Investment and exchange rate uncertainty under different regimes
Palavras-chave:
Regimes de câmbio, Incerteza, Investimento, Opções reaisResumo
Este artigo estuda o impacto da incerteza a respeito da taxa de câmbio no investimento
sob diferentes regimes de câmbio. O artigo apresenta um modelo teórico em que a taxa
de câmbio é um processo estocástico e o investimento se comporta como uma opção
real. O artigo avalia o desempenho de um novo projeto de investimento sob taxas de
câmbio flutuante, fixa e intermediária (flutuação administrada e bandas). A comparação
entre os diferentes regimes mostra que o regime de bandas cambiais possui vantagens
quando comparados aos outros regimes. A estabilidade do regime implica que menores
desvalorizações são necessárias para estimular o investimento, especialmente quando
há uma perda significativa de poder de mercado nos mercados externos.
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Copyright (c) 2014 Cristiano Aguiar de Oliveira
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