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Previous issue date: 2018-02-06 / Os modelos de microestrutura ganharam bastante espa?o na literatura econ?mica e surgem
como um contraponto ?queles baseados puramente em fundamentos macroecon?micos.
Dessa forma, o esfor?o passou a ser em microfundamentar o mercado de c?mbio, partindo
de hip?teses comportamentais dos agentes envolvidos neste mercado. Uma nova vari?vel
chave ? acrescentada nos modelos: o fluxo de ordens. Com a constata??o da relev?ncia do
fluxo de ordens nas taxas de c?mbio, como tamb?m j? estimado por diversos autores as
magnitudes de seus impactos, este trabalho passa a utilizar uma nova abordagem, olhando
agora para os impactos na volatilidade. A partir dos modelos de microestrutura, estimou-se
como a volatilidade nas vari?veis de risco e de fluxos s?o transmitidas ao c?mbio. Com as
correla??es din?micas advindas dos modelos DCC-GARCH, confirma-se a import?ncia das
vari?veis de risco na forma??o dos pre?os, sendo uma importante fonte de volatilidade para
o c?mbio. Em rela??o aos fluxos de ordens, constata-se a import?ncia dos estrangeiros
na variabilidade das taxas de c?mbio, com o setor financeiro geralmente atuando como
contraparte das opera??es cambiais. / The models of microstructure have gained a lot of space in the economic literature and
appear as a counterpoint to those based purely on macroeconomic fundamentals. In
this way, the effort began to be in microfundament the exchange market, starting from
behavioral hypotheses of the agents involved in this market. A new key variable is added
in the models: the order flow. With the confirmation of the importance of the flow of
orders in exchange rates, as already estimated by several authors the magnitudes of their
impacts, this work uses a new approach, now looking at the impacts on volatility. From
the microstructure models, it was estimated how the volatility in the risk variables and
flows are transmitted to the exchange. With the dynamic correlations coming from the
DCC-GARCH models, the importance of the risk variables in price formation is confirmed,
being an important source of exchange volatility. Regarding order flows, the importance of
foreigners in the exchange rate variability is verified, with the financial sector generally
acting as counterpart of foreign exchange operations.
| Identifer | oai:union.ndltd.org:IBICT/oai:repositorio.ufrn.br:123456789/24870 |
| Date | 06 February 2018 |
| Creators | Rom?o, Lemuel de Lemos |
| Contributors | 79339328515, Silva, Igor Ezio Maciel, 01804704504, Maia, Sin?zio Fernandes, 48689947949, Mol, Anderson Luiz Rezende, Leite, Fabricio Pitombo |
| Publisher | PROGRAMA DE P?S-GRADUA??O EM ECONOMIA, UFRN, Brasil |
| Source Sets | IBICT Brazilian ETDs |
| Language | Portuguese |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Source | reponame:Repositório Institucional da UFRN, instname:Universidade Federal do Rio Grande do Norte, instacron:UFRN |
| Rights | info:eu-repo/semantics/openAccess |
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