VOLATILITY OF THE REAL EFFECTIVE EXCHANGE RATE AND BRAZILIAN EXPORTS

Abstract

This work aims to analyze the long-term effect of the volatility of the real effective exchange rate on commodities, semi-manufactured and manufactured products exported from Brazil to the main economic partners, which are the United States, European Union and Mercosur. This study improved regarding the empirical literature in two directions: in the measurement methodology used in volatility and in the category of used products. In addition to this analysis, a disaggregated analysis of these exports was carried out through the main products exported to these countries. For this we used the approach of cointegration via ARDL model by Border test Pesaran, Shin e Smith (2001). The main results of the work are that there is evidence that volatility has a negative impact on Brazilian exports to Mercosur. For exports to the United States the results are contradictory, given that showed a negative relationship between volatility and exports for manufactured and semi-manufactured goods and a largely positive relationship in the disaggregated analysis of NCM chapters. Finally, for the European Union only a disaggregated analysis was the long-term statistical relationship between volatility and exports. In this case, the dominance relations was negative.