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Levado pelos Fundamentos? Estimando o Desalinhamento Cambial Norte-Americano a partir de Técnicas de Cointegração

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  • Emerson Fernandes Marçal
  • Priscila Fernandes Ribeiro

Abstract

Este artigo tem como objetivo estimar a taxa de câmbio real de equilíbrio para a economia americana. O objetivo é determinar qual a taxa de câmbio real que implica estabilidade da posição passiva líquida externa entre residentes e não residentes, e logo evitaria o acúmulo de desequilíbrio que gerasse fortes alterações na taxa de câmbio num futuro próximo. Utiliza-se um modelo econométrico com cointegração. São usadas técnicas univariadas e multivariadas de séries de tempo. O modelo estimado sugere que a taxa de câmbio estava ligeiramente apreciada frente a uma cesta de moedas no final de 2010. A estimação do desalinhamento cambial é feita a partir da decomposição entre fatores transitórios e permanentes proposta por Gonzalo e Granger (1995). This paper aims to estimate the equilibrium real exchange rate for the United States economy. The equilibrium exchange rate is defined as the level of exchange that guarantees that the net foreign asset position is stable over time. An econometric model is estimated using multivariate and univariate cointegration techniques. The results of the estimated model suggest that American currency was slightly overvalued when compared to weighted basket of foreign currencies at the end of 2010. The misalignment was estimated using the Gonzalo e Granger (1995) methodology to decompose the series in transitory and permanent components.

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Bibliographic Info

Paper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1674.

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Length: 32 pages
Date of creation: Nov 2011
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Handle: RePEc:ipe:ipetds:1674

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  19. Chen, Xiaoshan & MacDonald, Ronald, 2010. "Revisiting the Dollar-Euro Permanent Equilibrium Exchange Rate: Evidence from Multivariate Unobserved Components Models," SIRE Discussion Papers 2010-41, Scottish Institute for Research in Economics (SIRE).
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