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Paridade Do Poder De Compra: O Modelo De Reversão Não Linear Para O Brasil

Author

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  • Cristiano Silveira Freixo
  • Fernando de Holanda Barbosa

Abstract

This article applies the smooth transition autoregressive nonlinear model (STAR) proposed by Granger and Terasvirta (1993) to the Brazilian real exchange rate (RER), aiming to test the validity of the purchasing power parity (PPP) to Brazil. Initially a review of Brazilian and international literature is presented, describing the evolution of the econometric techniques that have been applied in the tests of the PPP. After that, the STAR model is presented and used for the PPP test for Brazilian data between 1959 and 2004. The results indicate that CPI-based RER reveals nonlinear behavior, being stationary when distant from the equilibrium and with an explosive tendency when close to parity. The WPI-based RER has shown linear stationarity, rejecting the null hypothesis of unit root.

Suggested Citation

  • Cristiano Silveira Freixo & Fernando de Holanda Barbosa, 2004. "Paridade Do Poder De Compra: O Modelo De Reversão Não Linear Para O Brasil," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting] 065, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    • Handle: RePEc:anp:en2004:065
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    File URL: http://www.anpec.org.br/encontro2004/artigos/A04A065.pdf
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    Cited by:

    1. Simões, Oscar R. & Marçal, Emerson Fernandes, 2012. "Agregação temporal e não-linearidade afetam os testes da paridade do poder de compra: Evidência a partir de dados brasileiros," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(3), October.
    2. repec:fgv:epgrbe:v:66:n:3:a:6 is not listed on IDEAS

    More about this item

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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