O modelo monetário de determinação da taxa de câmbio: testes para o Brasil

Abstract

In view of the important role played by the exchange rate in the international trade of a country such a topic has attracted much attention research in the economic literature. Two basic formulations for the exchange rate determination are the monetary model and the portfolio balance model. In this study we discuss only the monetary model which is applied here using cointegration technique to monthly data far Brazil covering the period january-1980 to june-1994, Since the monetary model uses both the Purchase Power Parity (PPP) and the Interest Rate Parity (IRP), these two conditions were also tested in addition to the teste of the monetary model itself The major conclusions of the study were: a) neither the PPP nor the IRP conditions could be rejected, and this is so by using in the test either the Wholesale Price Index or the Consumer Price Index; b) the various versions of the monetary model tested did not indicate any superiority of one particular version of the model over the others; c) the restrictions usually imposed on the coefficients of the cointegration vectors either in the PPP and IRP models or the monetary model were always rejected; and finally d) the present value version of the monetary model was clearly rejected as well as accepted Granger `s bi-directional causality test for the variables of the model.