Prêmio pelo risco cambial: uma análise comparativa com moedas da América Latina
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Data
2009-02-03
Autores
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Tenani, Paulo S.
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Resumo
This paper investigates the foreign exchange risk premium in Latin America currencies in the period from January 2002 to July 2008. A comparative study was made between the currencies of ten developed countries and six Latin American countries utilizing Fama’s (1984) methodology. In both cases the future exchange rate is a biased predictor of the spot rate in the future, even though the bias in Latin American currencies is less severe and in the “expected” direction. This paper also suggests a new point of view for the Cousin Risks, the correlation between country and foreign currency risk, through the CAPM. This implies that in order to reduce these risks, Latin American countries must seek for policies that decrease their covariance to the global portfolio rather than relying exclusively on economic indicators.