The relationship between Brazilian Real and the US Dollar after corporate governance. (2015)

• Record Type: Journal Article
• Authors: Garcia, Fabio Gallo; CÁ¢ndido, Ricardo Batista; Filho, Elmo Tambosi
• Is Part Of: International journal of auditing technology. Volume 2:Number 3(2015)
• Page Start: 193
• Page End: 206
• Publication Date: 2015
• Subjects: nominal exchange rate -- R&amp -- #36 -- &amp -- #47 -- U&amp -- #36 -- -- econometric modelling -- co-integration -- Brazilian real -- US dollar -- corporate governance -- Brazil -- USA -- United States -- econometrics -- forecasting -- inflation differential -- interest rate differential -- interest rates; Information storage and retrieval systems -- Accounting -- Periodicals; Computer security -- Management -- Periodicals; Information technology -- Auditing -- Periodicals; 657.450285
• Languages: English
• ISSNs: 1757-8752

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.