Commodity prices and the Brazilian real exchange rate

A well documented stylized fact in commodity-exporting countries is the robust relationship between commodity prices and real exchange rates. However, empirical evidence of factors that affect the strength of the commodity price-real exchange rate connection remains inconclusive. In this paper, we investigate how structural and financial factors affect the relationship between world commodity prices and the Brazilian real exchange rate during the floating exchange rate regime. The key results show that the strength of the real exchange rate response to real commodity price fluctuations depends on the trade openness in the long run and on the country risk in the short run. Our findings provide important insights for the appropriated design of foreign exchange policy in Brazil.

商品出口国的一项被充分记录的典型事实是，商品价格与实际汇率之间存在着稳健的关系。然而，影响商品价格与实际汇率联系强度的影响因素的经验证据尚无定论。在本研究中，我们探讨了在浮动汇率制度下，结构性因素和金融因素如何影响全球商品价格与巴西实际汇率之间的关系。关键发现表明，实际汇率对实际商品价格波动的反应强度取决于长期贸易开放程度和短期国家风险。我们的研究结论为巴西外汇政策的适当设计提供了重要的洞见。