Efeitos Reais e Nominais sobre as Flutuações da Taxa Real de Câmbio Brasil/Estados Unidos: Um Estudo Empírico Usando VAR (1999-2003)

Sinézio Fernandes Maia and Hilton Martins de Brito Ramalho
Additional contact information
Sinézio Fernandes Maia: UFPB
Hilton Martins de Brito Ramalho: UFPB

Economia, 2006, vol. 7, issue 1, pages 59-100

Abstract: This paper makes an empirical analysis about the importance of nominal shocks and real disturbances on the Brazilian/USA real exchange rate (TCR) during the period of January of 1999 to December of 2003. Based in the Mundell-Flemming-Obstfeld model and data base obtained from the IPEA , different estimations indicate the overshooting of the nominal exchange rate (TCN) and that the nominal shocks account for about 38% of the dynamics in the short run. Aggregate Demand shocks respond for large TRC fluctuations in the empirical models. When the structural shocks are decomposed in the extended model, productivity shocks account for significant percent of the TRC fluctuations.

Keywords: Taxa Real de Câmbio; Vetores Autoregressivos; Choques Estruturais (search for similar items in EconPapers)
JEL-codes: C32 F41 F42 (search for similar items in EconPapers)
Date: 2006

Downloads: (external link)
http://www.anpec.org.br/revista/vol7/vol7n1p59_100.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:anp:econom:v:7:y:2006:i:1:p:59-100

Ordering information: This journal article can be ordered from
Secretaria da ANPEC Rua Tiradentes, 17 - Ingá Niterói, RJ 24210-510 Brazil
http://www.anpec.org.br/revista/

Access Statistics for this article

Economia is edited by Joaquim Pinto de Andrade

More articles in Economia from ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]
Address: Secretaria da ANPEC Rua Tiradentes, 17 - Ingá Niterói, RJ 24210-510 Brazil
Contact information at EDIRC.
Series data maintained by Hugo E. A. da Gama Cerqueira (). This e-mail address is bad, please contact .