Taxa de câmbio e efeito bolha: uma análise R$/US$

Abstract

The present study seeks to evaluate the behavior of the exchange rate R$/US$ using theoretical models that seek to capture the fundamentals of the exchange rate and investigate a possible bubble effect in the national exchange market. The theoretical models used to describe the macroeconomic fundamentals that capture the movements of the exchange rate were the Monetary Model and the Taylor Rule. To prove the existence of a bubble, the econometric test of Phillips e Yu (2011) was used. The results obtained on the empirical analysis showed that the Monetary model could not approximate the observed fluctuations in the exchange rate, while Taylor rule models captured a good description of the movement of this variable. In turn, the results of the applied method and the specific test for the bubble effect led to the conclusion that there is no bubble in the Brazilian quarterly exchange rate.