Paridade do poder de compra no Brasil: 1968 a 1994

Kannebley Júnior, Sérgio

doi:10.1590/S0101-41612003000400005

Resumos

Este artigo discute a relação entre os resultados dos testes para a validade da Paridade do Poder de Compra (PPC) no Brasil e fatos econômicos relevantes no período de 1968 a 1994. Este período se caracterizou por diversas alterações de política econômica, bem como das condições macroeconômicas da economia brasileira, que, por conseguinte, estão refletidas em mudanças nas propriedades estocásticas e na presença de quebras estruturais nas séries de índices de preços nacionais e taxa de câmbio nominal. Argumenta-se que a desconsideração destes problemas é a responsável pela obtenção de resultados contraditórios para os testes da versão absoluta da PPC. Por meio da realização de testes de raiz unitária com múltiplas quebras estruturais estas controvérsias são reavaliadas e produzidos novos resultados para a versão absoluta da PPC no Brasil, nesse período.

paridade do poder de compra; econometria de séries de tempo; economia brasileira

This article discusses about Purchasing Power Parity (PPP) results for Brazilian Economy in the period from 1968 to 1994. The main question is the relationship between the relevant economic facts in this period and results obtained in the time series tests of PPP. We argue that the several changes in the macroeconomic conditions, and in the political economy of the period was translated in changes of the stochastic properties of the real exchange rates time series measures, and your component series. Specifically, we are interested in analyze the impact of structural breaks on the absolute version test for PPP in a group of studies selected, and compare with new results for multiple break unit root tests presented here.

purchasing power parity; time series econometrics; Brazilian economy

Paridade do poder de compra no Brasil - 1968 a 1994

Sérgio Kannebley Júnior

Professor do Departamento de Economia FEARP - USP

RESUMO

Este artigo discute a relação entre os resultados dos testes para a validade da Paridade do Poder de Compra (PPC) no Brasil e fatos econômicos relevantes no período de 1968 a 1994. Este período se caracterizou por diversas alterações de política econômica, bem como das condições macroeconômicas da economia brasileira, que, por conseguinte, estão refletidas em mudanças nas propriedades estocásticas e na presença de quebras estruturais nas séries de índices de preços nacionais e taxa de câmbio nominal. Argumenta-se que a desconsideração destes problemas é a responsável pela obtenção de resultados contraditórios para os testes da versão absoluta da PPC. Por meio da realização de testes de raiz unitária com múltiplas quebras estruturais estas controvérsias são reavaliadas e produzidos novos resultados para a versão absoluta da PPC no Brasil, nesse período.

Palavras chave: paridade do poder de compra, econometria de séries de tempo, economia brasileira.

ABSTRACT

This article discusses about Purchasing Power Parity (PPP) results for Brazilian Economy in the period from 1968 to 1994. The main question is the relationship between the relevant economic facts in this period and results obtained in the time series tests of PPP. We argue that the several changes in the macroeconomic conditions, and in the political economy of the period was translated in changes of the stochastic properties of the real exchange rates time series measures, and your component series. Specifically, we are interested in analyze the impact of structural breaks on the absolute version test for PPP in a group of studies selected, and compare with new results for multiple break unit root tests presented here.

Key words: purchasing power parity, time series econometrics, Brazilian economy.

JEL Classification

F00, C12, C32

Texto completo disponível apenas em PDF.

Full text available only in PDF format.

BIBLIOGRAFIA

(Recebido em junho de 2002. Aceito para publicação em outubro de 2003).

e-mail: skj@usp.br

BOYD; DERICK; SMITH, RON. Testing for purchasing power parity: econometric issues and an application to developing countries. The Manchester School, v. 67, n. 3, p. 287-303, June 1999.
CAMPBELL, J. Y.; PERRON, P. Pitfalls and opportunities: what macroeconomists should know about unit roots. In: BLANCHARD, Olivier J.; FISCHER, Stanley (eds.), NBER Macroeconomics Annual, 1991, p. 141-201.
CAMPELO, Ana Katarina. Essays on time series modeling. 2000. Ph.D. Dissertation, Dep. Of Economics, University of Illinois at Urbana Champaign.
DICKEY, D. A.; FULLER, W. A. Distribution of the estimators for autoregressive time series with a unit root. Journal of the Statistical Association, v. 74, n. 366, p. 427-431, June 1979.
_______. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, v. 49, p. 1057-1072, July 1981.
DORNBUSCH, R. Expectations and exchange rate dynamics. Journal of Political Economy, v. 91, p. 1161-1176, December 1976.
_______. Purchasing power parity. In: The New Palgrave: a dictionary of economics. London: Macmillan, 1988.
EDWARDS, Sebastian. Exchange rate misalignment in developing countries. The World Bank Occasional Paper, new ser. n. 2.The John Hopkins University Press, 1988.
ENDERS, Walter. ARIMA and cointegration tests of PPP under fixed and flexible exchange rate regimes. The Review of Economic and Statistics, v. 70, n. 3, p. 504-508, August 1988.
ENGLE, R. F.; GRANGER, C. W. J. Co-integration and error correction representation, estimation, and testing. Econometrica, v. 55, n. 2, March 1987.
FRENKEL, J. A. The colapse of purchasing power parities during 1970´s. European Economic Review, v. 16, n. 1, p. 145-165, May 1981.
FROOT, Kenneth; ROGOFF, Kenneth. Perspectives on PPP and long-run exchange rates. In: Handbook of International Economics, v. 3, Amsterdan, New York and Oxford, North-Holland, 1995.
GARCIA, R.; PERRON, P. An analysis of the real interest rate under regime shifts. Review of Economic and Statistics, v. 78, p. 111-125, 1996.
GONZAGA, G. M.; TERRA, M. C. Equilibrium real exchange rate, volatility, and stabilization. Anais da SBE, p. 319-351, 1996.
HAKKIO, C. S. A re-examination of the purchasing power parity. Journal of International Economics, v. 17, n. 3, p. 265-277, November 1984.
HAMILTON, James D. Time series analysis Princeton University Press, 1994.
HOLLAND, M. Taxas de câmbio e regimes cambiais no Brasil. Anais do Encontro da ANPEC, v. II, 1996, p. 1157-1177.
HOLLAND, M.; VALLS PEREIRA, P. L. Taxa de câmbio e paridade de poder de compra no Brasil. Revista Brasileira de Economia, v. 53, n. 3, p. 259-285, jul./set. 1999.
HORTA, M. H.; PIANI, G.; KUME, H. Política cambial e comercial. In: Perspectivas da Economia Brasileira 1992 IPEA, 1991, p. 59-80.
JOHANSEN, Soren. Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, v. 12, n. 2/3, p. 231-254, June/September 1988.
_______. A statistical analysis of cointegration for I(2) variables. Econometric Theory, v. 11, n. 1, p. 25-59, March 1995.
LEE, Junsoo; STRAZICICH, Mark C. Minimum LM unit root test with two structural breaks. Working Paper, University of Central Florida, July 1999.
_______. Break point estimation and spurious rejection with endogenous unit root tests. Oxford Bulletin of Economic and Statistics, v. 63, n. 5, p. 535- 558, December 2001.
LUMSDAINE, Robin; PAPELL, David. Multiple trend breaks and the unit root hypothesis. Review of Economic and Statistics, v. LXXIX, p. 212-218, 1997.
MACKINNON, J.G. Critical values for cointegration tests. Chapter 13. In: ENGLE, R. F.; GRANGER, C. W. J. (eds.), Long-run economic relationships: readings in cointegration. Oxford University Press, 1991.
MAHDAVI, S.; ZHOU, S. Purchasing power parity in high inflation countries: further evidences. Journal of Macroeconomics, v. 16, n. 3, p. 403-422, Summer 1994.
MCKNOWN, R.; WALLACE, M. S. National levels, purchasing power parity and cointegration: a test of four high inflation economies. Journal of International Money and Finance, v. 8, p. 533-545, December 1989.
MARÇAL, E.; VALLS PEREIRA, P. L.; CANUTO, O. C. Paridade do poder de compra: testando dados brasileiros. Revista Brasileira de Economia, v. 57, n. 1, p. 159-190, 2003.
PASTORE, A. C., BLUM B. S.; PINOTTI, M. C. Paridade do poder de compra, câmbio real e saldos comerciais. Revista Brasileira de Economia, v. 52, n. 3, p. 427-467, jul./set.1998.
PERRON, P. The great crash, oil price shock, and the unit root hypothesis. Econometrica, v. 57, n. 6, p. 1361-1401, November 1989.
ROGOFF, K. The purchasing power parity puzzle. Journal of Economic Literature, v. 34, n. 2, p. 647-668, June 1996.
ROSSI, José W. Determinação da taxa de câmbio: testes empíricos para o Brasil. Pesquisa e Planejamento Econômico, v. 21, n. 2, p. 397-412, agosto de 1991.
_______. O modelo monetário de determinação da taxa de câmbio: testes para o Brasil. Pesquisa e Planejamento Econômico, v. 26, n. 2, p. 155-182, agosto de 1996.
SCHMIDT, P.; PHILLIPS, P. C. B. Testing for a unit root in the presence of deterministic trends. Oxford Bulletin of Economic and Statistics, v. 54, n. 3, p. 257-287, 1992.
SILVA, Maria Luiza F.; ANDRADE, Joaquim P. de. Brazils new currency:origin, development and perspectives of the Real. Revista Brasileira de Economia, v. 50, n. 4, p. 427-467, out/dez. 1996.
SIMONSEN, M. H.; DORNBUSCH, R. Estabilização da inflação com o apoio e políticas de rendas - um exame da experiência na Argentina, Brasil e Israel. Revista Brasileira de Economia, v. 41, n. 1, p. 3-50, jan./mar. 1987.
ZHOU, S. Purchasing power parity in high inflation countries; A cointegration analysis of integrated variables with trend breaks. Southern Economic Journal, v. 64, n. 2, p. 450-467, October 1997.
ZINI JR., A. A. Taxa de câmbio e política cambial no Brasil São Paulo: Edusp, BMF, 1993.

Datas de Publicação

Publicação nesta coleção
13 Out 2009
Data do Fascículo
Dez 2003

Histórico

Recebido
Jun 2002
Aceito
Out 2003

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

[1] BOYD; DERICK; SMITH, RON. Testing for purchasing power parity: econometric issues and an application to developing countries. The Manchester School, v. 67, n. 3, p. 287-303, June 1999.

[2] CAMPBELL, J. Y.; PERRON, P. Pitfalls and opportunities: what macroeconomists should know about unit roots. In: BLANCHARD, Olivier J.; FISCHER, Stanley (eds.), NBER Macroeconomics Annual, 1991, p. 141-201.

[3] CAMPELO, Ana Katarina. Essays on time series modeling. 2000. Ph.D. Dissertation, Dep. Of Economics, University of Illinois at Urbana Champaign.

[4] DICKEY, D. A.; FULLER, W. A. Distribution of the estimators for autoregressive time series with a unit root. Journal of the Statistical Association, v. 74, n. 366, p. 427-431, June 1979.

[5] _______. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, v. 49, p. 1057-1072, July 1981.

[6] DORNBUSCH, R. Expectations and exchange rate dynamics. Journal of Political Economy, v. 91, p. 1161-1176, December 1976.

[7] _______. Purchasing power parity. In: The New Palgrave: a dictionary of economics. London: Macmillan, 1988.

[8] EDWARDS, Sebastian. Exchange rate misalignment in developing countries. The World Bank Occasional Paper, new ser. n. 2.The John Hopkins University Press, 1988.

[9] ENDERS, Walter. ARIMA and cointegration tests of PPP under fixed and flexible exchange rate regimes. The Review of Economic and Statistics, v. 70, n. 3, p. 504-508, August 1988.

[10] ENGLE, R. F.; GRANGER, C. W. J. Co-integration and error correction representation, estimation, and testing. Econometrica, v. 55, n. 2, March 1987.

[11] FRENKEL, J. A. The colapse of purchasing power parities during 1970´s. European Economic Review, v. 16, n. 1, p. 145-165, May 1981.

[12] FROOT, Kenneth; ROGOFF, Kenneth. Perspectives on PPP and long-run exchange rates. In: Handbook of International Economics, v. 3, Amsterdan, New York and Oxford, North-Holland, 1995.

[13] GARCIA, R.; PERRON, P. An analysis of the real interest rate under regime shifts. Review of Economic and Statistics, v. 78, p. 111-125, 1996.

[14] GONZAGA, G. M.; TERRA, M. C. Equilibrium real exchange rate, volatility, and stabilization. Anais da SBE, p. 319-351, 1996.

[15] HAKKIO, C. S. A re-examination of the purchasing power parity. Journal of International Economics, v. 17, n. 3, p. 265-277, November 1984.

[16] HAMILTON, James D. Time series analysis Princeton University Press, 1994.

[17] HOLLAND, M. Taxas de câmbio e regimes cambiais no Brasil. Anais do Encontro da ANPEC, v. II, 1996, p. 1157-1177.

[18] HOLLAND, M.; VALLS PEREIRA, P. L. Taxa de câmbio e paridade de poder de compra no Brasil. Revista Brasileira de Economia, v. 53, n. 3, p. 259-285, jul./set. 1999.

[19] HORTA, M. H.; PIANI, G.; KUME, H. Política cambial e comercial. In: Perspectivas da Economia Brasileira 1992 IPEA, 1991, p. 59-80.

[20] JOHANSEN, Soren. Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, v. 12, n. 2/3, p. 231-254, June/September 1988.

[21] _______. A statistical analysis of cointegration for I(2) variables. Econometric Theory, v. 11, n. 1, p. 25-59, March 1995.

[22] LEE, Junsoo; STRAZICICH, Mark C. Minimum LM unit root test with two structural breaks. Working Paper, University of Central Florida, July 1999.

[23] _______. Break point estimation and spurious rejection with endogenous unit root tests. Oxford Bulletin of Economic and Statistics, v. 63, n. 5, p. 535- 558, December 2001.

[24] LUMSDAINE, Robin; PAPELL, David. Multiple trend breaks and the unit root hypothesis. Review of Economic and Statistics, v. LXXIX, p. 212-218, 1997.

[25] MACKINNON, J.G. Critical values for cointegration tests. Chapter 13. In: ENGLE, R. F.; GRANGER, C. W. J. (eds.), Long-run economic relationships: readings in cointegration. Oxford University Press, 1991.

[26] MAHDAVI, S.; ZHOU, S. Purchasing power parity in high inflation countries: further evidences. Journal of Macroeconomics, v. 16, n. 3, p. 403-422, Summer 1994.

[27] MCKNOWN, R.; WALLACE, M. S. National levels, purchasing power parity and cointegration: a test of four high inflation economies. Journal of International Money and Finance, v. 8, p. 533-545, December 1989.

[28] MARÇAL, E.; VALLS PEREIRA, P. L.; CANUTO, O. C. Paridade do poder de compra: testando dados brasileiros. Revista Brasileira de Economia, v. 57, n. 1, p. 159-190, 2003.

[29] PASTORE, A. C., BLUM B. S.; PINOTTI, M. C. Paridade do poder de compra, câmbio real e saldos comerciais. Revista Brasileira de Economia, v. 52, n. 3, p. 427-467, jul./set.1998.

[30] PERRON, P. The great crash, oil price shock, and the unit root hypothesis. Econometrica, v. 57, n. 6, p. 1361-1401, November 1989.

[31] ROGOFF, K. The purchasing power parity puzzle. Journal of Economic Literature, v. 34, n. 2, p. 647-668, June 1996.

[32] ROSSI, José W. Determinação da taxa de câmbio: testes empíricos para o Brasil. Pesquisa e Planejamento Econômico, v. 21, n. 2, p. 397-412, agosto de 1991.

[33] _______. O modelo monetário de determinação da taxa de câmbio: testes para o Brasil. Pesquisa e Planejamento Econômico, v. 26, n. 2, p. 155-182, agosto de 1996.

[34] SCHMIDT, P.; PHILLIPS, P. C. B. Testing for a unit root in the presence of deterministic trends. Oxford Bulletin of Economic and Statistics, v. 54, n. 3, p. 257-287, 1992.

[35] SILVA, Maria Luiza F.; ANDRADE, Joaquim P. de. Brazils new currency:origin, development and perspectives of the Real. Revista Brasileira de Economia, v. 50, n. 4, p. 427-467, out/dez. 1996.

[36] SIMONSEN, M. H.; DORNBUSCH, R. Estabilização da inflação com o apoio e políticas de rendas - um exame da experiência na Argentina, Brasil e Israel. Revista Brasileira de Economia, v. 41, n. 1, p. 3-50, jan./mar. 1987.

[37] ZHOU, S. Purchasing power parity in high inflation countries; A cointegration analysis of integrated variables with trend breaks. Southern Economic Journal, v. 64, n. 2, p. 450-467, October 1997.

[38] ZINI JR., A. A. Taxa de câmbio e política cambial no Brasil São Paulo: Edusp, BMF, 1993.