Zugl.: Vallendar, WHU - Otto Beisheim School of Management, Diss., 2008

This dissertation contributes to the theoretical and empirical understandings of international transmissions of exchange rate shocks. It consists of three chapters. The first chapter extends Corsetti and Dedola (2005) and further allows for competition in retail networks. In the model, there are four types of firms interacting with each other including retailing manufacturers, non-retailing manufacturers, specialised retailers and nontradable good producers. The equilibrium depends on the interaction among these four types of firms, which leads to a dynamic and incomplete exchange rate pass through (ERPT) depending on the firms’ share of retail networks. With the standard calibration, the model can generate a high (4-5) long-run trade elasticity without conflicting with a low (0.5-1) short-run elasticity, suggesting that the dynamics of retail networks offer a potential explanation of the trade elasticity puzzle. Chapter 2 investigates the ERPT of Chinese exporters. We propose an estimator that utilises orthogonal dimensions to control for unobserved marginal costs and estimate destination specific markup adjustments to bilateral and multilateral exchange rate shocks. Our estimates suggest that the cost channel accounts for roughly 50% of conventional EPRT estimates. We offer new channels of heterogeneity in firms’ pricing behaviour and provide supporting evidence on the international pricing system. Chapter 3 aims to bridge the gap between theoretical and empirical works on ERPT. I propose a machine learning algorithm that systematically detects the determinants of ERPT. The proposed algorithm is designed to work directly with highly disaggregated firm-level customs trade databases as well as publicly available commodity trade flow datasets. Tested on the simulated data from a realistic micro-founded multi-country trade model, my algorithm is proven to have accuracies around 95% and 80% in simple and complex scenarios respectively. Applying the algorithm to China’s customs data from 2000 to 2006, I document new evidence on the nonlinear relationships among market structures, unit value volatility and ERPT.

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.

Submitted by Suethene Souza (suethene.souza@ufpe.br) on 2015-03-13T17:51:15Z No. of bitstreams: 2 TESE Igor Ézio Maciel Silva.pdf: 4052895 bytes, checksum: 6f288cfbb85d9ac4c6f6e33351290d98 (MD5) license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) / Made available in DSpace on 2015-03-13T17:51:15Z (GMT). No. of bitstreams: 2 TESE Igor Ézio Maciel Silva.pdf: 4052895 bytes, checksum: 6f288cfbb85d9ac4c6f6e33351290d98 (MD5) license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) Previous issue date: 2014-11-01 / CNPq / A formulação de políticas monetárias eficientes depende do entendimento dos seus diversos mecanismos de propagação. Alguns estudos procuraram analisar a operacionalidade de diferentes canais de transmissão para a economia brasileira, como, por exemplo, o canal tradicional da taxa de juros, o canal de crédito, canal de preço dos ativos e canal da taxa de câmbio, mas pouca atenção foi dada ao canal de custo. O canal de custo opera através da oferta agregada. Um aumento da taxa de juros promove aumento nos custos das firmas, o que gera incentivo para o aumento dos preços. Dessa forma, uma política monetária contracionista poderia promover um aumento do nível de preços ao invés de uma redução, fato este que tem sido documentado em estudos empíricos, sendo denominado como price-puzzle. O objetivo deste estudo foi analisar a operacionalidade do canal de custo da política monetária no Brasil, destacando o papel desempenhado pelos bancos. Para tanto, um modelo DSGE Novo-Keynesiano foi desenvolvido e estimado. Nesse modelo, o nível da taxa de juros para empréstimos cobrada pelos bancos influencia diretamente o custo das empresas. Além disso, o modelo incorpora rigidez no mercado financeiro (somente uma fração dos bancos reajusta sua taxa de juros para empréstimo a cada período), existindo a possibilidade de pass-through limitado da taxa de juros. O modelo procurou incorporar, também, o crédito direcionado, modalidade que representa boa parte dos empréstimos no Brasil. A inclusão do crédito direcionado é importante porque esta modalidade de crédito possui características diferenciadas que repercutem na capacidade da política monetária de alterar as condições de crédito. O modelo DSGE foi estimado pelo método da Distância Mínima (Matching). Nessa abordagem, estima-se primeiramente um modelo VAR de modo a obter as funções impulso-resposta das variáveis de interesse resultantes de um choque de política monetária. Em seguida, os parâmetros do modelo são ajustados de modo minimizar a distância entre as funções impulso-resposta empíricas e teóricas. Os resultados indicam que: o canal de custo desempenha um papel significativo na transmissão da política monetária no país, explicando o price-puzzle encontrado a partir da estimação do modelo VAR; não há evidência de pass-through incompleto da taxa de juros; e, o crédito direcionado reduz a capacidade da política monetária de alterar as condições de crédito.

Orientador: Mariano Francisco Laplane / Tese (doutorado) - Universidade Estadual de Campinas, Instituto de Economia / Made available in DSpace on 2018-08-11T00:26:41Z (GMT). No. of bitstreams: 1 Correa_AndreLuiz_D.pdf: 1186726 bytes, checksum: 056ba9c86d47af718ea6f46c48b5ffde (MD5) Previous issue date: 2008 / Resumo: Esta tese analisa empiricamente os impactos de variações cambiais sobre os preços de exportação e os preços industriais domésticos, desagregados setorialmente, no Brasil durante o período 1995-2005, levando em consideração a inserção externa da economia em um contexto de ampliação da internacionalização após o processo de reestruturação produtiva implementado ao longo da década de 1990. O referencial teórico incorpora trabalhos sobre o tema do exchange rate pass-through que privilegiam aspectos ligados à estrutura de comércio e à estratégias de empresas estrangeiras operando em diversos mercados. Os coeficientes de pass-through referentes aos preços de exportação indicam que os maiores repasses ocorrem em setores produtores de bens de menor conteúdo tecnológico em que o Brasil possui posição comercial relativamente forte, ao passo que parte dos setores produtores de manufaturados apresentam coeficientes de repasse cambial reduzido. Em relação ao preçõs industriais domésticos, os maiores coeficientes de passthrough foram observados em setores produtores de manufaturados, geralmente importadores de componentes intermediários dotados de maior conteúdo tecnolóico. Os resultados refletem em grande medida a inserção comercial brasileira, indicando que desvalorizações cambiais não possuem o mesmo efeito para todos os setores em termos de elevação da competitividade / Abstract: This work analyses the impacts of changes in exchange rates on domestic and export prices in Brazil during the 1995-2005 period. The main theoretical references take into account microeconomic aspects of international trade, like market structure and the role of transnational corporations. The findings suggest that exchange rate pass-through to export prices of less complex goods, like commodities, tends to be higher. Regarding more complex goods, like automobiles and machinery, the results indicate reduced pass-through, notwithstanding the high pass-through to prices of electronics and other vehicles. Concerning domestic prices, the results are quite different: estimates indicate higher exchange rate pass-through to prices of more complex goods. In general, these sectors present expressive consumption of imported intermediate goods, like electronics, chemical industry and pharmaceutical products. To some extent, these results reflect the structure of the Brazilian international trade / Doutorado / Teoria Economica / Doutor em Ciências Econômicas

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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

Cette thèse est consacrée à l’étude de transmission de la politique monétaire dans la zone Euro, en traitant le canal du taux d’intérêt et le canal du crédit. La démarche suivie consiste à combiner des approches théoriques et empiriques de façon à mettre en évidence empiriquement l’hétérogénéité de transmission au sein de la zone euro et l’existence du canal du crédit. Le premier chapitre consiste à étudier le pass-through aux taux bancaires. D’après les résultats, le processus de transmission semble bien influencé par la spécificité des pays de la zone euro. Les niveaux et les vitesses de transmission restent en effet hétérogènes, le niveau du pass-through est incomplet dans la plupart des cas et il a diminué au cours de la période étudiée, en particulier après la crise financière. Le deuxième chapitre est consacré à l’étude des déterminants de la transmission. D’après les résultats, l’hétérogénéité de la transmission se trouve son origine dans les différences des structures des banques et des marchés bancaires et dans les différences de l’intégration bancaire. Le dernier chapitre est consacré à examiner le canal du crédit dans la zone euro en distinguant la réaction des banques sur la bas de la taille, la capitalisation et la diversification bancaires. Les résultats confirment l’existence du canal du crédit dans la zone euro qui s’avère plus important après la crise financière, et montre aussi que la taille et la capitalisation bancaire jouent un rôle important dans la réaction des banques aux chocs monétaires. Cette présente thèse a apporté de nouveaux résultats par rapport à la littérature et elle a montré que le pass-through résultant de l’estimation du modèle MCE en seule étape est supérieur pour certains cas à celui du modèle en deux étapes, ainsi que le canal du crédit semble jouer un rôle plus considérable pendant la période de la crise. / The aim of this thesis is to study the transmission of monetary policy in the Euro Zone, by treating the channels of interest rate and credit. The approach consists of combining theoretical and empirical approaches in order to empirically highlight the heterogeneity of transmission within the Euro Zone and the existence of the credit channel. The first chapter dilates on the study of pass-through through banking rates. According to results, the process of pass-through seems well influenced by the specificity of the countries of Euro Zone. The levels and speeds of transmission remain heterogeneous; the level of pass-through is incomplete in most cases and decreases during the period under study, in particular after the financial crisis. The second chapter is devoted to investigate the determinants of transmission. According to results, the heterogeneity of transmission finds its origin in the differences of the structure of banks, banking markets, and in the differences of banking integration. The final chapter examines the channel of the credit in the Euro Zone by distinguishing the reaction of banks on the basis of size, capitalization, and diversification. The results confirm the existence of credit channel in the Euro Zone, which proves to be even more important after the financial crisis, and also shows that the size and capitalization of the banks play a significant role in the reaction of the banks to the monetary shocks. This thesis produces new results compared to the literature and it shows that the pass-through resulting from the estimate of ECM model in one stage is higher for certain cases, as well as the credit channel seem to play a more considerable role during the period of the crisis.

La thèse explore la transmission des variations du taux de change aux prix d’importation, un phénomène que l’on appelle « pass-through » du taux de change. Ce dernier a été et sera au centre des débats économiques, plus particulièrement en ce qui concerne la politique monétaire, car elle conditionne la propagation des différents chocs au niveau international. Pour ce faire, nous utilisons des données individuelles sur les firmes importatrices françaises qui nous ont été fournies à titre confidentiel par l’Institut National de la statistique et des Études Économiques (INSEE) ainsi que de nouveaux indices de prix à l’importation, et non des indices de valeur unitaire, pour plusieurs pays de la zone Euro. A travers différentes approches, à la fois empirique et théorique, nous avançons quelques faits stylisés concernant les prix à l’importation et trouvons que le pass-through du taux de change est incomplet à court terme et complet à long terme. La transmission incomplète à court terme est surtout liée à l’existence du phénomène de rigidité nominale. De plus, nous montrons l’important rôle que joue la monnaie de facturation dans l’étendue du pass-through. En termes de politique monétaire, et à travers un modèle DSGE multi-pays, nous avançons que la rigidité nominale implique que l’impact d’une variation du taux de change sur la variation du prix à l’importation est faible et persistent. Combiné avec l’existence d’un biais de consommation de biens domestiques, l’impact sur la variation du prix à la consommation est fortement réduit, permettant ainsi aux autorités monétaires de poursuivre une politique de stabilisation de l’inflation avec peu d’action. D’autant plus que la stabilisation de l’écart à la loi du prix unique ne peut se faire qu’au détriment de l’écart de production. / The thesis explores the transmission of exchange rate movements into import prices, the phenomenon known as “exchange rate pass-through”. This phenomenon is at the heart of open macroeconomics. For policy makers, it is an important issue when making appropriate decisions in terms of economic policy (in particular monetary policy and exchange rate regime). Analysis of the exchange rate pass-through is conducted using unpublished micro-data of import prices made available to us by the French National Institute of Statistics and Economic studies (INSEE) and new database of actual import price data, and not unit value indices, for several Euro-area countries. Using different both empirical and theoretical approaches, we provide some new stylized facts on import prices and show evidence in favor of incomplete pass-through in the short run but complete at the long run. Mainly, we argue that incomplete pass-through is the result of nominal import price rigidity. Moreover, we show the important role of the currency invoicing strategy of firms in determining the extent of exchange rate pass-through. In terms of monetary policy, we argue using a multi-country DSGE model, that nominal rigidity induces a persistent but lower impact of the exchange rate changes on import price inflation, which combined with the home consumption bias imply that the monetary authority could pursue a stable inflation target with less action. This is reinforced by the trade-off between output and law of one price gap stabilization generated by the new independent channel of monetary policy arising from incomplete ERPT assumption.

Cette thèse évalue les interactions entre le système européen d’échange de quotas de CO2 et les marchés de l’électricité sur la période 2005-2012. Elle est réalisée à partir d’instruments économétriques et de modélisation, permettant d’expliquer les évolutions observées des marchés et de dégager des enseignements pour la conduite des politiques futures. L’analyse ex-post de l’introduction d’un prix du carbone sur les marchés électriques en Europe fait apparaître trois types d’interactions : sur la formation des prix de l’électricité ; sur les choix techno-économiques et les émissions de CO2 ; sur la formation des rentes électriques. Les estimations empiriques mettent en évidence que le degré de répercussion du prix du carbone sur les prix de l’électricité n’est généralement pas homogène mais varie selon les périodes et les marchés en fonction d’une combinaison de facteurs. Les impacts du prix du carbone sur le mix technologique et les émissions de CO2 du secteur électrique sont estimés à partir du modèle de simulation ZEPHYR-Elec, qui a pour objet de reproduire l’équilibre de court terme offre-demande d’électricité. Les réductions d’émissions de la production électrique induites par le marché européen des quotas représentent 3% à 5% des émissions contre-factuelles. Depuis 2012, le prix du carbone ne permet plus de compenser le différentiel de prix gaz-charbon en Europe. Les effets distributifs du prix du carbone sur le secteur électrique sont introduits dans le modèle ZEPHYR-Elec à partir d’une représentation analytique de la formation des rentes. Les estimations suggèrent que les profits du secteur électrique sont globalement plus élevés du fait du prix du carbone, y compris en cas d’allocation aux enchères des quotas. / This thesis is an evaluation of the interaction between the European Union Emissions Trading Scheme and electricity markets over the period 2005-2012. It rests on econometric and modelling instruments to both explain the development of markets and draw lessons for the conduct of future policies. The ex-post analysis of the introduction of a carbon price into electricity markets in Europe unveils three types of interactions with: the formation of electricity prices; the technical and economic choices and CO2 emissions; the formation of electricity rents. Empirical estimates show that the degree to which the carbon cost is passed on through electricity prices is generally not homogeneous but rather varies over both time and markets, contingent upon a combination of factors. The impacts of the carbon price on both the technological mix and the CO2 emissions from the power sector are estimated using the simulation model ZEPHYR-Elec, which aims at replicating the short-term equilibrium between electricity supply and demand. Emission reductions in the electricity sector induced by the European carbon market amount to between 3% and 5% of counterfactual emissions. From 2012 on, the carbon price has not been high enough to compensate for the gas-to-coal price differential in Europe. Distributional effects of the carbon price on the electricity sector are introduced into the ZEPHYR-Elec model using an analytical representation of the formation of rents. Estimates suggest that profits made by the electricity sector are generally higher with a carbon price in place, including when allowances are auctioned.