Ensaios sobre a taxa de câmbiocarry-trade, empregos e repasse cambial

Resumo

Essay 1: It is important for the study of economic development to understand exchange rate volatility, as well as the factors that influence it. In this research, we sought to understand the relationship between the profitability of the speculative operation named carry-trade (through a proxy) and the volatility of the nominal exchange rate for a group of 23 countries, between 2001 and 2019. The results were obtained through linear regression with panel data and fixed effects, with Driscoll-Kraay standard errors. The non-causality-Granger test for heterogeneous panels was also performed to observe the direction of the causal relationship between the variables. The research uncovered empirical evidence that the variation in the volatility of the nominal exchange rate is positively impacted by the variation in the profitability of the carry-trade operation and that the causal direction of this relationship occurs from the profitability of the carry-trade to the exchange rate volatility. The study also found that other variables have positive and relevant impacts on exchange rate volatility with coefficients higher than the impact of carry-trade profitability, with the greatest impact exerted by the accumulation of exchange reserves, followed by the S&P 500 volatility indicator (VIX). Essay 2: Currency appreciation when inhibits the economy from having access to international markets while opening its local market to other external economies, sometimes prevents local producers from competing. This same process can move economies away from their integration with Global Value Chains (GVCs). This research seeks to contribute by verifying the influence of exchange rate overvaluation on the total employment level of the economies, aggregated and disaggregated by sectors and their technological intensities, and on the employment of these sectors that are directly engaged in meeting final external demand. Using the Generalized Method of Moments system, the research sought to find evidence of this effect of exchange rate overvaluation on jobs. Annual data were used, between 1995 and 2018, at the sectoral level (45 sectors) from 51 countries. About the results found, in the grouping considering all sectors, the evidence found in this research shows that the more the exchange rate overvaluation increases, the negative impact it has on employment in the economy in the short term and with a lower degree also in the medium term. When employment embodied in final external demand is considered, the impacts are also negative and more intense, both in the short and medium term, with a high degree of confidence. Essay 3: This research seeks to contribute to the list of studies on exchange rate pass-through in Brazil by estimating the degree of pass-through over time, between 2000 and 2020, for Brazilian wholesale prices, measured by the Wholesale Price Index, in a disaggregated manner. Differently from much of the economic literature, we sought to estimate the parameters of the exchange rate pass-through continuously and systematically, obtaining temporal series for its behavior. The method chosen to estimate these coefficients continuously was Ordinary Least Squares (OLS) with rolling regressions. As it was found, the exchange rate pass-through parameters showed variation over time and the non-stable behavior of the estimated coefficients in the set of wholesale price indicators in the analyzed period. Among the results found, it was found that it is possible to periodize the behavior of the degree of exchange rate pass-through to wholesale price indicators in two moments. The first, pre-2011, is marked by the reduction in the degree of pass-through, and the second, post-2011, is marked by the increase in this exchange rate pass-through. The regime change between exchange rate appreciation and depreciation may be one of the sources of this nonlinear pass-through behavior.

Ficha do documento

Tipo

Tese

Ano

2022

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/33133

Temas

EconomiaDesenvolvimento EconômicoDados

Palavras-chave

Volatilidade cambialDesenvolvimento econômicoSobreapreciação cambialEmpregoRepasse cambialInflaçãoCarry-tradeExchange rate volatilityEconomic developmentExchange rate overvaluationEmploymentExchange rate pass-throughInflationRolling regressionsAdministração de empresasTaxas de câmbioEmprego (Teoria econômica)Desenvolvimento econômico - BrasilInvestimentos - Análise