Add to ORKGThe paper tests whether ex ante deviations from Uncovered Interest Rate Parity correspond to default risk premium. Using an automated model selection criteria and data for Brazil (from november 2001 until december 2007), we found that deviations are correUncovered interest rate parity, risk, model evaluation and testing
This paper uses 1992:1-2004:2 quarterly data and two different methods (approximation under lognorma...
Este trabalho propõe um modelo para estimativa do custo de capital próprio ex-ante baseado no índice...
This paper proposes an equilibrium relationship between expected exchange rate changes and different...
Recent works for mature markets on covered interest parity suggest that deviations are mean revertin...
Our paper investigates whether there is evidence of an Equity Premium Puzzle (EPP) in Brazil, applyi...
This study investigates the existence and causes of real interest rate differential(s) \rid(s) herea...
This paper shows that the deviations from the UIP condition are equally large in advanced and emergi...
This paper analyzes ex-ante returns to forward speculation and asks if these returns can be explaine...
We formulated a general unrestricted model of the Brazilian Emerging Markets Bond Index Plus (EMBI+)...
This paper evaluates the deviation from covered interest rate parity (CIP) after the great financial...
This paper shows that the deviations from the UIP condition are equally large in advanced and emergi...
There is a well-established literature that documents the failure of the uncovered interest parity (...
Uncovered interest parity puzzle is one of the most prominent puzzles in international finance that ...
One of the most challenging elements of the inflation-targeting framework is the exchange rate forec...
Este trabalho faz uma reconstituição histórica da política monetária praticada no Brasil desde a imp...
This paper uses 1992:1-2004:2 quarterly data and two different methods (approximation under lognorma...
Este trabalho propõe um modelo para estimativa do custo de capital próprio ex-ante baseado no índice...
This paper proposes an equilibrium relationship between expected exchange rate changes and different...
Recent works for mature markets on covered interest parity suggest that deviations are mean revertin...
Our paper investigates whether there is evidence of an Equity Premium Puzzle (EPP) in Brazil, applyi...
This study investigates the existence and causes of real interest rate differential(s) \rid(s) herea...
This paper shows that the deviations from the UIP condition are equally large in advanced and emergi...
This paper analyzes ex-ante returns to forward speculation and asks if these returns can be explaine...
We formulated a general unrestricted model of the Brazilian Emerging Markets Bond Index Plus (EMBI+)...
This paper evaluates the deviation from covered interest rate parity (CIP) after the great financial...
This paper shows that the deviations from the UIP condition are equally large in advanced and emergi...
There is a well-established literature that documents the failure of the uncovered interest parity (...
Uncovered interest parity puzzle is one of the most prominent puzzles in international finance that ...
One of the most challenging elements of the inflation-targeting framework is the exchange rate forec...
Este trabalho faz uma reconstituição histórica da política monetária praticada no Brasil desde a imp...
This paper uses 1992:1-2004:2 quarterly data and two different methods (approximation under lognorma...
Este trabalho propõe um modelo para estimativa do custo de capital próprio ex-ante baseado no índice...
This paper proposes an equilibrium relationship between expected exchange rate changes and different...