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Efeitos Reais E Nominais Sobre As Flutuações Da Taxa Real De Câmbio Brasil/Estados Unidos: Um Estudo Empírico Usando Var (1999-2003)

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Author Info
Sinézio Fernandes Maia
Hilton Martins de Brito Ramalho
Abstract

This paper makes an empirical analysis about the importance of nominal shocks and real disturbances on the Brazilian/USA real exchange rate (TCR) during the period of January of 1999 to December of 2003. Based in the Mundell-Flemming-Obstfeld model and data base obtained from the IPEA, different estimations indicate the overshooting of the nominal exchange rate (TCN) and that the nominal shocks account for about 38% of the dynamics in the short run. Aggregate Demand shocks respond for large TRC fluctuations in the empirical models. When the structural shocks are decomposed in the extended model, productivity shocks account for significant percent of the TRC fluctuations.

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Paper provided by ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] in its series Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32th Brazilian Economics Meeting] with number 102.

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Date of creation: 2004
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Handle: RePEc:anp:en2004:102

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C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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This page was last updated on 2009-10-21.

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