A dinâmica Pós-Keynesiana da taxa de câmbio brasileira: um estudo sobre a aplicabilidade do modelo mental no Brasil entre 2001 e 2018
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2020-02-27
Autores
Silva, Paloma Almeida [UNESP]
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Universidade Estadual Paulista (Unesp)
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Em um ambiente de globalização financeira, a taxa de câmbio se coloca como uma variável de relativa importância para uma economia. A justificativa para isso está centrada no fato de que ela representa um dos principais preços relativos de uma economia e, portanto, estudos que buscam descobri a sua determinação, os seus movimentos e a sua dinâmica estão constantemente presentes na literatura econômica. A emergência sobre essa temática surgiu após o fim do acordo de Bretton Woods em 1973, no qual o seu fim resultou em mudanças na arquitetura do sistema monetário e financeiro internacional, modificando, entre várias coisas, o relacionamento dos países com as suas respectivas taxas de câmbio. Em alguns países o regime de câmbio flutuante foi adotado em detrimento do regime de câmbio fixo, e com isso as taxas de câmbio passaram a apresentar um comportamento altamente volátil, o que despertou a curiosidade sobre este fato. O comportamento volátil das taxas de câmbio somado a propagação da globalização financeira, ocasionou o processo de “financeirização” das taxas. Este processo estreitava a relação do câmbio com os fluxos de capitais de curto prazo, além de permitir ganhos especulativos com a variação cambial. Com essa nova realidade, alguns estudos emergiram com o objetivo de explicar a nova dinâmica cambial. É neste contexto que surgiu a abordagem pós-keynesiana de determinação cambial, que traz como um dos fundamentos a criação do Modelo Mental. O modelo mental seria um esquema dinâmico de variáveis reais, indicadores, efeitos bandwagon e fatores sociais e psicológicos que poderiam embasar os processos de elaboração de expectativas e tomada de decisão dos agentes, que em teoria determinaria a taxa de câmbio nominal de uma economia. Diante disso, munido do conhecimento gerado acerca da taxa de câmbio e da abordagem pós-keynesiana, este estudo tem como objetivo principal verificar a aplicabilidade da abordagem pós-keynesiana de determinação cambial sobre a dinâmica da taxa de câmbio do Brasil, entre os anos de 2001-2018. Para a realização do objetivo principal, foram adotados os seguintes procedimentos metodológicos: a análise estatística descritiva das variáveis e do mercado de câmbio e a aplicabilidade do modelo mental. A periodicidade da análise seguirá dois modos: 1- Anual, para a análise descritiva das variáveis e do mercado de câmbio 2- os subperíodos delimitados na pesquisa empregada no modelo mental. A base de dados utilizada na pesquisa foi extraída das plataformas: Banco Central do Brasil (BCB), IPEADATA e do Federal Reserve Bank (FEDDATA). Os resultados alcançados neste estudo indicam que existe correlação entre os fluxos de capitais de curto prazo e as taxas de câmbio esperada e nominal. Também foi possível constatar, através da aplicação do modelo mental, a importância do efeito bandwagon para a determinação da taxa de câmbio no período estudado, afirmando as premissas principais da abordagem pós-keynesiana, desenvolvida, também, por Harvey. Contudo, os mesmos resultados inviabilizam a afirmação precisa sobre a aplicabilidade do modelo mental para a economia brasileira, dado que algumas das variáveis apontadas como determinantes não apresentaram relevância sobre a taxa de câmbio nominal, não podendo também afirmar que a taxa de câmbio nominal brasileira foi estruturada pelo modelo mental, nos moldes criados pelo autor.
The following study aims to verify the applicability of the mental model to explain the dynamics of the exchange rate in Brazil from 2001 to 2018. The end of Bretton Woods agreement in 1973 led to changes in the international financial architecture, such as the ones observed in the relationship between a country with its exchange rate. As some countries chose the floating Exchange rate regime instead of the fixed one. the exchange rates of the following years presented a highly volatile behavior. This behavior added to financial globalization, growing demand for liquid assets, and deep markets, caused a financialization of the Exchange rate. This process strengthened the relation of the Exchange rate to short-term capital flows. In addition, it permitted speculation profits from the exchange variation. In this same period, lots of theories and models were formulated trying to explain this new outline. Among them, there is the post Keynesian approach of exchange rate determination. According to it, agents’ expectations and short-term capital flows are the driving force of currency movements. Thus, this approach created a mental model which delineates the development of those expectations. The complete mental model has three phases; indicators, base factors, and processes, and it will be used as part of this paper methodology. As this study is a descriptive and explanatory, its methodological procedures were divided in two parts. First, there is a descriptive statistical analysis of the variables and the foreign exchange market. Second, the applicability of the mental model, as a result of statistical analyses of the variables. The periodicity of this model follows two modes: 1 – The subperiods delineated in the research; 2 – annual application that followed the availability of the variables in the mental model. The data was extracted from platforms such as Banco Central do Brasil (BCB), IPEADATA, and Federal Reserve Bank (FED). The results achieved in this study indicate that there is a correlation between the portfolio investment and the expected and nominal exchange rates. It was also possible to highlight, through the application of the mental model, the importance of the bandwagon effect for the exchange rate in the studied period, affirming the main premises of the post-Keynesian approach, developed by Harvey. However, the same results make the precise statement about the applicability of the mental model to the Brazilian economy unfeasible, given that some of the variables identified as determinants, did not have a great influence on the nominal exchange rate.
The following study aims to verify the applicability of the mental model to explain the dynamics of the exchange rate in Brazil from 2001 to 2018. The end of Bretton Woods agreement in 1973 led to changes in the international financial architecture, such as the ones observed in the relationship between a country with its exchange rate. As some countries chose the floating Exchange rate regime instead of the fixed one. the exchange rates of the following years presented a highly volatile behavior. This behavior added to financial globalization, growing demand for liquid assets, and deep markets, caused a financialization of the Exchange rate. This process strengthened the relation of the Exchange rate to short-term capital flows. In addition, it permitted speculation profits from the exchange variation. In this same period, lots of theories and models were formulated trying to explain this new outline. Among them, there is the post Keynesian approach of exchange rate determination. According to it, agents’ expectations and short-term capital flows are the driving force of currency movements. Thus, this approach created a mental model which delineates the development of those expectations. The complete mental model has three phases; indicators, base factors, and processes, and it will be used as part of this paper methodology. As this study is a descriptive and explanatory, its methodological procedures were divided in two parts. First, there is a descriptive statistical analysis of the variables and the foreign exchange market. Second, the applicability of the mental model, as a result of statistical analyses of the variables. The periodicity of this model follows two modes: 1 – The subperiods delineated in the research; 2 – annual application that followed the availability of the variables in the mental model. The data was extracted from platforms such as Banco Central do Brasil (BCB), IPEADATA, and Federal Reserve Bank (FED). The results achieved in this study indicate that there is a correlation between the portfolio investment and the expected and nominal exchange rates. It was also possible to highlight, through the application of the mental model, the importance of the bandwagon effect for the exchange rate in the studied period, affirming the main premises of the post-Keynesian approach, developed by Harvey. However, the same results make the precise statement about the applicability of the mental model to the Brazilian economy unfeasible, given that some of the variables identified as determinants, did not have a great influence on the nominal exchange rate.
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Palavras-chave
Expectativas, Taxa de câmbio, Abordagem Pós-keynesiana, Mental model, Expectations, Exchange rate, Modelo mental, Post-Keynesian approach