A determinação da taxa de câmbio flutuante: um ensaio econométrico aplicado ao Brasil para a trajetória do câmbio de 1999 até 2007

• Autor(a) principal: Martins, Aurelio Gonçalves
• Data de Publicação: 2009
• Outros Autores: [e-mail]
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações da UERJ
• Texto Completo: http://www.bdtd.uerj.br/handle/1/20455
• topic: Purchasing Power Parities; Law of One Price; Monetary approach; Current-Account Model / Portfolio; Taxa de câmbio.; Paridade do Poder de Compra; Lei do Preço Único; Abordagem Monetária; Modelo Conta-Corrente/Portfólio; CIENCIAS SOCIAIS APLICADAS::ECONOMIA

This dissertation discusses the trajectory of the nominal exchange rate during the period between January 1999 and December 2007. The economic literature highlights a number of theories - approaches that seek to explain the behavior of the variable. We tested this thesis two main theories: the Theory of Purchasing Power Parity (PPP) and Monetary Approach. Among others applying econometric techniques, we used the Johansen cointegration methodology and the Vector Error Correction Model (VECM). The PPC, which determines the trajectory of the variable exchange rate based on the relative index of prices between countries, although accepted as a theory of long run, we not reject the temporary diversion (errors) in that period. Furthermore, we found strong evidence that the variables are cointegrated at the same order, producing stationary errors, so the linear combination between them is able to explain the long run between them. The result involved "tradebles" index confirming the Law of One Price (LOP) as a strong assumption of the theory. The results of the Monetary Approach were not expected as according to the theory. The theory determines that the exchange rate movement depends of the M1 and the interest rate differential. However, we found weak evidence in adjusts, both long run as the short run. Because of idiosyncrasies of the Brazilian foreign exchange market and the expansion in the recent period of both capital flows, trade and financial, of the Brazilian economy, this paper proposed a hybrid model. Based on currentaccount approach / portfolio, including a country-risk variable, and maintain the support of the PPP rates and changed M1 by the net movement at current account in exchange money, we evaluate these variables as those that impact the exchange rate through the perception of economic agents by macroeconomic fundamentals. We conclude that the explanatory variables to drive the long run are the difference in income and LOP, while the interest rate differential and net current account can explain the short run adjustment. The highlight was negative with variable-risk country. The results from this dissertation reinforce the argument that the exchange rate follows a parity between currencies, the LOP between "tradebles" can not be reject and that the deviations from the equilibrium exchange rate are temporary and influenced by the size of the sample. The economical fundaments are important and impact the time path of the exchange rate with different time