Expectations and exchange rates in a Keynes–Harvey model: an analysis of the Brazilian case from 2002 to 2017

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2021-04-01 DOI:10.4337/ROKE.2021.02.06

Leandro Vieira Araújo Lima, F. Terra

引用次数: 0

Abstract

This paper investigates the statistical relationship between the future expectations of the exchange rate and GDP growth and the current nominal exchange rate in Brazil during the period 2002–2017. The theoretical framework on which the paper is based is a decision-making model grounded in Keynes (1921; 1936) and Harvey (2006; 2009a), from which the paper's empirical model emerges. This model is tested empirically with autoregressive distributed lag models to identify short- and long-term statistical relationships in time series. The empirical estimations suggest that expectations of future changes in both the exchange rate and GDP growth have a statistically significant relationship with the current nominal exchange rate in Brazil, just as the Keynes–Harvey model predicts.

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Keynes–Harvey模型中的预期和汇率：对2002年至2017年巴西案例的分析

本文研究了2002-2017年期间巴西对汇率和GDP增长的未来预期与当前名义汇率之间的统计关系。该论文所基于的理论框架是基于凯恩斯（1921；1936）和哈维（2006；2009a）的决策模型，该论文的实证模型由此产生。该模型用自回归分布滞后模型进行了实证检验，以确定时间序列中的短期和长期统计关系。实证估计表明，正如Keynes–Harvey模型预测的那样，对汇率和GDP增长未来变化的预期与巴西当前的名义汇率存在统计上显著的关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

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