Análise do impacto da volatilidade cambial sobre o fluxo comercial entre Brasil, China e EUA (2000-2017)

Abstract

The objective of the present study was to investigate the possibility of asymmetry in the responses of the Brazilian foreign trade flow, with respect to its two largest trading partners (China and the United States of America), due to the volatility of the bilateral real exchange rate. In other words, this work sought to investigate how the export and import flow between Brazil and its two main trading partners respond to the fluctuations of exchange rate volatility with the possibility of asymmetry. For this, the non-linear cointegration approach based on the NARDL - nonlinear Autoregressive Distributed Lag model of Shin et al. (2014). The variable, exchange rate volatility was constructed based on the conditional variance GARCH (1,1) Generalized Autoregressive Conditional Heteroskedasticity of Bollerslev (1986). The export and import series data covers the years 2000 to 2017, corresponding to the 99 two-digit disaggregated sectors of the Harmonized System. For the sectors in which cointegration (between variables of trade flow, price, income and exchange rate volatility) occurred, the analysis of Brazilian exports to the US found for the short term asymmetric responses of exports to exchange rate volatility in 36% of the sectors considered. For the long-term analysis, asymmetry was evidenced in 9% of the initial sample. With respect to imports from the USA, they presented asymmetric responses in 31% of the analyzed sectors in the short term and 14% in the long term. In relation to the Brazil-China trade flow, 52% were found in exports in the short term and 14% in the long term. Finally, in the case of imports, 22% were detected in the short term and only 5.5% in the long term. Therefore, it seems restrictive not to consider the asymmetric effects on the volatility of the bilateral real exchange rate in the presence of models that address studies on the flow of international trade.