Modelo macroeconômico com setor externo: endogeneização do prêmio de risco e do câmbio

Abstract

This paper presents a small-scale macroeconomic model to the Brazilian economy added of an external block. We found evidences indicating that a random walk process is not the best way to describe the exchange rate behavior in Brazil, which is better captured by an Uncovered Interest Rate Parity (UIP) nonarbitrage derived model. This model is then estimated in monthly terms as from the switching of the exchange regime in 1999. As a risk premium measurement, the C-Bond spread is estimated as a function of the fiscal and external variables and domestic and external shocks. The new macroeconomic model, including the estimated equations for the nominal exchange rate, risk premium, trade balance and other external equations for key external sector variables, is then evaluated under three shocks: on risk premium, on nominal interest rate and on administered prices.