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首页> 外文学位 >Futures contracts, stabilization, and financial liberalization in Brazil: Three essays.
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Futures contracts, stabilization, and financial liberalization in Brazil: Three essays.

机译：巴西的期货合约，稳定化和金融自由化：三篇论文。

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摘要

Unhedged foreign investments face exchange rate risk. This risk can be mitigated with the use of efficiently priced futures contracts. If nothing else, the existence of futures trading on the exchange rate provides the market with better expectations about exchange rate risk. All else equal, this should allow investors to make better-informed decisions. Efficient pricing of exchange rate risk increases the attractiveness of the futures contract to hedgers and therefore is of importance to foreign investors. To measure the efficiency and behavior of the US Commercial Dollar Futures Contract the first section employees technical trading rule analysis and auto-regressive conditional heteroskedasticity models.;Although investments face interest rate risk, a study of this contract provides us with a vehicle for determining the existence of another source of risk: insider trading by those with macroeconomic inside information. All else equal, investors would prefer to have their capital in the most informationally transparent market. Inside traders make their profits at the expense of uninformed investors. If the futures market signals insider trading activity, foreign investors could theoretically react and adjust their investments accordingly. The second section specifies the implication of insider trading in "economy-wide" risk on investment patterns and tests for the actual existence of insider trading by means of Granger causality.;A discussion of the role of financial liberalization on income distribution follows. Because of the distortions created by governmental interfering, the liberalizing of the financial sector comes to be viewed as a "quick fix" to the distortions created by the government-controlled system. The final section examines the conditions 6nder which the distortions may actually be exacerbated in the short-run and the policy implications that can be drawn from this.
机译：未对冲的外国投资面临汇率风险。使用有效定价的期货合约可以减轻这种风险。如果没有其他问题，则以汇率进行期货交易的存在使市场对汇率风险有了更好的期望。在所有其他条件相同的情况下，这应使投资者能够做出更明智的决定。汇率风险的有效定价提高了期货合约对套期保值者的吸引力，因此对外国投资者至关重要。为了衡量美国商业美元期货合约的效率和行为，第一部分员工进行了技术交易规则分析和自回归条件异方差模型。尽管投资面临利率风险，但对该合约的研究为我们提供了一种确定交易量的工具。另一个风险来源的存在：具有宏观经济内幕消息的人的内幕交易。在其他条件相同的情况下，投资者更希望将其资本投入信息最透明的市场。内部交易者以不知情的投资者为代价来赚钱。如果期货市场预示内部交易活动，则外国投资者理论上可以做出反应并相应调整其投资。第二部分详细说明内幕交易对投资模式的“全经济范围”风险的影响，并通过格兰杰因果关系检验内幕交易的实际存在。下面讨论金融自由化对收入分配的作用。由于政府干预造成的扭曲，金融部门的自由化被视为对政府控制系统造成的扭曲的“快速解决方案”。最后一部分研究了短期内实际上可能加剧扭曲的条件6以及可以从中得出的政策含义。

著录项

  • 作者

    Moran, Allen Bernard.;

  • 作者单位

    University of Illinois at Urbana-Champaign.;

  • 授予单位 University of Illinois at Urbana-Champaign.;
  • 学科 Economics General.;Economics Finance.
  • 学位 Ph.D.
  • 年度 1999
  • 页码 81 p.
  • 总页数 81
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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