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Análise da Taxa de Câmbio a Partir do Índice de Pressão Cambial: A Experiência Brasileira de 1994 a 1999

  • Fernando Antˆonio Ribeiro Soares

    (Ministério da Fazenda)

  • Maurício Barata de Paula Pinto

    (Universidade de Brasília)

  • Tito Belchior Silva Moreira

    (Universidade Católica de Brasília)

Este artigo analisa a evolução da taxa de câmbio brasileira a partir da adoção da âncora cambial no Plano Real. Para tanto, construiu-se um índice de pressão cambial com base na metodologia de Eichengreen et alii (1995, 1996) que detecta não só mudanças nas variações da taxa de câmbio, mas também ataques especulativos nos quais as autoridades monetárias foram bem sucedidas em defender o Real. Foram elaboradas diversas versões do índice com diferentes variáveis constitutivas, periodicidade e pesos de ponderação. Os vários resultados obtidos capturaram os ataques especulativos sofridos pela moeda brasileira de 1995 a 1999, em especial os ataques derivados das crises mexicana, asiática, russa e, finalmente, da própria crise cambial brasileira. Além disso, a decomposição do índice de pressão cambial possibilitou detectar o quão foram utilizadas as reservas internacionais e a política monetária, via taxa de juros, para defender o regime de câmbio administrado.

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File URL: http://www.anpec.org.br/revista/vol8/vol8n3p545_572.pdf
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Article provided by ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] in its journal Economia.

Volume (Year): 8 (2007)
Issue (Month): 3 ()
Pages: 545–572

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Handle: RePEc:anp:econom:v:8:y:2007:i:3:p:545-572
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  1. Morris Goldstein & Carmen M. Reinhart, 2000. "Assessing Financial Vulnerability: An Early Warning System for Emerging Markets," Peterson Institute Press: All Books, Peterson Institute for International Economics, number 100.
  2. Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1996. "Contagious Currency Crises," NBER Working Papers 5681, National Bureau of Economic Research, Inc.
  3. Ilan Goldfajn & Rodrigo O. ValdŽs, 1999. "The Aftermath Of Appreciations," The Quarterly Journal of Economics, MIT Press, vol. 114(1), pages 229-262, February.
  4. Reinhart, Carmen & Goldstein, Morris & Kaminsky, Graciela, 2000. "Assessing financial vulnerability, an early warning system for emerging markets: Introduction," MPRA Paper 13629, University Library of Munich, Germany.
  5. Graciela L. Kaminsky & Carmen M. Reinhart, 1996. "The twin crises: the causes of banking and balance-of-payments problems," International Finance Discussion Papers 544, Board of Governors of the Federal Reserve System (U.S.).
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