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Exchange Rate Behavior in the BRICS

Author

Listed:
  • Flavio Vilela Vieira
  • Cleomar Gomes da Silva

Abstract

This article aims to investigate the behavior of exchange rate in the BRICScountries, with an emphasis on exchange rate passthrough and exchange rate determinationempirical models. By applying the ARDL Bounds Testing Approach Methodology, fromJanuary 2005 to December 2019. Our main results show that: i) there is a long runcointegration among the variables analyzed for all estimated models; ii) there is a very slowspeed of adjustment towards the long run equilibrium; iii) there is evidence of exchangerate passthrough to inflation mainly in the long run, but not as strong as before; iv) thereis no evidence of exchange rate overshooting; v) international reserve accumulation can beconsidered a partial explanation for the evidence of no exchange rate overshooting. JEL Classification: C22; F14; F17.

Suggested Citation

  • Flavio Vilela Vieira & Cleomar Gomes da Silva, 2024. "Exchange Rate Behavior in the BRICS," Brazilian Journal of Political Economy, Center of Political Economy, vol. 44(1), pages 125-144.
    • Handle: RePEc:ekm:repojs:v:44:y:2024:i:1:p:125-144:id:2446
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    File URL: https://centrodeeconomiapolitica.org.br/repojs/index.php/journal/article/view/2446/2379
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    More about this item

    Keywords

    Exchange rate; inflation; overshooting; passthrough; ARDL; cointegration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F17 - International Economics - - Trade - - - Trade Forecasting and Simulation

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