Determinação da taxa de câmbio: aplicação do modelo de Cagan para o Brasil

Abstract

This work aims to test a variant of the monetarist exchange rate determination model in Brazil, as available in Obstfeld and Rogoff (1996). It initiated with a simple model of Cagan s demand money model and applied the hypotheses of purchase power parity and uncovered interest parity (UIP). Then we proceeded cointegration tests - Johansen and Engle-Granger - to verify the long run behavior of the variables in the Brazilian case. By the adjustment speeds given by the Johansen and the model of error-correction we verify the variables relation in a exchange rate model determination in a short term. At the presence of endogeneity in the variable, it was estimated an instrument model by the Generalized Method of Moments (GMM). The data corroborated the models signals, with exception of the signal for international interest rate which may indicate the non existence of UIP for the brazilian case. We considered that the model can be improved by the insertion of variables from the balance of payments model and other international variables.