Estimando o desalinhamento cambial brasileiro a partir de modelos multivariados com cointegração

Resumo

This paper aims to estimate the equilibrium real exchange rate for the Brazilian economy. The equilibrium exchange rate is defined as the level of exchange that guarantees that the net foreign asset position is stable over time. An econometric model is estimated using cointegration techniques. The results of the estimated model suggest that Brazilian currency was overvalued when compared to weighted basket of foreign currencies at the end of 2010. The model also suggests that the Brazilian currency is overvalued due to a predominantly transitory gain in Brazilian terms of trade. If this is correct the Brazilian currency must depreciate in the long run in order to sustain the stability of the net foreign asset position. Gonzalo e Granger (1995) methodology was used to decompose the series in transitory and permanent components.

Ficha do documento

Tipo

Estudo

Ano

2011

Instituição

Instituto de Pesquisa Econômica Aplicada (Ipea)

Fonte

Repositório do Ipea

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.ipea.gov.br:11058/1200

Licença

Licença Comum

Abrangência

Brasil

Palavras-chave

Taxa de câmbio real de equilíbrioCâmbio de EquilíbrioPolítica econômica