Paridade do poder de compra entre Moçambique e África do Sul: evidência empírica 1998 - 2006

Abstract

The present work aims to study the Purchasing Power Parity between Mozambique and South Africa. Through the Engle-Granger two-stage representation theorem, this work seeks to investigate the long-term relationships between domestic prices, the rate of the metical exchange rate against the rand (MT/ZAR) and South African prices as well as their short-term dynamics. The work also seeks to investigate the stability of this relationship between prices and the exchange rate as well as the predictive capacity of the model outside the sample. Using time series data, covering the period from January 1998 to March 2006, the main results suggest that: Purchasing Power Parity between Mozambique and South Africa is valid at least in the long run; According to the error correction mechanism model, about 20% of the imbalances in the exchange rate variation (MT lZAR) in the previous period are corrected in the following month; The stability and prediction tests show that the long term dc model used here has a poor prediction performance for long time horizons however it has a predictive capacity for 12 months after an exogenous shock, on the other hand, the dc Chow test shows that there was a structural break in the exchange rate (MT/ZAR) in the year 2000 (just after the floods). These results imply that in the long run both domestic prices, South African prices and the MT/ZAR exchange rate will be integrated or converging towards the same equilibrium; On the other hand, the results of the error correction mechanism model indicate that the rate of adjustment of the exchange rate after a shock is very low, although significant; Stability tests indicate that it is always necessary to take into account structural changes in the economy when one wants to predict movements in the exchange rate (MTIZAR) under the risk of obtaining biased and unstable parameters.(TRADUÇÃO NOSSA)