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

Abstract

<jats:p>Resumo Este artigo analisa o ajustamento da equação da paridade coberta da taxa de juros para a relação entre a moeda brasileira e o dólar americano. O objetivo é avaliar a resposta de curto prazo das taxas de câmbio à vista e futura aos choques no diferencial de juros e no risco país. A investigação econométrica mostra que o ajustamento da paridade coberta no Brasil ocorre com o movimento das taxas de câmbio à vista e futura na mesma direção - de apreciação cambial diante do aumento do diferencial de juros e de depreciação cambial no caso do aumento do risco país -, mas com uma volatilidade maior da taxa de câmbio à vista.</jats:p>

The Brazilian experience in managing the interest-exchange rate nexus

“…These studies point out the carry trade as a major cause of exchange rate misalignment, foreign exchange accumulation and the current account imbalances. In addition, this operation has been one of the main forces driving the Brazilian real appreciation, as shown in Rossi (2011). Hence, an important task of economic policy is to neutralize the carry trade.…”

“…These are the only foreign exchange transactions between the residents and the non residents that do not require a foreign exchange contract. 14 As stated in Rossi (2011) there is a pattern of formation of positions in derivatives market where domestics banks are nearly always on the opposite side of foreign investors and institutional investors in dollar future contracts. 15 Keynes´s attention was toward the rapid growth of foreign exchange derivatives markets after the First World War.…”