PARIDADE DO PODER DE COMPRA: O MODELO DE REVERSÃO NÃO LINEAR PARA O BRASIL

Cristiano Silveira Freixo and Fernando de Holanda Barbosa

Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32th Brazilian Economics Meeting] from ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]

Abstract: This article applies the smooth transition autoregressive nonlinear model (STAR) proposed by Granger and Terasvirta (1993) to the Brazilian real exchange rate (RER), aiming to test the validity of the purchasing power parity (PPP) to Brazil. Initially a review of Brazilian and international literature is presented, describing the evolution of the econometric techniques that have been applied in the tests of the PPP. After that, the STAR model is presented and used for the PPP test for Brazilian data between 1959 and 2004. The results indicate that CPI-based RER reveals nonlinear behavior, being stationary when distant from the equilibrium and with an explosive tendency when close to parity. The WPI-based RER has shown linear stationarity, rejecting the null hypothesis of unit root.

JEL-codes: F31 C51 (search for similar items in EconPapers)
Date: Written

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