Title: The relationship between Brazilian Real and the US Dollar after corporate governance

Authors: Fabio Gallo Garcia; Ricardo Batista Cândido; Elmo Tambosi Filho

Addresses: Escola de Administração de Empresas de São Paulo da Fundação Getúlio Vargas (EAESP/FGV), Av. 9 de Julho, 2029, Bela Vista, São Paulo, SP, Brasil ' Escola Superior de Administração Marketing e Comunicação, R. Dr. Egídio Martins, 181, Ponta da Praia, Santos, SP, Brasil ' Methodist Univesity São Paulo/SP, R. Alfeu Tavares, 149, Rudge Ramos, São Bernardo do Campo, SP, Brasil

Abstract: The purpose of this study is to determine an econometric model forecasting the nominal exchange rate between the Brazilian Real and the US Dollar. Monthly data from January, 2005 through February, 2011 is used. The Dickey-Fuller (DF) and augmented Dickey-Fuller (ADF) for the existence of a unitary root in the series of the nominal exchange rate (R$/U$), the inflation differential between Brazil and the USA, as well as the interest rate differential between Brazil and the USA, which are integrated in first order, or I(1) are used. The econometric estimate is based on a methodology which considers the specification of a general model to a more specific one. According to the chow test, the forecast for six months is stable, indicating exante coefficients in a determined period of significance.

Keywords: nominal exchange rate; R$/U$; econometric modelling; co-integration; Brazilian real; US dollar; corporate governance; Brazil; USA; United States; econometrics; forecasting; inflation differential; interest rate differential; interest rates.

DOI: 10.1504/IJAUDIT.2015.070509

International Journal of Auditing Technology, 2015 Vol.2 No.3, pp.193 - 206

Received: 25 Aug 2014
Accepted: 10 Sep 2014

Published online: 08 Jul 2015 *

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