Ajuste da taxa de câmbio à paridade coberta da taxa de juro no Brasil

Pedro Linhares Rossi; Eliane Araújo; Nelson H.  Barbosa-Filho

Exchange rate adjustment to the covered interest rate parity in Brazil

Authors

Pedro Linhares Rossi State University of Campinas https://orcid.org/0000-0002-2504-9922
Eliane Araújo State University of Maringá https://orcid.org/0000-0001-5104-2508
Nelson H. Barbosa-Filho São Paulo School of Economics, Fundação Getúlio Vargas https://orcid.org/0000-0003-3889-5703

Abstract

This paper analyzes the adjustment of the covered interest rate parity equation between the Brazilian real and the US dollar. The objective is to evaluate the short-term response of the spot and future exchange rates to shocks in interest rate differential and country risk. The econometric research shows that the adjustment of the covered parity in Brazil occurs with the movement of the spot and future exchange rates in the same direction – an exchange appreciation due to the increase of the interest rate differential and exchange depreciation in the case of the increase of the country risk - but with a higher volatility of the spot exchange rate.

Author Biographies

Pedro Linhares Rossi, State University of Campinas

Professor do Instituto de Economia da Unicamp

Eliane Araújo, State University of Maringá

Professora da Universidade Estadual de Maringá e bolsista produtividade em pesquisa do CNPQ.

Nelson H. Barbosa-Filho , São Paulo School of Economics, Fundação Getúlio Vargas

Professor da Escola de Economia de São Paulo (EESP) da FGV/SP e da UNB

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Published

2020-06-10

How to Cite

ROSSI, P. L.; ARAÚJO, E.; BARBOSA-FILHO , N. H. . Exchange rate adjustment to the covered interest rate parity in Brazil. Nova Economia, [S. l.], v. 30, n. 1, p. 95–110, 2020. Disponível em: https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/4700. Acesso em: 19 oct. 2024.

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Issue

Vol. 30 No. 1 (2020)

Section

Regular Issue

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