¿Está vinculado el tipo de cambio brasileño con el riesgo país?
Un estudio basado en la paridad descubierta de las tasas de interés
DOI:
https://doi.org/10.24275/Palabras clave:
Tipo de cambio nominal, Tipo de interés, Riesgo, Paridad de interes sin cobertura, EMBI+Resumen
Este artículo analiza el comportamiento del tipo de cambio nominal entre el real brasileño y el dólar estadounidense, adaptando el enfoque teórico de la paridad descubierta de intereses para verificar si el riesgo país influye en las variaciones del tipo de cambio. Para ello, se estiman modelos de mínimos cuadrados ordinarios y autorregresivos vectoriales, considerando datos de 2012 a 2022. Las funciones de respuesta al impulso y la flexibilidad de la varianza fueron métodos complementarios para analizar la integración entre las variables. Los resultados sugieren que el tipo de cambio nominal en el período se vio influido por sus retrasos y por el riesgo país, representados por el EMBI+ y por el CDS, como en la prueba de robustez, viéndose afectado fundamentalmente por la influencia de las expectativas retrospectivas y prospectivas. La diferencia entre las tasas de interés nacionales y extranjeras no resultó ser eficaz para influir en el comportamiento del tipo de cambio. Estos hallazgos son útiles para la literatura científica que investiga los movimientos del tipo de cambio en los mercados emergentes, ya que proporcionan evidencia empírica para el real brasileño y los responsables de la política económica y los agentes del mercado financiero.
Clasificación JEL: C32, E44, F31.
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Derechos de autor 2026 Alan Coaglio Silva Menezes, Mathias Schneid Tessmann, Luiz Augusto Ferreira Magalhães
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-SinDerivadas 4.0.
