Determinação da taxa de câmbio: testes empíricos para o Brasil

Abstract

First we discuss and test by using the co-integration technique, two theories of exchange rate determination namely the Purchase Power Parity (PPP) and the Interest Rate Parity (IRP). Our test with monthly data in the period 1980188 suggests that while the results are not conclusive for the PPP, the theory of the IRP can not be rejected We also conclude that there is no stable long-run relationship between the official and the black market for the exchange rate. We finally show that the model proposed by Dornbusch - where the premium on the dollar in the black market is a function of the real exchange rate (official), and the depreciation of the nominal exchange rate (official), adjusted by the interest rate differences in Brazil and in the United States - was not statistically significant with our monthly data in the period 1980/88.