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Dinâmica da taxa de câmbio no Brasil sob o regime de câmbio flutuante
| Content Provider | Semantic Scholar |
|---|---|
| Author | Simonassi, Andrei Gomes Silva, José Henrique Felix Arraes, Ronaldo A. |
| Copyright Year | 2012 |
| Abstract | This paper contributes to the literature on exchange rate dynamics by applying an endogenous threshold autoregressive model to Brazil. The model is estimated with monthly data for the growth rate of the R$-US$ exchange rate (PTAX) from January 2000 to September 2009. The estimates allow the following conclusions: i ) the growth rate of the Brazilian nominal exchange rate follows a non-linear process with partial unit root and is globally stationary; ii ) for changes in the growth rate of the exchange rate which are lower than 2.02%, the process is non-stationary; iii ) for changes greater than 2.02%, the process is stationary. These results may shed light on the pattern of interventions in the exchange market by monetary authorities in Brazil. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://repositorio.ipea.gov.br/bitstream/11058/5080/1/PPE_v42_n02_Dinamica.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
