<p>I den här uppsatsen har jag undersökt hur pass-through effekten har förändrats i svenska importpriser på aggregerad nivå och i sju olika industrier. Pass-through effekten definieras som den procentuella förändringen i ett pris som kan härledas till en enprocentig växelkursförändring. Jag har använt rullande regressioner på två olika modeller för att estimera förändringar över tidsperioden 1980 – 2003. Resultaten visar en nedgång i pass-through effekten i flertalet industrier både på kort och lång sikt. Men på aggregerad nivå visar resultaten att effekten inte har förändrats nämnvärt över tiden. På kort sikt visar de båda metoderna liknande resultat, men på lång sikt finns det en skillnad dem emellan. En av modellerna visar en fördröjning i den långsiktiga pass-through effekten, vilket kan förklaras med att prissättningen inte är effektiv och att det finns störningar på marknaden.</p>

I den här uppsatsen har jag undersökt hur pass-through effekten har förändrats i svenska importpriser på aggregerad nivå och i sju olika industrier. Pass-through effekten definieras som den procentuella förändringen i ett pris som kan härledas till en enprocentig växelkursförändring. Jag har använt rullande regressioner på två olika modeller för att estimera förändringar över tidsperioden 1980 – 2003. Resultaten visar en nedgång i pass-through effekten i flertalet industrier både på kort och lång sikt. Men på aggregerad nivå visar resultaten att effekten inte har förändrats nämnvärt över tiden. På kort sikt visar de båda metoderna liknande resultat, men på lång sikt finns det en skillnad dem emellan. En av modellerna visar en fördröjning i den långsiktiga pass-through effekten, vilket kan förklaras med att prissättningen inte är effektiv och att det finns störningar på marknaden.

My dissertation studies various questions falling into the broad context of macroeconomics and international economics. The questions have macroeconomic components because they are concerned with the behavior of aggregates. Specifically, the second and third chapters of my dissertation study the causes of fluctuations in aggregate macroeconomic variables and the way policy can be coordinated internationally to reduce these fluctuations, respectively. In addition, chapters III and IV address questions that fall into the realm of international economics. They are concerned with the optimal exchange rate regime between two countries, the consequences of partial exchange rate pass-through and the effect of an increase in vertical Foreign Direct Investment (FDI) by domestic firms. The framework of my analysis is given by different versions of general equilibrium models. The second chapter of my dissertation decomposes fluctuations in aggregate observables for the UK economy during the 1980s recession. Using a modern accounting procedure, I estimate parameters that describe the economy using annual data from 1970 to 2002. Then, I simulate different versions of the model to find the distortions that are essential in driving the observed fluctuations. I find labor market distortions to be crucial in accounting for the episode, suggesting that the policies of the time were well targeted and effective. The third chapter of my dissertation studies policy coordination in a two-country framework allowing for partial pass-through. In particular, both countries are assumed to have monetary and fiscal stabilization instruments available. The optimal setting of these instruments under differing pass-through regimes is analytically derived. Fiscal policy is found to be used in a counter-cyclical fashion. In addition, the magnitude of fiscal stabilization is the largest when pass-through is partial. In the fourth chapter, I study the consequences of vertical FDI on aggregate productivity and welfare. The framework allows for heterogeneity across firms in two dimensions. It is firms that are at a disadvantage with respect to manufacturing costs that are benefiting most from moving their production process abroad. Overall, the ability to engage in vertical FDI increases productivity, lowers prices and thus increases welfare.

Univ., Diss.--Bern, 2007.

In this study, exchange rate pass-through into the export prices and import prices is analyzed separately at the disaggregate level. The study also attempts to differentiate exchange rate pass-through in the short-run and long-run. To analyze pass-through in the short-run, dynamic modeling is used. To analyze pass-through in the long-run, cointegration analysis is conducted. Estimation results show that exchange rate pass-through into the import prices is complete even at the disaggregate level. However, there is variation in the pass-through into the export prices across sectors both in the short-run and long-run. Not all exporting sectors, even in a small open economy like Turkey, are price takers in the foreign markets.

This study investigates the degree of exchange rate pass-through to prices in different sectors for Turkish economy using Johansen Cointegration procedure. The study is based on quarterly data from 1994:1 to 2003:4. In this study it is concluded that the long-run exchange rate pass-through to overall wholesale prices for Turkey is very high and nearly complete. High pass-through degrees are also valid for different sub-sectors wholesale prices like private, public, manufacturing industry and energy. Moreover, it is detected that the prices set by public sector have higher exchange rate pass-through but longer adjustment period as compared to private sector prices.

Recentemente, importantes questionamentos emergiram na literatura sobre repasse cambial. Mais especificamente, foi dada crescente atenção à hipótese de Taylor (2000) de que o pass-through se reduziu em diversos países como conseqüência do ambiente de inflação mais baixa. Esta dissertação investiga o tema através da aplicação de painéis dinâmicos para um conjunto de economias desenvolvidas. Deste modo, são estimados modelos de efeito fixo e Arellano-Bond em janelas fixas (rolling windows), que apontam para uma redução substancial na transmissão do câmbio para a inflação. A análise de potenciais determinantes macroeconômicos dessa queda indica que o ambiente inflacionário foi o principal elemento por trás do fato, sobretudo nos anos oitenta e noventa, em que o processo de desinflação foi mais intenso. Por outro lado, os anos dois mil apresentam um coeficiente de pass-through bastante baixo e estável, visto que o cenário de inflação baixa já estava consolidado para o conjunto de economias analisadas. / Recently, economists have become more interested in studying exchange rate pass-through. More specifically, increasing attention has been given to Taylors (2000) hypothesis that the passthrough has declined in several countries as a result of a lower inflation environment. This dissertation examines this issue through the application of dynamic panels for a number of developed economies. Panel data models are estimated here using fixed effects and Arellano- Bond estimators in rolling windows. The results point to a substantial reduction in the transmission of exchange rate to inflation. The analysis of potential macroeconomic determinants of this decline indicates that the inflationary environment was the main factor behind this fact, mainly in the eighties and nineties when the disinflation process was more intense worldwide. On the other hand, in the first decade of this century the pass-through coefficient was fairly low and stable, perhaps because the scenario of low inflation was already a longstanding reality to the economies analyzed in the present study.

Esse trabalho propõe testar a presença de hysteresis na demanda por importações e no repasse cambial para o preço das importações, no período de 1996 a 2008 no Brasil, utlizando dados em painel para 29 setores industriais. Os testes para a presença de hysteresis baseiam-se no conceito de hysteresis forte fornecido pelo modelo de Preisach (1938), captadas a partir de variáveis representativas do fenômeno calculadas a partir do algoritmo de Piscitelli et al (2000). As estimações utilizam a metodologia convencional em painel, bem como métodos de estimação considerando a possibilidade de cointegração entre as variáveis. Os resultados evidenciaram a presença de hysteresis no preço e no quantum importados. Como teorizou Dixit (1989), o grau de pass-through reduz na presença do fenômeno histerético. Além disso, obtivemos que o grau de repasse cambial para o preço das importações diminuía sob a presença de hysteresis, conforme proposto por Dixit. / This research proposes to test the hysteresis hypothesis on the Brazilian import demand and the exchange rate pass-through from 1996 to 2008 in a panel from 29 industrial sectors. The hysteresis test is based on the strong hysteresis concept from Preisach model, measured by algorithm from Piscitelli et al (2000). The methodology focus on the traditional panels method and the cointegration relationship. The results indicate the presence of hysteresis at both equations. Besides, the exchange rate pass-through estimated reduced in the presence of hysteresis as proposed by Dixit (1989).

Magister Commercii - MCom / This mini-thesis examines the speed and magnitude of exchange rate pass-through to domestic prices in South Africa. The shift from fixed exchange rate regimes to a system of floating exchange rates by many countries after the collapse of the Bretton Woods system increased the role of the exchange rate in the determination of inflation. In theory, exchange rate depreciation causes inflation via a process called exchange rate pass-through (ERPT). The effect of exchange rate variations on inflation is of special interest to policy makers especially for countries under inflation targeting regimes. The knowledge of the speed and magnitude of ERPT to domestic inflation (import, producer and consumer inflation) is important in the designing of an optimal monetary policy mix which is needed to ensure price stability. South Africa is one of the countries that moved to an inflation targeting regime under a system of a floating exchange rate. This study therefore aims to empirically determine the speed and magnitude of ERPT to domestic prices in the short run and long run using VAR and VEC models. The empirical results show that ERPT to import prices is immediate and moderately high reaching a peak of about 45% and 47% within three quarters for the VAR and VEC models respectively. In contrast, ERPT to producer and consumer prices is gradual and low. For instance, long-run ERPT is below 30% for producer prices and around 20% for consumer prices. Moreover, the results indicate a high pass-through (above 75%) of producer price shocks to consumer prices. In sharp contrast, the extent of pass-through of import price shocks to consumer prices as reported in the VECM is low at approximately 10% in the short run and declining to approximately 2% in the long run. / National Research Foundation (NRF)

Purpose - this study is aimed at to investigating the effects exchange rate and other variables on foreign direct investment (FDI) inflows have on the Namibian economy. Methodology -The model comprises of the unit root test, the co-integration test, the long run equation co-efficient, an error correction model, the normality test and the stability test, were employed to estimate and interpret the results. Finding and recommendations - The results of the study have revealed that a relationship exists between exchange rate and FDI. However, this relationship is said to be statistically insignificant. It cannot therefore be used as a tool to influence FDI in Namibia. The results further indicated that GDP and trade openness were the most significant determinants of FDI in Namibia. The recommendations of this study thus suggest that the government should implement policies to diversify its production across all sectors and increase the manufacturing of finished goods, so as to enhance the GDP growth. Namibia should further advance its trade open through in-creased and fast-tracked trade agreements at both bilateral and multilateral levels.