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O Mistério da Taxa de Câmbio Real Chinesa: Algumas Razões Que Podem Explicar a Diversidade dos Resultados

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  • Emerson Fernandes Marçal

Abstract

Este trabalho visa avaliar os determinantes de longo prazo da taxa de câmbio chinesa, que apresentou nas últimas décadas uma forte depreciação frente a uma cesta de moedas e, em paralelo, a acumulação, pelo governo chinês, de crescentes reservas em moeda estrangeira, seja em termos absolutos ou em termos relativos. O modelo aqui estimado sugere que a inclusão do nível de reservas em um modelo econométrico tradicionalmente utilizado para construir medidas de taxa de câmbio de equilíbrio melhora substancialmente os resultados e que as reservas parecem ter tido importante influência no nível atual da taxa de câmbio real chinesa. O resultado do estudo coloca desafios sobre metodologias existentes para cálculo da taxa de câmbio real de equilíbrio (TCRE), pois exige que cenários para a trajetória de equilíbrio do nível de reservas, uma variável sujeita à intervenção governamental, sejam traçados para avaliar se e em que medida há desequilíbrio. O estudo também sugere que, além da posição internacional de investimento, a composição deste pode influenciar na trajetória de equilíbrio. Palavras-chave: desalinhamento cambial; taxa de câmbio real efetiva; cointegração. This paper aims to evaluate what are the main long run determinants of Chinese real exchange rate that have depreciated substantially compared to a basket of currencies. The Chinese government started a process of accumulating foreign reserve in growing speed measured in absolute or relative terms particularly after 2000. The results of this paper suggests that the econometric model traditionally used to estimate the equilibrium real exchange rate is substantially improved by the inclusion of the level of reserve in the model in the Chinese case. This variable seems to help explaining the dynamics of Chinese real exchange rate. The result of the paper creates additional challenges to estimate equilibrium real exchange rate and misalignments due to the fact that not just net foreign asset position is important to the long run exchange rate but also its composition might matter. Keywords: exchange rate misalignment; effective exchange rate; cointegration.

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Paper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1769.

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Length: 46 pages
Date of creation: Sep 2012
Date of revision:
Handle: RePEc:ipe:ipetds:1769

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