Taxa de câmbio real e desempenho macroeconômicoinvestigação empírica para economia brasileira

Resumo

This work empirically investigates the relationship between real exchange rate and economic growth in Brazil in the period 1999 to 2019. For this purpose, the present study estimates a structural vector autoregression (SVAR) model composed of Brazilian GDP, inflation and real effective exchange rate, in addition to the interest differential. For the purpose of robustness analysis, additional models are estimated, which include the series of international commodity prices, monetary aggregate (M2) and current account. The impulse response functions indicate the following relationships: (i) positive shocks to the real exchange rate (depreciation) cause a reduction in output; (ii) there is no evidence of a significant effect on the exchange rate in response to changes in GDP; (iii) inflation is sensitive to the exchange rate, as depreciation leads to increases in the consumer price index (exchange rate pass‐through); (iv) positive commodity price shocks generate greater economic growth; (v) there is an increase in the current account in response to exchange rate depreciation, but such dynamics do not cause economic expansion; and (vi) despite the theoretical model suggesting a negative relationship between inflation and economic performance, the results do not prove such dynamics. The variance decomposition (FEVD) shows the importance of the real exchange rate, commodity prices and interest differential in GDP movements.

Ficha do documento

Tipo

Dissertação

Ano

2021

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Não informado

Identificador

oai:repositorio.fgv.br:10438/31250

Temas

EconomiaDesenvolvimento Econômico

Palavras-chave

Economic growthReal exchange rateStructural VARBrazilCrescimento econômicoTaxa de câmbio realVAR estruturalBrasilEconomiaDesenvolvimento econômico - BrasilTaxas de câmbioMacroeconomiaEconomia - Brasil