[pt] O presente trabalho visa verificar a operação de carry trade. A lucratividade desta operação é observada quando a diferença de taxa de juros entre os dois países em análise é maior que a variação cambial do período. A verificação da operação, conforme literatura do tema, é realizada através do modelo de paridade descoberta de taxa de juros (PDTJ). A rejeição do modelo, vista através de regressão, possibilita a aceitação da lucratividade da operação. Este estudo, portanto, analisa esta operação entre o Brasil, país de alta taxa de juros e Estados Unidos, país de baixa taxa de juros. Ademais, o estudo visa analisar a operação em um momento de instabilidade econômica, período de 2005 a 2016, no qual consta a crise de 2008 que impactou fortemente as duas economias. / [en] The present work aims to check the carry trade operation. The profitability of this operation is observed when the interest rate difference between the two countries under analysis is greater than the exchange variation for the same period. The literature of carry trade is verified through the uncovered interest rate parity model (UIP). Rejection of the model, performed through regression, makes it possible to accept the profitability of the operation. This study, therefore, analyzes this operation between Brazil, a country with high interest rates and the United States, a country with low interest rates. In addition, the study aims to analyze the operation in a time of economic instability, from 2005 to2016, which includes the crisis of 2008 that strongly impacted the two economies.

Ett flertal teorier försöker förklara de starka fluktuationer växelkurser under rörlig regim uppvisar vid monetära policychocker. En av dessa teorier, Rüdiger Dornbusch:s överreaktionsmodell, menar att fluktuationer kan förklaras av skillnader i den tid varurespektive kapitalmarknaden behöver för att anpassa sig till det förändrade penningutbudet. Denna studie avser utreda modellens empiriska förklaringsförmåga genom att applicera den på fallet Schweiz 2015, där en stor och oväntad centralbanksåtgärd skapade kraftiga reaktioner på valutamarknaden. Genom ett t-test testas den potentiella överreaktionens signifikans. T-statistikan påvisar starkt stöd för att växelkursen rör sig i enlighet med Dornbusch:s modell. Diverse känslighetstester genomförs, om vilket samtliga vidimerar resultaten.

International Fisher Effect (IFE) is a theory in international finance which asserts that the spot exchange rate between countries should move in opposite direction with the interest rate differential between these countries. The aim of this thesis is to analyze whether differences in nominal interest rates between countries and the movement of spot exchange rates between their currencies tend to move together over the long run. The presence of IFE is tested among the G-5 countries and Turkey for the period from 1985:1 to 2007:12. The long run relationship is estimated with the Johansen co-integration method and supportive evidence is found for all country pairs. Individually modeled equations are further tested with the Dynamic SUR method. Those DSUR equations that include the Turkish currency provide supportive evidence for IFE that higher interest rates in favor of Turkey would cause depreciation of the Turkish Lira. The magnitude of the effect is found to be lower than expected which indicates that there might be other factors in economy, such as inflation rates, that affect the exchange rate movements.