An options-based analysis of emerging market exchange rate expectations: Brazil's Real Plan, 1994ヨ1999

Abstract

This paper uses currency option data to investigate market expectations on the Brazilian Real– U.S. dollar exchange rate from October 1994 through March 1999. We derive implied probability density functions (PDF) for expected future exchange rates and thus measures of the credibility of the ‘‘crawling peg’’ and target zone regimes governing the exchange… (More)

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