Is the brazilian real a commodity currency? Large sample empirical evidence

Main Article Content

Filipe Monteiro de Castro Albert
Paolo Edoardo Coti-Zelati
Davi Lucas Arruda de Araújo
صندلی اداری


Brazil is one of the world’s largest base materials exporters, and this paper examines through large time series samples whether the Brazilian Real can be characterized as a commodity currency. The Real/US dollar real exchange rate and a real commodity prices index are found to be non-stationary and not cointegrated, while a risk premium appeared to have a large and statistically significant long term relationship with exchange rate movements. Combined first difference models showed that real exchange rate elasticity to risk premium is twice as large as to commodity prices, although both variables have considerable influence. Some specifications outperformed a random walk model with respect to root mean square forecast errors for many horizons, but the latter still better determined the exchange rate in longer terms.


Download data is not yet available.

Article Details



BILSON, J. (1978). The Monetary Approach to the Exchange Rate: Some Empirical Evidence. International Monetary Fund (IMF) Staff Reports n. 25, p. 48-75.

CHEUNG, Y.; CHINN, M.; PASCUAL, A. (2003). Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive? Santa Cruz Center for International Economics.

CHEN, Y.; ROGOFF, K. (2002) Commodity Currencies and Empirical Exchange Rate Puzzles. International Monetary Fund (IMF) Working Paper 02/27. Staff Reports 76.

DORNBUSCH, R. (1976), Expectations and Exchange Rates Dynamics, The Journal of Political Economy. v. 84, n. 6, p. 1161-1176.

FRENKEL, J. (1979). Purchasing Power Parity: Doctrinal Aspects from the 1920s. National Bureau of Economic Research. Paper n. 4.

EDISON, H.; PAULS, D. (1991). A Re-Assessment of the Relationship Between Real Exchange Rates and Real Interest Rates, Board of Governors of the Federal Reserve System. International Finance Discussion. Paper n. 408.

FERREIRA, A. (2008). The Simultaneity Bias of Uncovered Interest Rate Parity: Evidence for Brazil, University of São Paulo, FAERP

FLEMING, M. (1962). Domestic Financial Policies Under Fixed and Under Floating Exchange Rates. International Monetary Fund (IMF) Staff Papers

FRENKEL, J. (1976) A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence, The Scandinavian Journal of Economics, v. 78, n. 2, p. 200-224.

MACDONALD, R.; NAGAYASU, J. (2000). The Long Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials: A Panel Study. International Monetary Fund (IMF) Staff Papers, v. 47, n. 1.

MCCALLUM, B.T. (1994b). Monetary Policy and the Term Structure of Interest Rates, NBER Working Paper, 4938.

MEESE, R.; ROGOFF, K. (1983), Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample? Journal of International Economics. n. 14, p. 3-24

MEESE, R.; ROGOFF, K. (1988) Was it Real? The Exchange Rate-Interest Differential Relation Over the Modern Floating-Rate Period. The Journal of Finance, v. 43, n. 4, p. 933-948.

MEREDITH, G.; CHINN, M. (1998). Long-Horizon Uncovered Interest Rate Parity, NBER Working Paper, 6797.

MUNDELL, R. (1963). Inflation and Real Interest. The Journal of Political Economy. n. 71, p. 280-283.

ROGOFF, K. (1996). The Purchasing Power Parity. Journal of Economic Literature. n. 34, p. 647-688.

ROSENBERG, M. (1996). Currency Forecasting: A Guide to Fundamental and Technical Models of Exchange Rate Determination. McGraw-Hill, 2nd edition.

فروشگاه اینترنتی