Banca de DEFESA: LEMUEL DE LEMOS ROMÃO

Uma banca de DEFESA de MESTRADO foi cadastrada pelo programa.
DISCENTE : LEMUEL DE LEMOS ROMÃO
DATA : 06/02/2018
HORA: 15:00
LOCAL: Sala B7 do setor de aulas V
TÍTULO:
PALAVRAS-CHAVES:

Exchange; Microstructure; Volatility; DCC-GARCH

PÁGINAS: 76
GRANDE ÁREA: Ciências Sociais Aplicadas
ÁREA: Economia
RESUMO:

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 rate. 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.

MEMBROS DA BANCA:
Externo ao Programa - 1543333 - ANDERSON LUIZ REZENDE MOL
Presidente - 1752338 - FABRICIO PITOMBO LEITE
Interno - 1919307 - IGOR EZIO MACIEL SILVA
Externo à Instituição - SINÉZIO FERNANDES MAIA - UFPB