Estimando o desalinhamento cambial brasileiro: Uma análise de robustez a partir do modelo global com mecanismo de correção de erros
DOI:
https://doi.org/10.1590/0101-416145355efmPalavras-chave:
GVAR, cointegraçãoResumo
O presente trabalho tem por objetivo comparar duas metodologias para cálculo de desalinhamento cambial. A primeira metodologia consiste na estimação do desalinhamento cambial a partir de técnicas multivariadas de séries de tempo nas quais apenas variáveis associadas ao país em análise são utilizadas na modelagem. A segunda metodologia consiste na utilização de fatores globais, como sugerido pelo Modelo Vetorial Autorregressivo com Correção de Erros Global (VAR-MCEG). O caso brasileiro é analisado a partir das duas metodologias. Os resultados sugerem que as estimativas podem diferir em magnitude para diferentes períodos. Ambas as metodologias sugerem que o canal pelo qual termos de troca afetam a taxa de câmbio real brasileiro é indireto. Melhorias de termos de troca levam a uma melhora da posição internacional de investimento e, logo, geram uma valorização da moeda brasileira. Os resultados da metodologia GVECM sugerem que a taxa de câmbio real brasileira é afetada no longo prazo pelo nível de taxa de câmbio real dos seus parceiros comerciais.
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Atualizado em 12/06/2024