TAXA DE CÂMBIO E AJUSTE EXTERNO: UMA INVESTIGAÇÃO COM MODELOS ARDL PARA AS ECONOMIAS EMERGENTES DO BRICS // EXCHANGE RATE AND EXTERNAL ADJUSTMENT: AN INVESTIGATION WITH ARDL MODELS FOR THE BRICS EMERGING ECONOMIES
Keywords:
taxa de câmbio, ajuste externo, BRICS, modelos ARDL // exchange rate, external adjustment, ARDL models, N-ARDAbstract
RESUMO: O objetivo deste trabalho é investigar o papel da taxa de câmbio (nível, desalinhamento e volatilidade) para o ajuste externo dos BRICS (1998 a 2015) usando modelos ARDL. Os resultados indicam uma grande assimetria no que diz respeito ao papel da taxa de câmbio no processo de ajustamento de longo e curto prazo. Para os modelos estimados com o desalinhamento da taxa de câmbio, esse se mostrou estatisticamente significativo para todas as economias, exceto a Índia. Já para os modelos utilizando a volatilidade cambial, apenas para o Brasil ocorreu significância para os dois modelos de ajuste de curto prazo. Finalmente, as maiores velocidades de ajustamento ocorreram nos modelos não lineares (NARDL).
ABSTRACT: The objective of this work is to investigate the role of the exchange rate (level, misalignment and volatility) for the external adjustment of the BRICS (1998 to 2015) using ARDL models. The results indicate a strong asymmetry regarding the role of the exchange rate in the long and short-term adjustment process. For the models estimated with exchange rate misalignment, it was statistically significant for all economies except India, while for the models using exchange rate volatility, only for Brazil there was significance for the short-term adjustment in both models. Finally, the highest speed of adjustment were found in the NARDL model.
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