Volatilidade Cambial: Uma Análise para os BRICS (2009 a 2022)

Abstract

The goal of this dissertation is to investigate the issue of exchange rate volatility and its determinants in order to address which variables are relevant in understanding this volatility for the BRICS in the post financial crisis period of 2008. The work develops an empirical investigation to evaluate if international reserves, GDP differential relative to the US GDP, interest rates, inflation differential relative to the US and the equity market are significant to explain the real effective exchange rate volatility for the BRICS. In order to achieve this, the dissertation uses ARDL, DOLS and FMOLS models for the period of 2009 Q1 to 2022 Q4. The results indicate that for the ARDL models estimated the variables with significant long run coefficients are GDP differential (negative sign) and inflation differential (positive sign) for Brazil, GDP differential and equity (negative signs) at 10% for India, interest rates and inflation differential (positive sign) for Russia. Regarding DOLS and FMOLS models all ten estimated models indicate the existence of cointegration, in other words, the explanatory variables have a cointegration relationship with the exchange rate volatility.