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Agregação temporal e não-linearidade afetam os testes da paridade do poder de compra: evidência a partir de dados brasileiros

  • Simões, Oscar Rodrigues
  • Marçal, Emerson Fernandes

Este artigo analisa as séries de câmbio real brasileira calculada a partir de índices de preços ao consumidor para o Brasil e 21 parceiros comerciais no período de 1957 a 2010. O primeiro objetivo deste trabalho será o de avaliar a validade da Paridade do Poder de Compra (PPC) entre Brasil e seus parceiros comerciais através de diversos testes de raiz unitária (ADF, PP, KPSS, Kapetanios et al. (2003) e Bierens (1997)). O segundo objetivo consiste em investigar a hipótese de Taylor (2001) de que a meia-vida é superestimada quando os dados das séries são construídos a partir de um mecanismo de agregação temporal pela média e cujo processo gerador dos dados é linear. O trabalho apresenta elementos para confirmar o argumento de Taylor (2001) de que agregação temporal causa sérias distorções na estimação da meia-vida dos choques da PPC. Os resultados dos testes de raiz unitária lineares (PP e ADF) são desfavoráveis a PPC. Já o teste KPSS, de Kapetanios et al. (2003) e de Bierens (1997) aplicados a base sem agregação temporal sugerem um cenário bem mais favorável a PPC.

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Paper provided by Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) in its series Textos para discussão with number 310.

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Date of creation: 05 Jul 2012
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Handle: RePEc:fgv:eesptd:310
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  1. Taylor, Alan M. & Taylor, Mark P, 2004. "The Purchasing Power Parity Debate," CEPR Discussion Papers 4495, C.E.P.R. Discussion Papers.
  2. de Jong, Robert M. & Amsler, Christine & Schmidt, Peter, 2007. "A robust version of the KPSS test based on indicators," Journal of Econometrics, Elsevier, vol. 137(2), pages 311-333, April.
  3. Palaia, Daniel Rodolfo Antonelli & Brito, Márcio Holland de, 2010. "Paridade de poder de compra no Brasil: uma análise econométrica com quebra estrutural," Textos para discussão 228, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  4. Vogelsang, T.I. & Perron, P., 1991. "Nonstationary and Level Shifts With An Application To Purchasing Power Parity," Papers 359, Princeton, Department of Economics - Econometric Research Program.
  5. Denisard Alves & Regina Celia Cati & Vera Lucia Fava, 2001. "Purchasing power parity in Brazil: a test for fractional cointegration," Applied Economics, Taylor & Francis Journals, vol. 33(9), pages 1175-1185.
  6. Cristiano Silveira Freixo & Fernando de Holanda Barbosa, 2004. "Paridade Do Poder De Compra: O Modelo De Reversão Não Linear Para O Brasil," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32th Brazilian Economics Meeting] 065, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  7. Pereira, Pedro L. Valls & Holland, Márcio, 1999. "Taxa de Câmbio Real e Paridade de Poder de Compra no Brasil," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 53(3), July.
  8. Yamin Ahmad & William D. Craighead, 2011. "Temporal Aggregation and Purchasing Power Parity Persistence," Wesleyan Economics Working Papers 2011-001, Wesleyan University, Department of Economics.
  9. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De.
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  11. Allan w. Gregory & Bruce E. Hansen, 1992. "residual-Based Tests for Cointegration in Models with Regime Shifts," Working Papers 862, Queen's University, Department of Economics.
  12. Froot, Kenneth A. & Rogoff, Kenneth, 1995. "Perspectives on PPP and long-run real exchange rates," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 32, pages 1647-1688 Elsevier.
  13. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  14. Michael, Panos & Nobay, A Robert & Peel, David A, 1997. "Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation," Journal of Political Economy, University of Chicago Press, vol. 105(4), pages 862-79, August.
  15. Rudiger Dornbusch, 1985. "Purchasing Power Parity," NBER Working Papers 1591, National Bureau of Economic Research, Inc.
  16. Smith, A A, Jr, 1993. "Estimating Nonlinear Time-Series Models Using Simulated Vector Autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S63-84, Suppl. De.
  17. Terra, Cristina & Vahia, Ana Lucia, 2008. "A note Purchasing Power Parity and The Choice of Price Index," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 62(1), September.
  18. Marçal, Emerson Fernandes & Pereira, Pedro Luiz Valls & Filho, Otaviano Canuto dos Santos, 2003. "Paridade do Poder de Compra: Testando Dados Brasileiros," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 57(1), January.
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