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Testando a Cointegração Entre os Fundamentos e a Taxa Real de Câmbio: Evidências para Países Selecionados

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  • Priscila Fernandes Ribeiro
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    Abstract

    Este trabalho tem por objetivo testar a existência de cointegração entre variáveis que normalmente são utilizadas para estimar a existência de desalinhamento cambial para uma amostra de países desenvolvidos e em desenvolvimento, muito dos quais são membros do grupo G20. A metodologia utilizada consiste em análise de cointegração utilizando o procedimento apresentado por Chen e MacDonald (2010), sem a necessidade de se estimar um modelo estrutural. Comparam-se os resultados com os resultados apresentados em Marçal (2012). This study aims to test the existence of cointegration between variables that are typically used to estimate the existence of exchange rate misalignment for a sample of developed and developing countries, many of whom are members of the G20. The methodology consists in cointegration analysis using the procedure of Chen and MacDonald (2010),without the need to estimate a structural model. Compare the results with the results presented in Marçal (2012).

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    Bibliographic Info

    Paper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1857.

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    Length: 38 pages
    Date of creation: Aug 2013
    Date of revision:
    Handle: RePEc:ipe:ipetds:1857

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