Is the brazilian real a commodity currency? Large sample empirical evidence
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Independent Journal of Management & Production |
Texto Completo: | http://www.ijmp.jor.br/index.php/ijmp/article/view/119 |
Resumo: | Brazil is one of the world’s largest base materials exporters, and this paper examines through large time series samples whether the Brazilian Real can be characterized as a commodity currency. The Real/US dollar real exchange rate and a real commodity prices index are found to be non-stationary and not cointegrated, while a risk premium appeared to have a large and statistically significant long term relationship with exchange rate movements. Combined first difference models showed that real exchange rate elasticity to risk premium is twice as large as to commodity prices, although both variables have considerable influence. Some specifications outperformed a random walk model with respect to root mean square forecast errors for many horizons, but the latter still better determined the exchange rate in longer terms. |
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Independent Journal of Management & Production |
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Is the brazilian real a commodity currency? Large sample empirical evidenceExchange ratesCommodity PricesCointegrationBrazil is one of the world’s largest base materials exporters, and this paper examines through large time series samples whether the Brazilian Real can be characterized as a commodity currency. The Real/US dollar real exchange rate and a real commodity prices index are found to be non-stationary and not cointegrated, while a risk premium appeared to have a large and statistically significant long term relationship with exchange rate movements. Combined first difference models showed that real exchange rate elasticity to risk premium is twice as large as to commodity prices, although both variables have considerable influence. Some specifications outperformed a random walk model with respect to root mean square forecast errors for many horizons, but the latter still better determined the exchange rate in longer terms.Independent2014-01-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdftext/htmlhttp://www.ijmp.jor.br/index.php/ijmp/article/view/11910.14807/ijmp.v5i1.119Independent Journal of Management & Production; Vol. 5 No. 1 (2014): Independent Journal of Management & Production; 001-0242236-269X2236-269Xreponame:Independent Journal of Management & Productioninstname:Instituto Federal de Educação, Ciência e Tecnologia de São Paulo (IFSP)instacron:IJM&Penghttp://www.ijmp.jor.br/index.php/ijmp/article/view/119/85http://www.ijmp.jor.br/index.php/ijmp/article/view/119/368Albert, Filipe Monteiro de CastroCoti-Zelati, Paolo EdoardoAraújo, Davi Lucas Arruda deinfo:eu-repo/semantics/openAccess2024-04-22T21:58:24Zoai:www.ijmp.jor.br:article/119Revistahttp://www.ijmp.jor.br/PUBhttp://www.ijmp.jor.br/index.php/ijmp/oaiijmp@ijmp.jor.br||paulo@paulorodrigues.pro.br||2236-269X2236-269Xopendoar:2024-04-22T21:58:24Independent Journal of Management & Production - Instituto Federal de Educação, Ciência e Tecnologia de São Paulo (IFSP)false |
dc.title.none.fl_str_mv |
Is the brazilian real a commodity currency? Large sample empirical evidence |
title |
Is the brazilian real a commodity currency? Large sample empirical evidence |
spellingShingle |
Is the brazilian real a commodity currency? Large sample empirical evidence Albert, Filipe Monteiro de Castro Exchange rates Commodity Prices Cointegration |
title_short |
Is the brazilian real a commodity currency? Large sample empirical evidence |
title_full |
Is the brazilian real a commodity currency? Large sample empirical evidence |
title_fullStr |
Is the brazilian real a commodity currency? Large sample empirical evidence |
title_full_unstemmed |
Is the brazilian real a commodity currency? Large sample empirical evidence |
title_sort |
Is the brazilian real a commodity currency? Large sample empirical evidence |
author |
Albert, Filipe Monteiro de Castro |
author_facet |
Albert, Filipe Monteiro de Castro Coti-Zelati, Paolo Edoardo Araújo, Davi Lucas Arruda de |
author_role |
author |
author2 |
Coti-Zelati, Paolo Edoardo Araújo, Davi Lucas Arruda de |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Albert, Filipe Monteiro de Castro Coti-Zelati, Paolo Edoardo Araújo, Davi Lucas Arruda de |
dc.subject.por.fl_str_mv |
Exchange rates Commodity Prices Cointegration |
topic |
Exchange rates Commodity Prices Cointegration |
description |
Brazil is one of the world’s largest base materials exporters, and this paper examines through large time series samples whether the Brazilian Real can be characterized as a commodity currency. The Real/US dollar real exchange rate and a real commodity prices index are found to be non-stationary and not cointegrated, while a risk premium appeared to have a large and statistically significant long term relationship with exchange rate movements. Combined first difference models showed that real exchange rate elasticity to risk premium is twice as large as to commodity prices, although both variables have considerable influence. Some specifications outperformed a random walk model with respect to root mean square forecast errors for many horizons, but the latter still better determined the exchange rate in longer terms. |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014-01-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://www.ijmp.jor.br/index.php/ijmp/article/view/119 10.14807/ijmp.v5i1.119 |
url |
http://www.ijmp.jor.br/index.php/ijmp/article/view/119 |
identifier_str_mv |
10.14807/ijmp.v5i1.119 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
http://www.ijmp.jor.br/index.php/ijmp/article/view/119/85 http://www.ijmp.jor.br/index.php/ijmp/article/view/119/368 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf text/html |
dc.publisher.none.fl_str_mv |
Independent |
publisher.none.fl_str_mv |
Independent |
dc.source.none.fl_str_mv |
Independent Journal of Management & Production; Vol. 5 No. 1 (2014): Independent Journal of Management & Production; 001-024 2236-269X 2236-269X reponame:Independent Journal of Management & Production instname:Instituto Federal de Educação, Ciência e Tecnologia de São Paulo (IFSP) instacron:IJM&P |
instname_str |
Instituto Federal de Educação, Ciência e Tecnologia de São Paulo (IFSP) |
instacron_str |
IJM&P |
institution |
IJM&P |
reponame_str |
Independent Journal of Management & Production |
collection |
Independent Journal of Management & Production |
repository.name.fl_str_mv |
Independent Journal of Management & Production - Instituto Federal de Educação, Ciência e Tecnologia de São Paulo (IFSP) |
repository.mail.fl_str_mv |
ijmp@ijmp.jor.br||paulo@paulorodrigues.pro.br|| |
_version_ |
1797073983179325440 |