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O relacionamento entre a taxa de câmbio R$/US$ e fundamentos

Author

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  • Rodrigo Medeiros
  • José Luiz Rossi Júnior

Abstract

O trabalho analisa o relacionamento entre a taxa de câmbio R$/US$ e fundamentos econômicos utilizando dados diários no período de abril de 2005 a abril de 2009. Os resultados encontrados utilizando testes convencionais de causalidade de Granger indicam que movimentos da taxa de câmbio trazem informação sobre a trajetória futura dos fundamentos principalmente sobre o diferencial de taxa de juros. Em contrapartida, não foi encontrada evidência que movimentos dos fundamentos antecipem movimentos da taxa de câmbio. Os resultados são robustos quanto a uma possível instabilidade nos parâmetros nos testes tradicionais de causalidade. Os resultados encontrados através da utilização de testes robustos com relação à instabilidade nos parâmetros confirmam os modelos onde a taxa de câmbio é vista como o valor presente dos fundamentos.

Suggested Citation

  • Rodrigo Medeiros & José Luiz Rossi Júnior, 2009. "O relacionamento entre a taxa de câmbio R$/US$ e fundamentos," Business and Economics Working Papers 083, Unidade de Negocios e Economia, Insper.
    • Handle: RePEc:aap:wpaper:083
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