Testando a validade da paridade coberta de juros para economia brasileira no período de 2004 a 2023
This paper aims to verify the validity of the Covered Interest Parity (PCJ) for the Brazilian economy between January 2004 and April 2023. For the analysis, we used the tests of unit roots and cointegration tests. It was identified the existence of a long-term cointegration relationship between the...
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| Formato: | bachelorThesis |
| Idioma: | pt_BR |
| Publicado em: |
Universidade Federal do Rio Grande do Norte
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| Endereço do item: | https://repositorio.ufrn.br/handle/123456789/53867 |
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| Resumo: | This paper aims to verify the validity of the Covered Interest Parity (PCJ) for the Brazilian economy between January 2004 and April 2023. For the analysis, we used the tests of unit roots and cointegration tests. It was identified the existence of a long-term cointegration relationship between the variables that make up the equation that describes the PCJ and from this models of Error Correction Vectors (VEC) were estimated, changing the specifications, the American external interest rates and the inclusion of dummy variables to identify structural changes in the exchange rate series and during the pandemic. The results of the models indicate a long-term equilibrium relationship between the variables. However, it was not possible to verify the existence and duration of potential deviations. |
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