Co-integração e taxa de câmbio: testes sobre a PPP e os termos de troca no Brasil de 1855 a 1990

Abstract

The debate about the fundamental factors that determine the exchange rat is still unsettled in economic theory. The purchasing power parity (PPP) is a theory of the long-term determinants of the real exchange rate, other less structured views centering on real factors such as the terms of trade are also known. This paper applies unit root and cointegration tests on Brazilian data from 1855 to 1990 to test two hypothesis: if PPP explains the observed secular behavior of the real exchange rate in Brazil and if changes in the terms of trade influence the real exchange rate. Tests of unit root reject the hypothesis of absolute PPP, indicating the need to search for other factors such as changes in the terms of trade to explain changes in the real exchange over the long-run.