EXCHANGE RATE VOLATILITY AND ITS EFFECTS ON BRAZILIAN EXPORTS TO THE US

ABSTRACT This paper investigated the influence of exchange-rate volatility on Brazilian exports to the US from January 1999 to February 2017. For this purpose, we used Pesaran’s bound test in an ARDL framework. Moreover, we built nonlinear measures for exchange-rate volatility to verify whether positive and negative exchange rate shocks affect equally on volatility. The proposed nonlinear measures indicated that positive exchange rate shocks imply greater volatility in the following periods. The results showed that long-term exchange rate volatility affected the exports similarly for the different measures. However, we found more positive relationships in the models using nonlinear measures than in those using linear ones. The sectors negatively affected were external capital-dependent products and manufactured or low value-added products. In contrast, the ones positively affected were products with no dependence on external capital or products with highly elastic demand.

摘要 本研究探讨了1999年1月至2017年2月期间，汇率波动对巴西对美国出口贸易的影响。为此，本研究采用了自回归分布滞后（ARDL）模型框架下的佩萨兰（Pesaran）边界检验法。此外，本研究构建了汇率波动的非线性测度指标，以验证正向与负向汇率冲击对波动的影响是否对称。所提出的非线性测度结果显示，正向汇率冲击会在后续时期引发更大幅度的波动。研究结果表明，无论采用何种测度方式，长期汇率波动对出口贸易的影响趋势一致。不过，相较于采用线性测度的模型，采用非线性测度的模型中，汇率波动与出口间呈现正向相关关系的占比更高。受汇率波动负向影响的品类包括外部资本依赖型产品、制成品及低附加值产品；与之相对，受正向影响的品类则为无外部资本依赖型产品，或需求高度弹性的产品。