Current account and real effective exchange rate dynamicsthe role of non-linear dynamics in Brazil
Marçal, Emerson Fernandes; Simões, Oscar Rodrigues
O documento é disponibilizado pela fonte de origem, que mantém a versão integral e as condições de uso.
Resumo
Current account imbalances significantly impact economic policy, with sharp exchange rate movements often causing disruptions. Hamilton’s [1989] Markov Switching Model introduced a framework for analyzing such dynamics. Few papers have used non-linear multivariate models to study current accounts and real effective exchange rates. This paper documents the existence of non-linearity by estimating a Markov Switching VECM and showing its superiority against a linear benchmark for the Brazilian economy in the period of inflation target and dirty floating regime. The monthly frequency and the sample cover the period from 1999-2 to 2024-3. Two regimes were identified. One regime is related to crisis events and the other to tranquil periods. Both real exchange rate and current account dynamics differ across regimes highlighting the necessity of modelling nonlinearity.
Ficha do documento
- Tipo
- Estudo
- Ano
- 2024
- Instituição
- Escola de Economia de São Paulo
- Fonte
- Repositório da FGV
- Idioma
- Inglês
- Acesso
- Acesso aberto
- Identificador
- oai:repositorio.fgv.br:10438/35916
- Temas
- Economia
Conteúdos relacionados
- EstudoAddressing important econometric issues on how to construct theoretical based exchange rate misalignment estimatesEscola de Economia de São Paulo · 2015
- OutroHow to disentangle exchange rate misalignment using a Global approach and economic identifying restrictionsFundação Getulio Vargas · 2016
- DissertaçãoPass-through cambial em alimentos no atacado e varejo no BrasilFundação Getulio Vargas · 2026
- EstudoThe determination of the exchange rateEscola de Economia de São Paulo · 2022
