Modelo de tendências comuns aplicado ao produto, à taxa de câmbio e ao saldo da balança comercial: O caso do Brasil

Abstract

This paper analyzes the behavior of GDP, real exchange rate and the current account balance in Brazil during the period of 1994 to 2002. Cointegration techniques were used to identify a VAR system with common stochastic trends, and to investigate the system responses to transitories and permanent shocks.Variance decomposition indicates that transitories shocks account for most ofthe short and long run flutuations in GDP. It was found that permanent shocks explain most of the variance of the exchange rate and of the current account balance in the short and in the long run. The results suggest that internal factors such as adequacy of exchange-rate regimes and stabilization policies, based on inflation targets, may be important in determining the trend behavior ofvariables during the period.