One of the reasons typically given for the recent currency appreciation in Brazil is the expansion of the public spending. Apparently, this statement is theoretically supported, after all, the models generally suggest that an increase of government consumption implies real foreign exchange appreciation. However, much of the empirical evidence suggests the opposite. Moreover, government consumption, both for its level or its variation, doesn’t seem to be the most relevant account in public spending in Brazil. For that reason, it is also worth looking for investment and transfers, hitherto largely ignored in theoretical and empirical literature. The objective of this study is therefore to investigate empirically, through various methodologies, the effect of the federal’s government consumption, investment and transfers on the real effective exchange rate in Brazil. In general, we found no significant effect.