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Sobreapreciação Cambial no Brasil: Estimativa, Causas e Consequências (1994-2008)

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  • Eliane Cristina de Araujo
  • Marcos Vinicius Chiliatto Leite

Abstract

Neste artigo, analisa-se, empiricamente, o desalinhamento cambial no Brasil no período entre 1994 e o início de 2008, explorando suas causas e consequências. O método utilizado foi ajustar a taxa de câmbio pelos fundamentos econômicos. As estimações levaram a uma taxa de câmbio esperada de longo prazo e os desvios da taxa de câmbio corrente em relação a esta possibilitaram o cálculo do desalinhamento cambial no Brasil. Observa-se que a taxa de câmbio esteve sobreapreciada durante quase todo o período estudado e foi mais intensa após o primeiro trimestre de 2005. A pesquisa discute, ainda, as principais causas do desalinhamento cambial no Brasil, com foco no período mais recente. Quanto às causas, destacam-se os motivos ligados aos influxos via conta de capital e financeira, a elevada taxa de juros interna e o controle da inflação. O artigo discute, por fim, as consequências da sobreapreciação cambial para a economia brasileira, destacando os efeitos negativos sobre a indústria, o saldo em transações correntes e a estrutura da balança comercial. This article analyzes the exchange rate misalignment in Brazil in the period between 1994 and the early 2008, exploring its causes and consequences. The method used was to adjust the exchange rate according to the economic fundamentals. The estimations led to an expected long-term exchange rate, and the deviations of the current exchange rate in relation to the estimations allowed the calculation of the exchange rate misalignment in Brazil. This shows that the exchange rate was overvalued along almost the entire period of study, and that it was more intense after the first quarter of 2005. The article also discusses the main causes of the exchange rate misalignment in Brazil, focusing on the recent period. In this regard, the factors that stand out are related to the inflows via capital and financial account, to the high domestic interest rate and to the administration of inflation. Finally, the article discusses the consequences of the overvalued exchange rate by the Brazilian economy, highlighting the negative effects on the industry, on the balance of current account and on the trade balance structure.

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Paper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1404.

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Length: 33 pages
Date of creation: Apr 2009
Date of revision:
Handle: RePEc:ipe:ipetds:1404

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  1. Alexius, Annika, 2001. "Uncovered Interest Parity Revisited," Review of International Economics, Wiley Blackwell, vol. 9(3), pages 505-17, August.
  2. John Williamson, 1994. "Estimating Equilibrium Exchange Rates," Peterson Institute Press: All Books, Peterson Institute for International Economics, Peterson Institute for International Economics, number 17, July.
  3. Ghura, Dhaneshwar & Grennes, Thomas J., 1993. "The real exchange rate and macroeconomic performance in Sub-Saharan Africa," Journal of Development Economics, Elsevier, Elsevier, vol. 42(1), pages 155-174, October.
  4. Cottani, Joaquin A & Cavallo, Domingo F & Khan, M Shahbaz, 1990. "Real Exchange Rate Behavior and Economic Performance in LDCs," Economic Development and Cultural Change, University of Chicago Press, vol. 39(1), pages 61-76, October.
  5. Guillermo A. Calvo & Enrique G. Mendoza, 1999. "Regional Contagion and the Globalization of Securities Markets," NBER Working Papers 7153, National Bureau of Economic Research, Inc.
  6. Lothian, James R. & Wu, Liuren, 2011. "Uncovered interest-rate parity over the past two centuries," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(3), pages 448-473, April.
  7. Calvo, Guillermo A. & Reinhart, Carmen M. & Vegh, Carlos A., 1995. "Targeting the real exchange rate: theory and evidence," Journal of Development Economics, Elsevier, Elsevier, vol. 47(1), pages 97-133, June.
  8. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  9. Hinkle, Lawrence E. & Monteil, Peter J. (ed.), 1999. "Exchange Rate Misalignment: Concepts and Measurement for Developing Countries," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780195211269, October.
  10. Lucinda, Cláudio Ribeiro de & Gala, Paulo Sérgio de Oliveira Simões, 2007. "Desalinhamento cambial no Brasil após o Plano Real : uma análise empírica," Textos para discussão 167, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  11. Elbadawi, Ibrahim A & Soto, Raimundo, 1997. "Real Exchange Rates and Macroeconomic Adjustment in Sub-Saharan Africa and Other Developing Countries," Journal of African Economies, Centre for the Study of African Economies (CSAE), Centre for the Study of African Economies (CSAE), vol. 6(3), pages 74-120, Supplemen.
  12. Hong G. Min, 1998. "Determinants of emerging market bond spread : do economic fundamentals matter?," Policy Research Working Paper Series 1899, The World Bank.
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