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DESVALORIZAÇÕES CAMBIAIS E CAPTAÇÃO DE DIVISAS: O CASO BRASILEIRO DE SOJA EM GRÃO AgEcon
Cassuce, Francisco Carlos da Cunha; Santos, Maurinho Luiz dos.
This paper, supported on the theory of the Boarding of the Elasticities, had as objective to show the influence of the exchange rate depreciation in the value of the Brazilian exportations. For this purpose, Structural Vector Autoregressive Models (SVAR Models) where used to calculate the offer of foreign currency elasticities, determining if depreciations in the currency would increase or reduce the exported value of soybean. The results showed that cambial depreciations really raise the value of the Brazilian exportations. The impulse response functions show that the exportation price is the variable that exerted greater influence in the exported value, indicating, perhaps, that politics that degenerate the Brazilian soybean exportations can contribute...
Tipo: Journal Article Palavras-chave: Soy bean; Exported Value; SVAR.; Crop Production/Industries; International Relations/Trade.
Ano: 2005 URL: http://purl.umn.edu/43926
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Determinantes e previsão da taxa de câmbio nominal: uma aplicação do modelo de paridade da taxa de juros atrelado ao mercado monetário, 1999-2004 AgEcon
Cassuce, Francisco Carlos da Cunha; Mattos, Leonardo Bornacki de; Campos, Antonio Carvalho.
The present work looked for to show the influence of nominal variable in the determination of nominal exchange rate R$/USS. For this, the model of the parity of the tax of interests was used, ally to the monetary market. It was looked, also, to foresee the tax of exchange rate R$/USS, until December of 2005. For reaching such objectives, the equations of the system had been obtained by the Vector Error Correction Model (VECM). The results had shown that the nominal variable are very important to determinate the exchange rate and that the model of parity of the tax of interests, ally to the monetary market is confirmed for the Brazilian case in the period of analysis (jan/1999 to dez/2004). This conclusion is made on the basis of the high capacity of...
Tipo: Journal Article Palavras-chave: Exchange; Forecast; Brazil; International Relations/Trade.
Ano: 2005 URL: http://purl.umn.edu/55311
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Possibilidade de arbitragem no mercado de câmbio brasileiro AgEcon
Cassuce, Francisco Carlos da Cunha; Muller, Carlos Andre da Silva; Campos, Antonio Carvalho.
The objective of this work is to determine the presence of volatility in the spot and futures exchange rates, detecting, thus, the presence of risk. Identified the volatility, it is looked for shaping it through the construction of models capable to forecast the behavior of the spot and futures exchange rates. The GARCH and TARCH models had been used to shape the volatility of the exchange rates. Gotten the estimates, it is verified existence of convergence of these rates in the date of the expirations of future contracts, identifying, thus, the chance to get profits with arbitrage. The results had shown more that the spot and futures exchange rates are very volatile and the spot exchange market presents asymmetry, being affected for negative impacts. The...
Tipo: Journal Article Palavras-chave: Arbitrage; Spot exchange rate; Futures exchange rate; Volatility; International Relations/Trade.
Ano: 2006 URL: http://purl.umn.edu/55177
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