Volatilidade cambial e seu efeito no valor das exportações: uma análise para a economia brasileira no período 2002 a 2022

Abstract

The present study is dedicated to empirically evaluating the relationship of the R$/US$ exchange rate volatility with the financial volume of monthly Brazilian exports by technological intensity in the period 2002-2022, using a SVAR methodological approach. The hypothesis defended, based on the theoretical perspective initially proposed by Clark (1973), is that increases in volatility are capable of generating a negative effect on exports due to risk aversion on the part of exporting firms. Exchange rate volatility is modeled using the GARCH method, and export variables are constructed from exports by technological intensity using Lall’s typology and SH2 detailing. The estimation results did not show statistical significance between exchange rate volatility and exports, both for the case of nominal and real exchange rates. Therefore, the impulse-response functions do not indicate a direct relationship between exchange rate volatility and monthly Brazilian exports by technological intensity, indicating the need for further studies.