LONG‐RUN DETERMINANTS OF THE BRAZILIAN REAL: A CLOSER LOOK AT COMMODITIES

Emanuel Kohlscheen

International Journal of Finance & Economics, 2014, vol. 19, issue 4, 239-250

Abstract: ABSTRACT We use cointegration analysis to show that the long‐run behaviour of the Brazilian Real effective exchange rate between January 1999 and September 2012 can largely be explained by the price variation of a basket of five commodities—that accounted for 51% of Brazilian export revenues in 2011. We estimate that a 10% variation in the real price of these five commodities moves the fundamental long‐run real exchange rate by almost 5%. Changes in interest rate differentials do not explain short or long term movements in the exchange rate during this period. Furthermore, we find that deviations of the real effective exchange rate from the long run equilibrium level have an estimated half‐life of approximately 8 months. The growing exports of oil and fuel and of iron ores, as well as the important oil discoveries in the pre‐salt layer, suggest that commodity prices will continue to influence the value of the Real in the future. Copyright © 2014 John Wiley & Sons, Ltd.

Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://hdl.handle.net/

Related works:
Working Paper: Long-Run Determinants of the Brazilian Real: a closer look at commodities (2013)
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: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:19:y:2014:i:4:p:239-250

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().