O modelo monetário de determinação da taxa de câmbio e a economia brasileira no período de flexibilidade cambial: análise de vetores auto-regressivos e causalidade

• Ano de defesa: 2004
• Autor(a) principal: Leite, Rodrigo José
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Uberlândia; Brasil; Programa de Pós-graduação em Economia
• Palavras-chave em Português: Modelo monetário; Taxa de câmbio; CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA; Taxas de câmbio
• Link de acesso: https://repositorio.ufu.br/handle/123456789/30427; http://doi.org/10.14393/ufu.di.2004.87

The main goal ofthis dissertation is to empirically test the monetary model ofexchange rate determination for Brazil since January of 1999. One can say that shocks in the monetary market has an impact on the exchange rate as it is highlighted by the monetary model and the purchasing power parity. The empiricalframework is based on a vector autoregressive (VAR) analysis and the Granger causality test. The empirical findings suggest that shocks to monetary aggregates do not have permanent effects on inflation and the changes in the exchange rate, which does not support the monetary model of exchange rate. Another result points out to a reduction in the nominal interest rate after an unexpected shock in money supply since the exchange rate has a positive response to a decrease in real interest rate, expressed through an overshooting of the exchange rate. The variance decomposition analysis indicates that monetary fundamentais have a realtively low power to explain changes in the exchange rate, suggesting possible omitted variables in the model for Brazil during thefloating period. Finally, the Granger causality between difference in monetary growth rates and changes in the exchange rate does not seem to be guided by inflation differential, suggesting some degree of inadequacy of the monetary model to explain the behavior of the exchange rate in Brazil under flexible rates.