O comportamento da taxa de câmbio no Brasil: uma aplicação do modelo BEER para o período de 1995-2008

• Ano de defesa: 2011
• Autor(a) principal: Silva, Guilherme Alves Gonçalves da
• Orientador(a): Alvim, Augusto Mussi
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Pontifícia Universidade Católica do Rio Grande do Sul; Porto Alegre
• Palavras-chave em Português: ECONOMIA; COMÉRCIO EXTERIOR; TAXA DE CÂMBIO - BRASIL
• Link de acesso: http://hdl.handle.net/10923/2627

This work tests the Behavioral Exchange Rate Model for the period ranging from 1995 to August 2008 with monthly data for the Brazilian economy, deflated by the IPCA in its various versions from the Brazilian Institute of Geography and Statistics (IBGE). The variables that were used in an attempt to explain the exchange rate seek to incoporate macroeconomic fundamentals of short, medium and long term factors. For the short term, the EMBI+Brazil variable was used. As for the medium term, the interest rate differential between Brazil and the United States of America was used. The ratio of relative prices of tradable goods over non-tradables, the country’s net foreign assets and the terms of trade were used to represent the long term. It is presented a historical analysis of foreign exchange and foreign trade regulations since the 1920’s throughout the 2010’s, based on the laws in force at the time as well as a review of the principles of the econometric BEER model. Tests conducted by other authors with the same model applied to Brazil are presented and compared to the results obtained in this work. Results show that fluctuations in the exchange rate of the Brazilian Real against the U. S. dollar respond better to the indicator of sovereign risk than the variables related to macroeconomic fundamentals of medium and long terms. These, in turn, present themselves as an inadequate reflection possibly due to the recent period in which the free market rules took effect in the country, not only because of the low significancy levels of these variables but also because of the inverted signals contrary to theory.