¿Está vinculado el tipo de cambio brasileño con el riesgo país? Un estudio basado en la paridad descubierta de las tasas de interés
Year: 2026
Type: article
Abstract: This paper analyzes the behavior of the nominal exchange rate between the Brazilian Real and the US Dollar by adapting the theoretical approach of uncovered interest parity to verify whether country risk influences exchange rate changes. For this purpose, ordinary least squares and vector autoregressive models are estimated considering data from 2012 to 2022. Impulse-response functions and variance flexibility were complementary methods to analyze the interaction between the variables. The results suggest that the nominal exchange rate in the period was influenced by its lags and by the country risk, represented by the EMBI+and the CDS as in the robustness test, being fundamentally affected by the influence of retrospective and prospective expectations. The difference between domestic and foreign interest rates did not prove to be effective in influencing the behavior of the exchange rate. These findings are useful for the scientific literature investigating exchange rate movements in emerging markets by providing empirical evidence for the Brazilian real and policymakers and financial market agents. JEL Classification: C32, E44, F31.
Source: Análisis Económico
Language: Spanish
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W7219194520