Análise das relações de longo prazo entre a posição internacional de investimentos, o efeito Balassa-Samuelson e a taxa de câmbio real: testes de cointegração

• Ano de defesa: 2013
• Autor(a) principal: Marinho, Pierre da Silva
• Orientador(a): Gala, Paulo
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Cointegration; Exchange rate misalignment; Desalinhamento cambial; Taxa de câmbio real
• Palavras-chave em Inglês: Real exchange rate
• Link de acesso: http://hdl.handle.net/10438/10602

The objective of this paper is to analyze the evidences of long-run relationship among three variables: real exchange rate ('RER'), international investment position ('NFA') and the Balassa-Samuelson effect ('PREL') in a group of 28 countries. This group is composed of countries in different stages of economic development. The methodology utilized to assess long-run relationship was cointegration. The tests performed were developed by Bierens (1997), nonparametric test, and by Saikkonen and Lütkepohl (2000a, b, c), test that firstly estimates a deterministic term. Evidences of cointegration were found in both tests for the majority of the countries. However, there were significant differences between the results of the two performed tests. These differences between the two results and also some special cases of countries that did not demonstrated evidences of cointegration require deeper studies on the long-run behavior of the three variables analyzed in this paper.