Searching for long-range dependence in real effective exchange rate: towards parity? A fractional approach
DOI:
https://doi.org/10.1590/0101-416145485amfKeywords:
Purchasing power parity, Persistence, Fractional integration, Real exchange rateAbstract
Após a adoção generalizada do regime de câmbio flexível nos diversos países desde
1973, a volatilidade da taxa cambial aumentou, em contexto de maior abertura comercial
e integração financeira. Tornou-se mais difícil encontrar evidências favoráveis à hipótese da paridade do poder de compra. Este estudo analisa a possibilidade de
queda na persistência da taxa de câmbio real como consequência da abertura comercial
e integração financeira, com dados mensais de 20 países no período de 1975 a 2011.
A partir de uma análise exploratória dos dados no domínio da frequência, o coeficiente
fracionário d foi obtido utilizando-se um estimador semiparamétrico com redução
de viés em que um algoritmo dependente dos dados seleciona o número ótimo de
frequências que minimiza o erro quadrático médio, diferente do estimador tradicional
GPH. O estudo também utiliza uma janela móvel de 15 anos para identificar a evolução
do coeficiente fracionário ao longo dos anos. Não há evidência de queda na persistência
da taxa de câmbio real, nem indicações que corroborem a hipótese da paridade do
poder de compra.
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