EFEITOS REAIS E NOMINAIS SOBRE AS FLUTUAÇÕES DA TAXA REAL DE CÂMBIO BRASIL/ESTADOS UNIDOS: UM ESTUDO EMPÍRICO USANDO VAR (1999-2003)

This paper makes an empirical analysis about the importance of nominal shocks and real disturbances on the Brazilian/USA real exchange rate (TCR) during the period of January of 1999 to December of 2003. Based in the Mundell-Flemming-Obstfeld model and data base obtained from the IPEA, different estimations indicate the overshooting of the nominal exchange rate (TCN) and that the nominal shocks account for about 38% of the dynamics in the short run. Aggregate Demand shocks respond for large TRC fluctuations in the empirical models. When the structural shocks are decomposed in the extended model, productivity shocks account for significant percent of the TRC fluctuations.