Estimando o desalinhamento cambial brasileiro: uma análise de robustez a partir do modelo global com mecanismo de correção de erros
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This paper aims to compare two different methodologies to estimate exchange rate misalignment. The first methodology consists of using multivariate time series techniques and a model with domestic variables. The second methodology consists of Pesaran's Global Error Correction Model with global factors (GVECM). The Brazilian case is analyzed using these two methodologies. The results of exchange misalignment estimates are different particularly in their magnitude terms but not in their signs. Both methodologies suggest that the channel by which terms of trade affect exchange rate is indirect. Improvement in Brazilian terms of trade induces improvement in net foreign investment position by affecting current account result. These improvements also induce a real exchange rate appreciation in the long run. In recent period, this channel appears to play an important role in explaining Brazilian exchange rate fundamental improvement. The results from GVECM suggest that the level of Brazilian real exchange rate is linked to the level of real exchange of its main trading partners.