Taxa de câmbio e ajuste externo: uma investigação para economias emergentes do BRICS

Abstract

The objective of this paper is to investigate whether the exchange rate played an important role in the external adjustment process the BRICS emerging economies: Brazil, Russia, India, China and South Africa, in the period from 1998 to 2015. To achieve this goal two linear models (ARDL) and two non-linear models (N-ARDL) were estimated in order to evaluate the role of the exchange rate in its three concepts: level, misalignment and volatility. Regarding the adjustment process in the long term, there is cointegration for Brazil and India in estimation models. For China, Russia and South Africa, depending on the estimated model, the cointegration was found or inconclusively results at significance levels of 10% or 5%. There was no model with no cointegration. In relation to the macroeconomic control variables used, there are asymmetries em terms of variables which were responsible for the Current Account the determination. For the ARDL models the significant variables for each country were: (i) Brazil: Net Foreign Assets, Degree of Trade openness and Financial Development; (ii) China: Degree of Trade openness; (iii) India: Real effective exchange rate, Financial Development and volatility terms of trade; (iv) Russia: Degree of Trade openness; (v) South Africa: Real effective exchange rate. For the N-ARDL models: (i) Brazil: Net Foreign Assets, Degree of Trade openness and Financial Development; (ii) China: Degree of Trade openness; (iii) India: Appreciation exchange rate, Depreciation Exchange rate, Financial Development and Volatility terms of trade; (iv) Russia: Degree of Trade openness and Financial Development; (v) South Africa: Appreciation Exchange rate, Depreciation Exchange rate, Misalignment, Financial Development and Volatility terms of trade. The highest speed of adjustment were found in the N-ARD models for India and Brazil. Finally, the results indicate a strong asymmetry regarding the role of the exchange rate in the short term adjustment process. Observing our variable of interest, for the models estimated with Exchange rate of misalignment, on all economies except India, it was statistically significant. On the other hand, for the models estimated with exchange rate volatility, only for Brazil it was significanc for the short-term adjustment in both estimated models.