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Mauro Sayar Ferreirahttp://lattes.cnpq.br/1737002737522248Igor Viveiros Melo SouzaRoberto Accioly Perrellihttp://lattes.cnpq.br/7779202690032091Wagner Silva Arrais de Oliveira2022-07-25T20:23:45Z2022-07-25T20:23:45Z2021-08-31http://hdl.handle.net/1843/43613Este trabalho analisa a validade da teoria do poder de paridade de compra (PPC) usando dados anuais, de 1800 a 2018, para a taxa real de câmbio (TRC) entre a libra esterlina e o dólar estadunidense. A série filtrada, para levar em conta a tendência determinística conforme previsto pelo efeito Balassa-Samuelson, mostra-se estacionária, indicando validade da PPC. Ajuste cúbico significativo desta série indica comportamento em consonância com modelos de comércio internacional com custos de transação (“iceberg costs”) e análises econométricas que incorporam limiares e não linearidades, como os da família TAR. Análise via regressão quantílica revela assimetria no ajuste temporal da série filtrada. Por exemplo, a distribuição empírica condicionada em uma libra muito valorizada é bimodal. Outro exemplo é o fato de a probabilidade de o dólar desvalorizar, condicionado em um dólar muito apreciado, ser diferente da probabilidade de a libra desvalorizar condicionada em uma libra muito valorizada. Do ponto de vista de dinâmica de ajuste, a percepção de velocidade de convergência para a distribuição não condicional revela-se mais otimista (em relação à PPC) e mais rápida em relação à percepção baseada na meia-vida de ajuste focada na média condicional, padrão adotado na literatura.This paper analyzes the validity of the Purchasing Power Parity (PPP) theory using annual data, from 1800 to 2018, for the real exchange rate (RER) between the pound sterling and the US dollar. The filtered series, to take into account the deterministic trend as predicted by the Balassa-Samuelson effect, is stationary, indicating PPP validity. Significant cubic fit of this series indicates behavior in line with international trade models with transaction costs (“iceberg costs”) and econometric analyzes that incorporate thresholds and non-linearities, such as those of the TAR family. Analysis via quantile regression reveals asymmetry in the temporal adjustment of the filtered series. For example, the empirical distribution conditioned on a highly valued pound is bimodal. Another example is the fact that the probability of the dollar devaluing, conditioned on a highly appreciated dollar, is different from the probability of the pound devaluing conditioned on a highly appreciated pound. From the point of view of adjustment dynamics, the perception of convergence speed for the unconditional distribution turns out to be more optimistic (in relation to PPP) and faster in relation to the perception based on the half-life focused adjustment on the conditional mean, standard adopted in the literature.CNPq - Conselho Nacional de Desenvolvimento Científico e TecnológicoporUniversidade Federal de Minas GeraisPrograma de Pós-Graduação em EconomiaUFMGBrasilCâmbioDólar americano (Moeda)Libra esterlinaEconomiaTeoria do poder da paridade de compraTaxa real de câmbioDólar estadunidenseLibra esterlinaEfeito Balassa-SamuelsonRegressão quantílicaAssimetriaConvergênciaTaxa real de câmbio e poder de paridade de compra: uma perspectiva via regressão quantílica com dados seculares para a relação libra esterlina-dólar americanoinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFMGinstname:Universidade Federal de Minas Gerais (UFMG)instacron:UFMGORIGINALDissertação (Wagner Silva Arrais de Oliveira).pdfDissertação (Wagner Silva Arrais de Oliveira).pdfapplication/pdf1128253https://repositorio.ufmg.br/bitstream/1843/43613/1/Disserta%c3%a7%c3%a3o%20%28Wagner%20Silva%20Arrais%20de%20Oliveira%29.pdf3873372a0ca6d1f9597b5aed8e1e1a3dMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-82118https://repositorio.ufmg.br/bitstream/1843/43613/2/license.txtcda590c95a0b51b4d15f60c9642ca272MD521843/436132022-07-25 17:23:45.557oai:repositorio.ufmg.br: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ório InstitucionalPUBhttps://repositorio.ufmg.br/oaiopendoar:2022-07-25T20:23:45Repositório Institucional da UFMG - Universidade Federal de Minas Gerais (UFMG)false
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