Uma série de relações de simultaneidade definem a estrutura de determinação dos preços no agregado para uma economia aberta. Além destas inter-relações a natureza das variáveis, seguindo trajetória não estacionárias quando individualmente analisadas mas de equilíbrio no sentido de que se movimentam conjuntamente no longo prazo, faz com que a estrutura para a análise empírica da relação entre a taxa de câmbio e os preços consista em um sistema complexo sobre o qual tem relevância tanto a dinâmica de curto quanto a dinâmica de longo prazo entre das variáveis. O objetivo deste trabalho é manter-se coerente a este contexto para obter estimativas do repasse cambial de longo prazo para os preços da economia brasileira. Isto é possível utilizando o arcabouço metodológico dos modelos Vetores de Correção de Erros (VCE), sendo assim, a principal contribuição deste trabalho consiste na aplicação da metodologia dos modelos Estruturais de Vetores de Correção de Erros (SVCE), introduzidos em King et. al. (1991). Além disso o trabalho discute a identificação do repasse cambial a partir das funções de resposta ao impulso para variáveis não estacionárias, obtidas para os modelos VCE e SVCE, por meio das quais é possível identificar o longo prazo e contrastar os diferentes resultados para o repasse cambial obtidos de acordo com este arcabouço metodológico. / There is a series of simultaneous relations that define the structure of pricing determination in aggregate for an open economy. Besides these interrelations, the nature of the variables, following non-stationary trajectory when analyzed individually but in equilibrium in the sense that, in the long run they move together, causes the structure to the empirical analysis of the relationship between the exchange rate and prices consists in a complex system over which has relevance both the short-run and long-term dynamics between the variables. The objective of this work is to remain consistent in this context to obtaining estimates of long-term exchange pass-through to the aggregate prices of Brazilian economy. This is possible using the methodological framework of the Vector Error Correction models (VEC), inside which, the main contribution of this work consists in applying the methodology of Structural Vector Error Correction models (SVEC), introduced in King et. al. (1991). Furthermore, the paper discusses the identification of exchange rate pass-through using the impulse response functions for non-stationary variables, obtained for the VEC and SVEC models, through which it is possible to identify the long-term exchange rate pass-through and compare the different results obtained according to this methodological framework.

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The law of one price (LOP) plays an important role as a building block in theories of international trade and exchange rate determination. It also serves as a measure of integration for international commodity markets. The LOP states that in competitive markets after adjustment for transportation costs and trade barriers, identical commodities sold in different countries should sell for the same price when their prices are defined in a common currency. The existing economic literature provides a vast body of theoretical and empirical investigations of the validity of the LOP. In general, previous evidence is mixed and there is no unanimous LOP support or refutation. The effects of exchange rate changes on agricultural outputs have been extensively studied, but the issue of the impacts on traded non-farm produced inputs has not been explored as much. This study investigates the impact of the exchange rate ($CN/$US) on the relative prices in U.S. and Canadian agricultural markets for five major farm outputs and four non-farm produced inputs, which are traded between these two closely integrated economies. Adherence to the LOP is evaluated by examining the pass-through effects of exchange rate changes on these prices using quarterly data. The sample covers the period of 1975 - 1999, when there were substantial exchange rate movements. Regression and cointegration techniques are utilized to estimate whether and at what rate exchange rate changes are transmitted to prices. The empirical results give rise to supportive evidence in favor of the LOP for the five farm outputs. The evidence is somewhat weaker for three of the four non-farm produced inputs, and the LOP is violated for one input. / Master of Science

This thesis analyzes the incomplete exchange rate pass-through effect on Mongolian economy and its implication on monetary policy under foreign and domestic shocks. The analysis is carried out in a small open economy New Keynesian DSGE model proposed by Monacelli (2005), where incomplete exchange rate pass-through is introduced via nominal rigidities on import prices. In order to accomplish the goal, we firstly derive the solutions of the model, calibrate the parameters, and finally simulate the impulse responses. Moreover, SVAR estimation is achieved to estimate the pass-through. Four main results are obtained. First, the exchange rate pass-through into import price and inflation is 0.69% and 0.49% respectively in short run, implying incomplete pass-through in Mongolia. Second, the exchange rate acts as a shock absorber for domestic productivity and foreign demand shock, but as a shock amplifier for domestic demand shock. Third, in case of incomplete pass-through the central bank of Mongolia is required to adjust the nominal interest rate more under the productivity shock, but less for the domestic and foreign demand shock. Finally, deviations from the law of one price contributes considerably to the variability of the output gap under the low pass-through. Therefore, considering incomplete pass-through in...

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).

This thesis investigates the role of the exchange rate and interest rate channels in the monetary transmission mechanism in Ukraine. The responses on the domes- tic as well as Russian economy shocks are estimated using the Vector Autoregression Model with block-exogeneity restriction. Monetary transmission did not prove to be strongly effective via neither of the estimated channels, although the exchange rate channel demonstrates the results which are more in line with the economic theory. In addition, the exchange rate channel shows the higher and more significant pass through. Further, we estimate the importance of the shocks of both home and for- eign economies for the domestic variables deviations using variance decomposition technique. The relevance of the Russian shocks in fluctuations of home variables is found out. The current estimation of the transmission mechanism is relevant due to the planned inflation targeting regime implementation in Ukraine which requires understanding of that processes in the economy. 1

O impacto de movimentos cambiais nos níveis de preços é de suma importância para a formulação de políticas econômicas. Nesse contexto, este trabalho tem como objetivo a utilização de uma nova metodologia para a estimação e cálculo do repasse para diferentes índices de preço no período de 2003-2017. Estudos anteriores nesse campo identificam ignoram as relações de longo-prazo presentes no sistema ou não utilizam as restrições dadas pela estrutura de cointegração do sistema. Assim a identificação dos choques estruturais é discutida a partir da premissa de separação entre choques permanentes e estruturais sendo que a mesma é fundamentada pela teoria com o auxílio de testes estatísticos. Além dessa estrutura não-recursiva, uma alternativa é apresentada a partir de estruturas recursivas de Cholesky de forma a tornar possível a comparação. Três distintas especificações são estimadas de maneira a gerar estimativas para o repasse aos preços de importação, no atacado e ao consumidor para o Brasil. Para a estrutura não recursiva os repasses para os preços de importação variam de 48 a 65% a depender da especificação sendo diferentes de completo no longo-prazo. Para os preços no atacado os repasses variam de 11 a 15% se mostrando em duas das três especificações estatisticamente diferentes de zero. Os repasses ao consumidor variam de 4 a 13% se mostrando estatisticamente diferente de zero em duas das três especificações. / The impact of exchange rate movements on price levels is of utmost importance for the formulation of economic policies. In this context, this paper aims to use a new methodology for the estimation and calculation of the pass-through for different price index in the period 2003-2017. Previous studies in this field identify ignore the long-term relationships present in the system or do not use the constraints given by the system cointegration structure. Thus, the identification of structural shocks is discussed from the premise of separation between permanent and structural shocks, and it is based on theory with the aid of statistical tests. In addition to this non-recursive structure, one is estimated from Cholesky\'s recursive structures in order to make the comparison possible. Three different specifications are estimated in order to generate estimates for the transfer of import, wholesale and consumer prices to Brazil. For the non-recursive structure, pass-through for import prices range from 48 to 65 % depending on the specification being different from complete in the long run. For producer prices, pass-through range from 11 to 15 % and in two of three specifications they are statistically different from zero. Pass-through to the consumer prices ranges from 4 to 13 % and it is statistically different from zero in two of the three specifications.

O impacto de movimentos cambiais nos níveis de preços é de suma importância para a formulação de políticas econômicas. Nesse contexto, este trabalho tem como objetivo a utilização de uma nova metodologia para a estimação e cálculo do repasse para diferentes índices de preço no período de 2003-2017. Estudos anteriores nesse campo identificam ignoram as relações de longo-prazo presentes no sistema ou não utilizam as restrições dadas pela estrutura de cointegração do sistema. Assim a identificação dos choques estruturais é discutida a partir da premissa de separação entre choques permanentes e estruturais sendo que a mesma é fundamentada pela teoria com o auxílio de testes estatísticos. Além dessa estrutura não-recursiva, uma alternativa é apresentada a partir de estruturas recursivas de Cholesky de forma a tornar possível a comparação. Três distintas especificações são estimadas de maneira a gerar estimativas para o repasse aos preços de importação, no atacado e ao consumidor para o Brasil. Para a estrutura não recursiva os repasses para os preços de importação variam de 48 a 65% a depender da especificação sendo diferentes de completo no longo-prazo. Para os preços no atacado os repasses variam de 11 a 15% se mostrando em duas das três especificações estatisticamente diferentes de zero. Os repasses ao consumidor variam de 4 a 13% se mostrando estatisticamente diferente de zero em duas das três especificações. / The impact of exchange rate movements on price levels is of utmost importance for the formulation of economic policies. In this context, this paper aims to use a new methodology for the estimation and calculation of the pass-through for different price index in the period 2003-2017. Previous studies in this field identify ignore the long-term relationships present in the system or do not use the constraints given by the system cointegration structure. Thus, the identification of structural shocks is discussed from the premise of separation between permanent and structural shocks, and it is based on theory with the aid of statistical tests. In addition to this non-recursive structure, one is estimated from Cholesky\'s recursive structures in order to make the comparison possible. Three different specifications are estimated in order to generate estimates for the transfer of import, wholesale and consumer prices to Brazil. For the non-recursive structure, pass-through for import prices range from 48 to 65 % depending on the specification being different from complete in the long run. For producer prices, pass-through range from 11 to 15 % and in two of three specifications they are statistically different from zero. Pass-through to the consumer prices ranges from 4 to 13 % and it is statistically different from zero in two of the three specifications.

<p>In the beginning of 1990s Sweden implemented several measures in order to maintain price stability. These measures have resulted in an environment in which inflation is lower and more stable. The same development could be seen in other OECD countries. At the same time a decrease in exchange rate pass-through was noticed in many countries. This has led researchers to believe that there may be a connection, between these two phenomena. This dissertation analyzes whether there has been any change in exchange rate pass-through for manufacturing products in Sweden between the high inflation period (1977-1993) and the low inflation period (1994-2006). The result shows that there is a difference in the exchange rate pass-through between the two periods. During the low inflation period the degree of pass-through was lower than during the high inflation period.</p>