Title Portuguese:
International Fisher Effect: uma investigação empírica em países selecionados
Abstract:
This paper investigates the relationship between inflation, interest rates and exchange rates of various countries according to the Theory of International Fisher Effect. The analysis includes the influence of the differential rate of interest on the exchange rate variations and the influence of differential rate of inflation on interest rates differentials. We analyzed the monthly data for developed and emerging countries, including Brazil, Uruguay, UK, Paraguay, Mexico, Japan, South Korea, Chile and Canada in relation to the United States of America. The period of analysis extends from 01/01/2000 to 30/06/2011. Preliminarily the stationarity of the series is treated, and then the appropriate regressions are performed. The results did not show clearly the expected theoretical relationships.
Abstract Portuguese:
Neste artigo investiga-se a relação entre inflação, taxas de juro e taxa de câmbio de diversos países de acordo com a Teoria do Efeito Internacional de Fisher. A análise compreende a influência da taxa diferencial de juros sobre as variações da taxa de câmbio e a influência da taxa diferencial de inflação sobre as taxas diferenciais de juros. São analisados os dados mensais de países desenvolvidos e emergentes, compreendendo Brasil, Uruguai, Reino Unido, Paraguai, México, Japão, Coreia do Sul, Chile e Canadá em relação aos Estados Unidos da América. O período de análise se estende de 01/01/2000 a 30/06/2011. Trata-se a estacionariedade das séries e efetuam-se regressões de mínimos quadrados. Os resultados não evidenciam com clareza as relações teóricas esperadas.
ABNT Citation:
SILVA, W. V.; TAFFAREL, M.; CORSO, J. M. D.; CLEMENTE, A. International Fisher Effect: uma investigação empírica em países selecionados. Revista Capital Científico - Eletrônica, v. 12, n. 1, p. 10-26, 2014.
APA Citation:
Silva, W. V., Taffarel, M., Corso, J. M. D., & Clemente, A. (2014). International Fisher Effect: uma investigação empírica em países selecionados. Revista Capital Científico - Eletrônica, 12(1), 10-26.
Permalink:
https://www.spell.org.br/documentos/ver/33091/international-fischer-effect--an-empirical-investigation-in-selected-countries/i/en
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