Oil price shocks and the Brazilian real exchange rate

This paper examines the effects of oil price changes on the Brazilian real exchange rate against the U.S. dollar, using an SVAR framework able to disentangling oil supply and demand shocks, as well as international liquidity shocks. The results show that when we take into account measures of international liquidity in the model, approximately 11\% of the variance of the Brazilian real exchange rate, in the long run, is associated with oil-specific demand shocks. Supply and aggregate demand shocks are less important. Including measures of international liquidity reduces the contribution of oil-specific demand shocks on the real exchange rate in the aftermath of the global financial crisis of 2008. Oil price changes affect the interest rate spread, which puts further pressure on the real exchange rate. Our results shed light on the impact of oil price shocks on the Brazilian economy by providing important insights for the foreign exchange policy in Brazil.

本文采用可拆解石油供需冲击与国际流动性冲击的结构向量自回归（Structural Vector Autoregression, SVAR）框架，探究油价变动对巴西雷亚尔兑美元实际汇率的影响。研究结果显示，当模型中纳入国际流动性衡量指标时，长期来看巴西实际汇率约11%的波动可归因于石油特定需求冲击。石油供给冲击与总需求冲击的解释力相对偏弱。在2008年全球金融危机过后，纳入国际流动性衡量指标会削弱石油特定需求冲击对实际汇率的贡献程度。油价变动会影响利率价差，进而对实际汇率形成额外施压。本研究通过为巴西外汇政策提供重要决策参考视角，阐明了油价冲击对巴西经济的影响路径。