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

Oscar R. Simões and Emerson Marçal

Revista Brasileira de Economia - RBE, 2012, vol. 66, issue 3

Abstract: This paper aims to analyze the Brazilian real exchange rate series based on consumer price indexes of 21 trading partners from 1957 to 2010. The first objective is to test the Purchasing Power Parity hypothesis (PPP) using several unit root tests (ADF, PP, KPSS, Kapetanios et alii (2003) and Bierens (1997)). The second objective consists in investigating Taylor hypothesis that the half-life is overestimated when the data is time aggregated and its generating process is linear. Two main conclusions are drawn from the tests. There is clear evidence that the temporal aggregation distorts the half-life estimation as suggested by Taylor (2001). The result of traditional unit root tests suggests that unit root hypothesis cannot be rejected for most of the Brazilian trading partners, whereas the KPSS, (Kapetanios et alii, 2003) and Bierens (1997) tests applied to data without any temporal aggregation suggest the validity of PPP for most of the Brazilian trading partners.

Date: 2012
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Working Paper: Agregação temporal e não-linearidade afetam os testes da paridade do poder de compra: evidência a partir de dados brasileiros (2012)
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