LONG‐RUN DETERMINANTS OF THE BRAZILIAN REAL: A CLOSER LOOK AT COMMODITIES
利用协整分析发现，1999年1月至2012年9月间巴西雷亚尔有效汇率的长期走势主要由五种大宗商品的价格变动解释，这五种商品占巴西2011年出口收入的51%。
ABSTRACT We use cointegration analysis to show that the long‐run behaviour of the Brazilian Real effective exchange rate between January 1999 and September 2012 can largely be explained by the price variation of a basket of five commodities—that accounted for 51% of Brazilian export revenues in 2011. We estimate that a 10% variation in the real price of these five commodities moves the fundamental long‐run real exchange rate by almost 5%. Changes in interest rate differentials do not explain short or long term movements in the exchange rate during this period. Furthermore, we find that deviations of the real effective exchange rate from the long run equilibrium level have an estimated half‐life of approximately 8 months. The growing exports of oil and fuel and of iron ores, as well as the important oil discoveries in the pre‐salt layer, suggest that commodity prices will continue to influence the value of the Real in the future. Copyright © 2014 John Wiley & Sons, Ltd.