Uncovered equity parity: an empirical analysis for the Brazilian financial market

Detalhes bibliográficos
Ano de defesa: 2018
Autor(a) principal: Zapp, Jan-Frederik
Orientador(a): Sampaio, Joelson Oliveira
Banca de defesa: Não Informado pela instituição
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: eng
Instituição de defesa: Não Informado pela instituição
Programa de Pós-Graduação: Não Informado pela instituição
Departamento: Não Informado pela instituição
País: Não Informado pela instituição
Palavras-chave em Português:
Dinâmica da taxa de câmbio
Fluxos de capital
Reequilíbrio de carteira
Perseguição de retorno
Palavras-chave em Inglês:
Exchange rate dynamics
Capital flows
Portfolio rebalancing
Return-chasing
Link de acesso: http://hdl.handle.net/10438/25722
Resumo: This paper analyzes if the uncovered equity parity conditions, established by Hau and Rey (2006), hold for Brazil or if divergent capital flow dynamics are observable. The paper applies a vector autoregressive model, capturing the interdependencies between local equity returns, capital flows, and currency returns. Contrary to Hau and Rey (2006), I find a positive relation between local equity returns and currency returns caused by the positive impact of local equity return shocks on foreign net capital flows. The results are in line with previous findings from emerging markets in Asia (Fuertes et al. (2017)).
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spelling Zapp, Jan-FrederikEscolas::EESPSilva, André de CastroRodrigues, Paulo Manuel MarquesSampaio, Joelson Oliveira2018-11-29T12:13:43Z2018-11-29T12:13:43Z2018-10-04http://hdl.handle.net/10438/25722This paper analyzes if the uncovered equity parity conditions, established by Hau and Rey (2006), hold for Brazil or if divergent capital flow dynamics are observable. The paper applies a vector autoregressive model, capturing the interdependencies between local equity returns, capital flows, and currency returns. Contrary to Hau and Rey (2006), I find a positive relation between local equity returns and currency returns caused by the positive impact of local equity return shocks on foreign net capital flows. The results are in line with previous findings from emerging markets in Asia (Fuertes et al. (2017)).Este artigo analisa se as condições de paridade de capital descoberto, estabelecidas por Hau e Rey (2006), são válidas para o Brasil ou se divergem dinâmicas de fluxo de capital observáveis. O artigo aplica um modelo autorregressivo vetorial, capturando as interdependências entre retornos de patrimônio local, fluxos de capital e retornos de moeda. Ao contrário de Hau e Rey (2006), acho que existe uma relação positiva entre os retornos da equidade local e os retornos cambiais causados pelo impacto positivo dos choques de retorno das ações locais sobre os fluxos líquidos estrangeiros de capital. Os resultados estão de acordo com as descobertas anteriores dos mercados emergentes da Ásia (Fuertes et al. (2017)engExchange rate dynamicsCapital flowsPortfolio rebalancingReturn-chasingDinâmica da taxa de câmbioFluxos de capitalReequilíbrio de carteiraPerseguição de retornoEconomiaCâmbioInvestimentos - AnáliseTaxa de jurosUncovered equity parity: an empirical analysis for the Brazilian financial marketinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVTEXTJAN-FREDERIK ZAPP.pdf.txtJAN-FREDERIK ZAPP.pdf.txtExtracted texttext/plain52460https://repositorio.fgv.br/bitstreams/915c2501-bf36-4b57-b757-7645e418690b/download2899b731bb68382af025851f5fa42fb7MD55ORIGINALJAN-FREDERIK ZAPP.pdfJAN-FREDERIK ZAPP.pdfPDFapplication/pdf406890https://repositorio.fgv.br/bitstreams/7f58b860-1862-4c36-8af3-3a4baeab4110/download2a8ac92ee95c3e78e311fe2c0bd685b7MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv Uncovered equity parity: an empirical analysis for the Brazilian financial market
title Uncovered equity parity: an empirical analysis for the Brazilian financial market
spellingShingle Uncovered equity parity: an empirical analysis for the Brazilian financial market
Zapp, Jan-Frederik
Exchange rate dynamics
Capital flows
Portfolio rebalancing
Return-chasing
Dinâmica da taxa de câmbio
Fluxos de capital
Reequilíbrio de carteira
Perseguição de retorno
Economia
Câmbio
Investimentos - Análise
Taxa de juros
title_short Uncovered equity parity: an empirical analysis for the Brazilian financial market
title_full Uncovered equity parity: an empirical analysis for the Brazilian financial market
title_fullStr Uncovered equity parity: an empirical analysis for the Brazilian financial market
title_full_unstemmed Uncovered equity parity: an empirical analysis for the Brazilian financial market
title_sort Uncovered equity parity: an empirical analysis for the Brazilian financial market
author Zapp, Jan-Frederik
author_facet Zapp, Jan-Frederik
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.member.none.fl_str_mv Silva, André de Castro
Rodrigues, Paulo Manuel Marques
dc.contributor.author.fl_str_mv Zapp, Jan-Frederik
dc.contributor.advisor1.fl_str_mv Sampaio, Joelson Oliveira
contributor_str_mv Sampaio, Joelson Oliveira
dc.subject.eng.fl_str_mv Exchange rate dynamics
Capital flows
Portfolio rebalancing
Return-chasing
topic Exchange rate dynamics
Capital flows
Portfolio rebalancing
Return-chasing
Dinâmica da taxa de câmbio
Fluxos de capital
Reequilíbrio de carteira
Perseguição de retorno
Economia
Câmbio
Investimentos - Análise
Taxa de juros
dc.subject.por.fl_str_mv Dinâmica da taxa de câmbio
Fluxos de capital
Reequilíbrio de carteira
Perseguição de retorno
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Câmbio
Investimentos - Análise
Taxa de juros
description This paper analyzes if the uncovered equity parity conditions, established by Hau and Rey (2006), hold for Brazil or if divergent capital flow dynamics are observable. The paper applies a vector autoregressive model, capturing the interdependencies between local equity returns, capital flows, and currency returns. Contrary to Hau and Rey (2006), I find a positive relation between local equity returns and currency returns caused by the positive impact of local equity return shocks on foreign net capital flows. The results are in line with previous findings from emerging markets in Asia (Fuertes et al. (2017)).
publishDate 2018
dc.date.accessioned.fl_str_mv 2018-11-29T12:13:43Z
dc.date.available.fl_str_mv 2018-11-29T12:13:43Z
dc.date.issued.fl_str_mv 2018-10-04
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/25722
url http://hdl.handle.net/10438/25722
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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instname_str Fundação Getulio Vargas (FGV)
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institution FGV
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collection Repositório Institucional do FGV (FGV Repositório Digital)
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