COMO O FLUXO DE EXPORTAÇÃO BRASIL-EUA RESPONDE ÀS FLUTUAÇÕES DA VOLATILIDADE DA TAXA DE CÂMBIO (2000-2017)

Abstract

The objective of the present study was to investigate the symmetric or asymmetric duality of the bilateral real exchange rate volatility variable. In other words, this work wants to know how the export flow between Brazil and the United States would respond if it were the same (symmetrical volatility) or different (asymmetric volatility) to the fluctuations of exchange rate volatility. To estimate the model, the nonlinear dynamic method NARDL nonlinear Autoregressive Distributed Lag of Shin et al. (2014). And the exchange rate volatility variable was constructed based on the conditional variance of the type GARCH(1,1). The export series data for the period 2000-2017 correspond to the 99 sectors disaggregated to two digits of the US-Brazil Harmonized System. The study found an asymmetry of 48% of the initial sample in the short term volatility and 18% of the initial sample in the long term. And finally, 18% of the initial sample of short and long term. Therefore, it seems restrictive not to consider the asymmetric effects on the volatility of the bilateral real exchange rate in international export models.