the validity of the Feldstein-Horioka puzzle. Because of the special cointegrating relation between the savings rate and investment rate...

Assessing Real Exchange Rate Misalignments

Kubota, Megumi
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
56.53%
There is a renewed debate on the role of exchange rate policies as an industrial policy tool in both academic and policy circles. Policy practitioners usually examine real exchange rate misalignments to monitor the behavior of this key relative price and, if possible, exploit distortions in the traded and non-traded relative price to promote growth. Anecdotal evidence shows that some countries have pursued very active exchange rate policies to promote the export sector and enhance growth by undervaluing their currencies. The main goal of this paper is to provide a systematic characterization of real exchange rate undervaluations. The long-run real exchange rate equation is estimated using: (a) Johansen time series cointegration estimates, and (b) pooled mean group estimates for non-stationary panel data. The paper constructs a dataset of real undervaluation episodes. It first evaluates whether (and if so, to what extent) economic policies can be used to either cause or sustain real undervaluations. In this context the paper empirically models the likelihood and magnitude of sustaining real exchange rate undervaluations by examining their link to policy instruments (such as exchange rate regimes and capital controls...

Exchange Rates during the Crisis

Weber, Sebastian; Wyplosz, Charles
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
56.53%
Nearly two years after the onset of the financial crises, many central banks have brought their policy interest rates down to, or close to zero. Various governments have seen their budget deficits soar. Both policies have affected exchange rates, partly through market expectations. With a majority of exchange rates officially floating, exchange rate movements do not necessarily reflect official decisions as was the case in the 1930s. Yet, also in the 2008 crisis, authorities have directly intervened in the foreign exchange market, sometimes in order to defend a falling currency but in other instances with the aim to limit appreciation pressure, akin of competitive devaluations. This paper documents the exchange rate interventions during the height of the 2008/09 financial crisis and identifies the countries which have particular high incentives to intervene in the foreign exchange market to competitively devalue their currency. While various countries had increased incentives to devalue, we find that direct exchange rate interventions have been rather limited and contagion of devaluation has been restricted to one regionally contained case. However...

An Alternative Framework for Foreign Exchange Risk Management of Sovereign Debt

Melecky, Martin
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
56.51%
This paper proposes a measure of synchronization in the movements of relevant domestic and foreign fundamentals for choosing suitable currency for denomination of foreign debt. The selection of explanatory variables for exchange rate volatility is motivated using a New Keynesian Policy model. The model predicts that not only traditional optimal currency area variables, but also variables considered by the literature on currency preferences, such as money velocity, should be relevant for explaining exchange rate volatility. The findings show that measures of inflation synchronization, money velocity synchronization, and interest rate synchronization can be useful indicators for decisions on the currency denomination of foreign debt.

How to Move the Exchange Rate If You Must : The Diverse Practice of Foreign Exchange Intervention by Central Banks and a Proposal for Doing It Better

Basu, Kaushik; Varoudakis, Aristomene
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
66.53%
The paper is about the art of exchange rate management by central banks. It begins by reviewing the diversity of objectives and practices of central bank intervention in the foreign exchange market. Central banks typically exercise discretion in determining when and to what extent to intervene. Some central banks use publicly declared rules of intervention, with the aim of increasing visibility and strengthening the signaling channel of policy. There is tentative evidence that the volatility of foreign exchange reserves is comparatively lower in emerging market economies where central banks follow some form of rules-based foreign exchange intervention. The paper goes on to argue that when the foreign exchange market includes some large strategic participants, the central bank can achieve superior outcomes if intervention takes the form of a rule, or "schedule," indicating commitments to buying and selling different quantities of foreign currency conditional on the exchange rate. Exchange rate management and reserve management can then be treated as two independent objectives by the central bank. In line with the stylized facts reviewed...

The US Financial Crisis and the Behavior of the Foreign Exchange Market

Padungsaksawasdi, Chaiyuth
Fonte: FIU Digital Commons Publicador: FIU Digital Commons
Tipo: Artigo de Revista Científica Formato: application/pdf
Português
Relevância na Pesquisa
66.35%
Foreign exchange market is the most active market in today’s global financial domains. While the consensus on several aspects of this market is fairly established, the informational efficiency in this market is still unsettled, particularly during unexpected interruptions and unusual or unstable periods. The financial crisis of 2008 is the most recent example of such a period. This dissertation focuses on the efficiency of the foreign exchange market during a unique, turbulent period using the six most actively traded currencies: the Australian dollar, Canadian dollar, Swiss franc, Euro, British pound, and Japanese yen. Considering nine months before the peak of the financial crisis to nine months thereafter, the entire sample is divided into three sub-samples: full-, non-crisis-, and crisis-periods. Both daily and minute-by-minute data are used. A variety of instruments are analyzed, including spot, forward, and exchange traded funds on the currencies. The methodologies that are employed range from standard econometric tests of efficiency to estimation of vector error correction models to identify price discovery, or leadership positions, in each of the currency markets. The findings indicate behavioral similarities and differences. The patterns of the volatility of the currencies are mixed: two-humped for the AUD...

The forward premium anomaly : can sticky-price models generate volatile foreign exchange risk premia?

Moon, Seongman
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /05/2007 Português
Relevância na Pesquisa
66.19%
Fama’s (1984) volatility relations show that the risk premium in foreign exchange markets is more volatile than, and is negatively correlated with the expected rate of depreciation. This paper studies these relations from the perspective of goods markets frictions. Using a sticky-price general equilibrium model, we show that near-random walk behaviors of both exchange rates and consumption, in response to monetary shocks, can be derived endogenously. Based on this approach, the paper provides quantitative results that might explain the forward premium anomaly, which is one of the most important puzzles in international finance.

Shock Persistence and the Choice of Foreign Exchange Regime : An Empirical Note from Mexico

Giugale, Marcelo; Korobow, Adam
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research; Publications & Research :: Policy Research Working Paper
Português
Relevância na Pesquisa
66.49%
The academic and policy debate about optimal foreign exchange rate regimes for emerging economies, has focused more on the theoretical costs and benefits of possible regimes, than on their actual performance. The authors report on what can be called exchange-rate-regime-dependent differential shock persistence - that is, the time output takes to return to its trend after a negative shock - in a sample of countries representing various points on the spectrum of nominal foreign exchange flexibility. They find strong evidence that Mexico's stimulated output recovery after a negative external shock was faster (a third as long) when the country's policymakers let the nominal foreign exchange rate float, than when they fixed it, and much faster than in other developing countries that kept nominal foreign exchange rates constant, especially those that resorted to currency board arrangements to support that constancy. These results are insufficient to guide the choice of regime (they lack general equilibrium value, and are based on a limited sample of countries), but they highlight an important practical consideration in making that choice: How long it takes for output to adjust after negative shocks, is sensitive to the level of rigidity of the foreign exchange regime. This factor may be critical when the social costs of those adjustments are not negligible.

Converting and Transferring Currency : Benchmarking Foreign Exchange Restrictions to Foreign Direct Investment Across Economies

Anderson, John
Fonte: World Bank, Washington DC Publicador: World Bank, Washington DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
66.55%
The ease of converting and transferring currency is a crucial consideration for firms investing in a foreign economy. The Converting and Transferring Currency data and indicators measure foreign exchange restrictions most relevant for foreign direct investment across economies to identify common policies and benchmark the restrictiveness of economies' foreign exchange regimes. Of 98 economies included in the analysis, 53 economies maintain generally unrestricted foreign exchange regimes for foreign direct investment. But 24 economies impose moderate to heavy restrictions across most transactions covered by the Converting and Transferring Currency indicators, with another 21 economies imposing administrative or procedural requirements. All high-income economies measured by the Converting and Transferring Currency data maintain unrestricted foreign exchange regimes for foreign direct investment, and the two poorest regions of South Asia and Sub-Saharan Africa are the most restrictive regions on average. Still, there is significant variation in restrictiveness across economies at similar income levels: 38 percent of low-income and lower-middle-income economies impose moderate to heavy restrictions on transactions covered by the Converting and Transferring Currency data...

Is There Room for Foreign Exchange Interventions Under an Inflation Targeting Framework? Evidence from Mexico and Turkey

Domaç, Ilker; Mendoza, Alfonso
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
66.53%
The salient characteristics of emerging market economies coupled with the increasing adoption of inflation targeting in these countries has stimulated much debate about the role of the exchange rate in inflation targeting regimes. The authors aim at shedding more light on this issue by investigating whether central bank foreign exchange interventions have had any impact on the volatility of the exchange rate in Mexico and Turkey since the adoption of the floating regime. To this end, their study, using daily data on foreign exchange intervention, employs an Exponential GARCH framework. Empirical results suggest that both the amount and frequency of foreign exchange interventions have decreased the volatility of the exchange rates in these countries. The authors' findings corroborate the notion that if foreign exchange interventions are carried out with finesse and sensibly-that is, not to defend a particular exchange rate-they could play a useful role in containing the adverse effects of temporary exchange rate shocks on inflation and financial stability.

A simple test of momentum in foreign exchange markets

García Suaza, Andrés Felipe; Gómez González, Juan Eduardo
Fonte: Facultad de Economía Publicador: Facultad de Economía
Tipo: info:eu-repo/semantics/book; info:eu-repo/semantics/acceptedVersion Formato: application/pdf
Publicado em /03/2011 Português
Relevância na Pesquisa
66.27%
This study proposes a new method for testing for the presence of momentum in nominal exchange rates, using a probabilistic approach. We illustrate our methodology estimating a binary response model using information on local currency / US dollar exchange rates of eight emerging economies. After controlling for important variables a§ecting the behavior of exchange rates in the short-run, we show evidence of exchange rate inertia; in other words, we Önd that exchange rate momentum is a common feature in this group of emerging economies, and thus foreign exchange traders participating in these markets are able to make excess returns by following technical analysis strategies. We Önd that the presence of momentum is asymmetric, being stronger in moments of currency depreciation than of appreciation. This behavior may be associated with central bank intervention

Exchange rate exposure of firms and the demand for foreign exchange derivatives in Brazil: did hedge or speculatiom matter?

Oliveira, Fernando Nascimento de
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; Formato: application/pdf
Publicado em 01/12/2012 Português
Relevância na Pesquisa
66.37%
Este artigo analisa empiricamente como a demanda de derivativos de câmbio por firmas brasileiras está relacionada as suas exposições cambiais. Coma ajuda de umbanco de dados original de 74.567 contratos entre firmas e instituições financeiras de 1999 a 2002, somos capazes de identificar que empresas especularam e que empresas fizeram hedge durante o período. Nossos resultados mostram que a exposição operacional cambial das firmas está positivamente relacionada com a exposição cambial das firmas que especularam e negativamente relacionada com as firmas que fizeram hedge em 2002. Para os outros anos do período amostral, a especulação ou hedge não afetaram a relação entre a exposição operacional cambial e a exposição operacional das firmas brasileiras.; This paper examines empirically how the demand of foreign exchange derivatives by Brazilian corporations is related to their exchange rate exposure. With the help of an original database of 74,567 contracts written from 1999 to 2002 between corporations and financial institutions, we were able to identify the corporations that speculated and the ones that hedged with foreign exchange derivatives during this period. Our results show that the exchange rate exposure is positively related to the foreign operational exposures for firms that speculated and negatively related for firms that hedged in 2002. For the other years of the sample period...

Foreign Exchange Responses to Macroeconomic Surprises: Playing “Peek-a-Boo” with Financial Markets

Nathan, Vignesh
Fonte: Universidade Duke Publicador: Universidade Duke
Publicado em 16/04/2012 Português
Relevância na Pesquisa
66.27%
This paper explores the relationship between precisely timed macroeconomic “news” (or “surprises”) and the immediate currency price fluctuations that surround them. Using data from 2005-2011, I find significant movements in foreign exchange markets around a variety of announcements (unemployment, GDP, retail sales, inflation) for three different countries (United States, Australia, Canada). My results demonstrate that in the very short-run, as in the long run, the value of a country’s currency is driven by its macroeconomic fundamentals. Upon further investigation, this paper also uncovers the following financial phenomena in these foreign exchange responses to macroeconomic surprises: asymmetric response, nonlinearity, financial stress, liquidity, and exchange rate specificity. These phenomena refer to the difference in responses between: positive and negative surprises, big versus small surprises, pre-crisis versus crisis surprises, ten- versus sixty-minute returns, and two distinct reference currencies, respectively.