Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/9616 |
Resumo: | Building Risk-Neutral Densities (RND) from options data can provide market-implied expectations about the future behavior of a financial variable. And market expectations on financial variables may influence macroeconomic policy decisions. It can be useful also for corporate and financial institutions decision making. This paper uses the Liu et all (2007) approach to estimate the option-implied Risk-neutral densities from the Brazilian Real/US Dollar exchange rate distribution. We then compare the RND with actual exchange rates, on a monthly basis, in order to estimate the relative risk-aversion of investors and also obtain a Real-world density for the exchange rate. We are the first to calculate relative risk-aversion and the option-implied Real World Density for an emerging market currency. Our empirical application uses a sample of Brazilian Real/US Dollar options traded at BM&F-Bovespa from 1999 to 2011. The RND is estimated using a Mixture of Two Log-Normals distribution and then the real-world density is obtained by means of the Liu et al. (2007) parametric risktransformations. The relative risk aversion is calculated for the full sample. Our estimated value of the relative risk aversion parameter is around 2.7, which is in line with other articles that have estimated this parameter for the Brazilian Economy, such as Araújo (2005) and Issler and Piqueira (2000). Our out-of-sample evaluation results showed that the RND has some ability to forecast the Brazilian Real exchange rate. Abe et all (2007) found also mixed results in the out-of-sample analysis of the RND forecast ability for exchange rate options. However, when we incorporate the risk aversion into RND in order to obtain a Real-world density, the out-of-sample performance improves substantially, with satisfactory results in both Kolmogorov and Berkowitz tests. Therefore, we would suggest not using the 'pure' RND, but rather taking into account risk aversion in order to forecast the Brazilian Real exchange rate. |
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Ornelas, José Renato HaasBarbachan, José Santiago FajardoFarias, Aquiles Rocha deEscolas::EBAPE2012-04-12T15:17:03Z2012-04-12T15:17:03Z2012-04-12http://hdl.handle.net/10438/9616Building Risk-Neutral Densities (RND) from options data can provide market-implied expectations about the future behavior of a financial variable. And market expectations on financial variables may influence macroeconomic policy decisions. It can be useful also for corporate and financial institutions decision making. This paper uses the Liu et all (2007) approach to estimate the option-implied Risk-neutral densities from the Brazilian Real/US Dollar exchange rate distribution. We then compare the RND with actual exchange rates, on a monthly basis, in order to estimate the relative risk-aversion of investors and also obtain a Real-world density for the exchange rate. We are the first to calculate relative risk-aversion and the option-implied Real World Density for an emerging market currency. Our empirical application uses a sample of Brazilian Real/US Dollar options traded at BM&F-Bovespa from 1999 to 2011. The RND is estimated using a Mixture of Two Log-Normals distribution and then the real-world density is obtained by means of the Liu et al. (2007) parametric risktransformations. The relative risk aversion is calculated for the full sample. Our estimated value of the relative risk aversion parameter is around 2.7, which is in line with other articles that have estimated this parameter for the Brazilian Economy, such as Araújo (2005) and Issler and Piqueira (2000). Our out-of-sample evaluation results showed that the RND has some ability to forecast the Brazilian Real exchange rate. Abe et all (2007) found also mixed results in the out-of-sample analysis of the RND forecast ability for exchange rate options. However, when we incorporate the risk aversion into RND in order to obtain a Real-world density, the out-of-sample performance improves substantially, with satisfactory results in both Kolmogorov and Berkowitz tests. Therefore, we would suggest not using the 'pure' RND, but rather taking into account risk aversion in order to forecast the Brazilian Real exchange rate.engEBAPE Working Papers;1Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency optionsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleAdministração de empresasCâmbioRisco financeiroreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALEstimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options.pdfEstimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options.pdfapplication/pdf300938https://repositorio.fgv.br/bitstreams/e83cc4ca-494f-42f2-a624-24e0633c30fa/download75d03d099726f656014f86af404157b9MD51LICENSElicense.txtlicense.txttext/plain; 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|
dc.title.eng.fl_str_mv |
Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options |
title |
Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options |
spellingShingle |
Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options Ornelas, José Renato Haas Administração de empresas Câmbio Risco financeiro |
title_short |
Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options |
title_full |
Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options |
title_fullStr |
Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options |
title_full_unstemmed |
Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options |
title_sort |
Estimating relative risk aversion, risk-neutral and real-world densities using brazilian real currency options |
author |
Ornelas, José Renato Haas |
author_facet |
Ornelas, José Renato Haas Barbachan, José Santiago Fajardo Farias, Aquiles Rocha de |
author_role |
author |
author2 |
Barbachan, José Santiago Fajardo Farias, Aquiles Rocha de |
author2_role |
author author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EBAPE |
dc.contributor.author.fl_str_mv |
Ornelas, José Renato Haas Barbachan, José Santiago Fajardo Farias, Aquiles Rocha de |
dc.subject.area.por.fl_str_mv |
Administração de empresas |
topic |
Administração de empresas Câmbio Risco financeiro |
dc.subject.bibliodata.por.fl_str_mv |
Câmbio Risco financeiro |
description |
Building Risk-Neutral Densities (RND) from options data can provide market-implied expectations about the future behavior of a financial variable. And market expectations on financial variables may influence macroeconomic policy decisions. It can be useful also for corporate and financial institutions decision making. This paper uses the Liu et all (2007) approach to estimate the option-implied Risk-neutral densities from the Brazilian Real/US Dollar exchange rate distribution. We then compare the RND with actual exchange rates, on a monthly basis, in order to estimate the relative risk-aversion of investors and also obtain a Real-world density for the exchange rate. We are the first to calculate relative risk-aversion and the option-implied Real World Density for an emerging market currency. Our empirical application uses a sample of Brazilian Real/US Dollar options traded at BM&F-Bovespa from 1999 to 2011. The RND is estimated using a Mixture of Two Log-Normals distribution and then the real-world density is obtained by means of the Liu et al. (2007) parametric risktransformations. The relative risk aversion is calculated for the full sample. Our estimated value of the relative risk aversion parameter is around 2.7, which is in line with other articles that have estimated this parameter for the Brazilian Economy, such as Araújo (2005) and Issler and Piqueira (2000). Our out-of-sample evaluation results showed that the RND has some ability to forecast the Brazilian Real exchange rate. Abe et all (2007) found also mixed results in the out-of-sample analysis of the RND forecast ability for exchange rate options. However, when we incorporate the risk aversion into RND in order to obtain a Real-world density, the out-of-sample performance improves substantially, with satisfactory results in both Kolmogorov and Berkowitz tests. Therefore, we would suggest not using the 'pure' RND, but rather taking into account risk aversion in order to forecast the Brazilian Real exchange rate. |
publishDate |
2012 |
dc.date.accessioned.fl_str_mv |
2012-04-12T15:17:03Z |
dc.date.available.fl_str_mv |
2012-04-12T15:17:03Z |
dc.date.issued.fl_str_mv |
2012-04-12 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/9616 |
url |
http://hdl.handle.net/10438/9616 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.eng.fl_str_mv |
EBAPE Working Papers;1 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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institution |
FGV |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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