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A principal explicação sugerida pela literatura para o viés do preço futuro em relação à taxa de câmbio que prevalecerá no futuro é a existência de um prêmio de risco. Neste artigo são aplicados o principal modelo teórico e diversas técnicas econométricas para identificação e mensuração do prêmio de risco aos dados brasileiros do mercado futuro de câmbio posteriores ao Plano Real, tendo sido identificado um prêmio de risco que varia ao longo do tempo e correlaciona-se com os fundamentos macroeconômicos da economia. A partir de 1999, coerentemente com a introdução da livre flutuação cambial, observou-se uma diminuição da importância do prêmio de risco relativamente aos erros de previsão na composição do forward discount. As técnicas empregadas permitem avaliar importantes questões de política econômica, como o quanto podem cair as taxas de juros reais. The most accepted explanation for the forward premium puzzle is the existence of a currency risk. This paper uses several statistical techniques to infer the importance and to directly estimate the currency risk, using data from the Brazilian futures market from 1995 to 1998. It was possible to identify a time-varying currency risk premium, which proved to be highly (0.5) correlated with measures of country (Brazil) risk. This result suggests that both risks (currency and country) may have a few common fundamental macroeconomic causal factors. Since country and currency risks represent a large share of the domestic interest rate, these findings also suggest that interest rates may fall very rapidly if those fundamental causes are confronted, because they will decrease both risks simultaneously. It wasn't possible to uncover the currency risk for the post devaluation period (beyond 1999), but it was possible show the decrease of the relative importance of the currency risk vis-à-vis the forecast errors, which was coherent with the increased volatility of the floating regime

O prêmio de risco da taxa de câmbio no Brasil durante o Plano Real