PARIDADE DO PODER DE COMPRA: O MODELO DE REVERSÃO NÃO LINEAR PARA O BRASIL

Abstract

This article applies the smooth transition autoregressive nonlinear model (STAR) proposed by Granger and Terasvirta (1993) to the Brazilian real exchange rate (RER), aiming to test the validity of the purchasing power parity (PPP) to Brazil. Initially a review of Brazilian and international literature is presented, describing the evolution of the econometric techniques that have been applied in the tests of the PPP. After that, the STAR model is presented and used for the PPP test for Brazilian data between 1959 and 2004. The results indicate that CPI-based RER reveals nonlinear behavior, being stationary when distant from the equilibrium and with an explosive tendency when close to parity. The WPI-based RER has shown linear stationarity, rejecting the null hypothesis of unit root.