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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)

Author

Listed:
  • Sinézio Fernandes Maia

    (UFPB)

  • Hilton Martins de Brito Ramalho

    (UFPB)

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.

Suggested Citation

  • Sinézio Fernandes Maia & Hilton Martins de Brito Ramalho, 2006. "Efeitos Reais e Nominais sobre as Flutuações da Taxa Real de Câmbio Brasil/Estados Unidos: Um Estudo Empírico Usando VAR (1999-2003)," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 7(1), pages 59-100.
  • Handle: RePEc:anp:econom:v:7:y:2006:i:1:p:59-100
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    Keywords

    Taxa Real de Câmbio; Vetores Autoregressivos; Choques Estruturais;
    All these keywords.

    JEL classification:

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

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