A presente dissertação discute o repasse cambial para o IPCA na economia brasileira durante o período compreendido entre janeiro de 1999 e dezembro de 2007. A ampla maioria dos trabalhos que versam sobre este tema aborda a redução do repasse após a adoção do regime de metas de inflação e/ou tem como único foco o impacto das desvalorizações cambiais no aumento dos índices de preços. Este trabalho, por outro lado, aborda de maneira explícita o papel da valorização do Real sobre a variação do IPCA no período recente, configurando o que denominamos de repasse cambial reverso. Para tanto, estimamos o repasse cambial por meio de um modelo de vetores auto-regressivos tanto para o referido período (1999-2007), quanto para outros dois recortes temporais: entre janeiro de 1999 e junho 2003 (amostra 1), período no qual se verifica uma tendência de desvalorização cambial e aumento de preços; e de julho de 2003 a dezembro de 2007 (amostra 2), período caracterizado pelo processo inverso, de valorização da taxa de câmbio e de cumprimento das metas de inflação na maioria dos anos. Os principais resultados foram: (i) no longo prazo os coeficientes de repasse cambial para o IPCA para as duas amostras foram superiores àqueles verificados para o período completo; e (ii) o repasse estimado para a amostra 2 foi bem elevado, ainda que inferior àquele obtido para a amostra 1. Estes resultados reforçam o argumento de que a taxa de câmbio desempenhou um papel proeminente no controle da inflação no período 2003-2007. / The present dissertation discusses the exchange rate pass-through to the headline inflation index, i.e. extensive national consumer price index (IPCA) in the Brazilian economy between January 1999 and December 2007. The vast majority of works dealing with this issue addresses the reduction of the pass-through after the adoption of the inflation targeting regime and / or focuses on the impact of exchange rate devaluation over the price index. This work, alternatively, discusses the role of the Brazilian currency appreciation in the recent period, resulting in what was labeled as reverse exchange rate pass-through. Thus, we have used a model of auto-regressive vectors to estimate the exchange rate pass-through for the full period (1999-2007), and for two other periods: between January 1999 and June 2003 (sample 1), during which there was a tendency for devaluation and increase in domestic prices, and from July 2003 to December 2007 (sample 2), that was a period characterized by the reverse process, that is exchange rate appreciation and in the most cases the achieving of the inflation targets. The main results were: (i) in the long run the exchange rate pass-through coefficients to IPCA of the two samples were higher than those observed for the full period, and (ii) the pass-through estimated for the sample 2 was very high, despite the fact that it was lower than that obtained for the sample 1. Those results reinforce the argument that the exchange rate played a prominent role in controlling inflation in the period 2003-2007.

Esta dissertação teve como objetivo analisar teórica e empiricamente o repasse das oscilações cambiais para os níveis de preços no Brasil, através da estimação do pass-through. O período analisado foi de 1994 a 2014, com foco no período de taxa de câmbio flexível. O pass-throughfoi estimado em duas abordagens distintas, através de um OLS em janelas fixas (rollingwindows) onde os parâmetros são fixos no tempo e através de um modelo com parâmetros variáveis no tempo, pelo Filtro de Kalman. Os resultados apresentaram evidências de uma queda do repasse com a adoção do regime de câmbio flutuante, um repasse cambial menor após apreciações do que após depreciações eque reações do IGP-DI do IPA são mais rápidas e intensas a choques da taxa de câmbio que o IPCA. / This dissertation analyzed theoretically and empirically the pass-through from exchange ratetoinflationin Brazil. The analyzed period extends from 1994 to 2014, focusing on the floating exchange rate regime. Two methodologies were employed: i) an OLS through rolling windowsin which the parameters are fixed in time and ii) aKalman filter, with varying-parameters. The results suggested a lower pass-through since the adoption of a floating exchange rate regime andalso a lower pass-through after an appreciation then after depreciations. In addition, responses of the IGP-DI and IPAfrom exchange rate shocks are faster and more intense thanthose of IPCA.

Esta dissertação teve como objetivo analisar teórica e empiricamente o repasse das oscilações cambiais para os níveis de preços no Brasil, através da estimação do pass-through. O período analisado foi de 1994 a 2014, com foco no período de taxa de câmbio flexível. O pass-throughfoi estimado em duas abordagens distintas, através de um OLS em janelas fixas (rollingwindows) onde os parâmetros são fixos no tempo e através de um modelo com parâmetros variáveis no tempo, pelo Filtro de Kalman. Os resultados apresentaram evidências de uma queda do repasse com a adoção do regime de câmbio flutuante, um repasse cambial menor após apreciações do que após depreciações eque reações do IGP-DI do IPA são mais rápidas e intensas a choques da taxa de câmbio que o IPCA. / This dissertation analyzed theoretically and empirically the pass-through from exchange ratetoinflationin Brazil. The analyzed period extends from 1994 to 2014, focusing on the floating exchange rate regime. Two methodologies were employed: i) an OLS through rolling windowsin which the parameters are fixed in time and ii) aKalman filter, with varying-parameters. The results suggested a lower pass-through since the adoption of a floating exchange rate regime andalso a lower pass-through after an appreciation then after depreciations. In addition, responses of the IGP-DI and IPAfrom exchange rate shocks are faster and more intense thanthose of IPCA.

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)

Doctor of Philosophy / Department of Agricultural Economics / Glynn T. Tonsor / The U.S. beef industry is comprised of multiple, vertically connected segments. Beginning at the cow-calf level, cattle move through the industry to backgrounding/stocker operations, feedlots, and then to beef packers. The beef produced then continues to move through the marketing channel from beef packers to wholesalers and on to multiple final consumer outlets. Each level of the beef industry has both distinct and related economic issues. This dissertation contains three essays on beef cattle economics. Essay 1 focuses on price and animal health risk management at the feedlot level. Essays 2 and 3 explore how upstream demand changes impact primary beef suppliers. The objective of Essay 1 is to determine if feedlot operators manage price risk and animal health risk as two separate and independent risks or if they manage them jointly. The animal health attribute of interest is purchasing feeder steers from a single known source versus an auction with unknown background. The output price risk mitigation tools are futures contracts, forward contracts, other, and accept cash price at time of sale. Primary data is collected using an online survey administered to feedlot operators. Participants are placed in forward looking, decision making scenarios utilizing a split-sample block design. Evidence of a relationship between animal health risk and output price risk management is mixed. Ricardian rent theory (RRT) is tested in Essay 2 to determine if complete pass-through occurs from fed cattle and corn prices to feeder cattle prices. Monthly price data from December 1995 to December 2016 is used. Based on RRT, surplus rents should pass through the market to the holder of the scarcest resource. In cattle markets, feeder calves are the scarcest, widely traded resource and thus gains and losses at the feedlot theoretically pass-through to feeder cattle prices. The hypothesized pass-through rates suggested by RRT is calculated using monthly production data from the Focus on Feedlots data series. The regression pass-through estimates are tested against the hypothesized RRT pass-through. In many models, the estimated pass-through rate is statistically greater than the RRT hypothesized pass-through rate. Thus, when fed cattle or corn prices change, these changes are more than fully passed to cow-calf producers through the feeder cattle price. Evidence is found of asymmetric pass-through during times of herd expansion versus contraction. Essay 3 provides a quantification of how changes in retail and export beef demand are transmitted to different members of the beef industry. Understanding how information is transmitted from primary consumer demand through the supply chain is key for long-term prosperity of the U.S. cattle industry. However, empirical applications quantifying how demand signals are transmitted through vertically connected industries are limited. Using both naïve and forward looking price expectations, a four equation system of inverse demand and supply equations for live and feeder cattle is estimated. Using retail and export beef demand indices, the impacts of 1% change in retail or export demand on live cattle and feeder cattle prices are quantified.

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.

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...

TESIS PARA OPTAR AL GRADO DE MAGISTER EN ANÁLISIS ECONÓMICO / En los últimos quince años, tanto las autoridades de libre competencia como la literatura han entregado una mayor importancia a la incorporación del pass-through en los casos de colusión. En la estimación de pass-through, varios artículos han expuesto diferentes sesgos a los que se incurre si ésta se estima de forma reducida (estimación más común en la literatura para el pass-through). Esta tesis busca reafirmar la importancia de incluir las estimaciones de pass-through con motivo de estimar los perjuicios en colusión e inspeccionar parte de los sesgos que ocasiona la estimación en forma reducida. En específico, se revisa estos sesgos en un caso aplicado en Chile, investigando en profundidad asimetrías en la estimación de pass-through. Las contribuciones de la investigación se basan en primer lugar, en aportar a la discusión del país sobre un tema que no es analizado localmente. El segundo aporte se basa en observar asimetrías de pass-through en las respuestas de los competidores gracias a un shock heterogéneo en los costos marginales. Para evaluar lo anterior, se utilizan técnicas comúnmente utilizadas en la organización industrial empírica, esto es: estimar la demanda en el mercado final, recuperar los costos marginales y, realizar diferentes contrafactuales suponiendo variados shocks. Los resultados permiten identificar que el efecto pass-through es relevante para evaluar los perjuicios en colusión y, que existe gran heterogeneidad en las respuestas que causa un shock en los costos. El resultado más importante muestra que si hay un shock en costos específico para una marca, solamente los productos con mayor sustitución cambian sus precios finales en la misma dirección que lo realiza la marca afectada, mientras que los productos que no son sustitutos cercanos mantienen sus precios. La heterogeneidad de los shocks y de las respuestas no puede capturarse con estimaciones de forma reducida, esto provoca que los perjuicios estimados, en la mayoría de los casos, se alejen de los reales.

Cette thèse met en évidence l’aspect macroéconomique du degré de report du taux de change sur les prix dans la zone euro. Nous utilisons un large éventail de méthodes économétriques récentes afin de fournir des mesures robustes sur la transmission du taux change ainsi que sur ses déterminants macroéconomiques. Notre recherche révèle le rôle prépondérant des facteurs macroéconomiques dans le déclin récent du degré de report. Une conséquence directe de ce résultat est que la baisse du taux de transmission du change n’est pas nécessairement un phénomène structurel, et il peut être ainsi résolu par des politiques macroéconomiques conjoncturelles. Par exemple, l’adoption de régimes de politique monétaire plus crédibles avec l’engagement de maintenir une inflation faible joue un rôle important dans la réduction de la sensibilité des prix aux variations du change. Ceci est particulièrement valable pour les pays dont les politiques macroéconomiques sont historiquement laxistes. Ainsi, la poursuite de politiques économiques solide et lisible au sein de l’UEM peut être un outil efficace pour réduire le degré de report du taux de change / This thesis highlights the macroeconomic aspect of the exchange rate pass-through to domestic prices in the euro area countries. We use a wide range of up-to-date econometric methods in order to provide robust measures of the rate of pass-through as well as to shed further light on its macro determinants. The main finding of our research is the prominent role of macroeconomic forces in driving the recent declin of the transmission of currency movements. A direct consequence of this result is that the lowering in the rate of pass-through is not necessarily a structural phenomenon and it may be solved via macroeconomic policies. For instance, the shift to a more stable monetary policy conditions with credible and anti-inflationary regime would reduce the sensibility of prices to exchange rate changes. This is especially true for countries with historically poor macroeconomic policies. Thus, a better macroeconomic management with a sounder set of policies within the EMU may be an effective tool for reducing the degree of pass-through

In 1990, the U.S. Congress approved an increase in the federal excise tax on beer from $9 to $18 per barrel. This tax was required to be paid by all brewers and importers, on all produced units as of January 1991. The hike, which was equivalent to an additional 65 cents in federal taxes per 288 ounces (a 24 pack), represented the largest federal tax increase for beer in U.S history. Interestingly, retail prices increased by an average of $1.40 per pack; that is, the tax pass-through was “over-shifted” by approximately 115% (i.e. 75 cents above the 65 cent increase). Economic theory raises questions about the standard assumption that the pass-through rate of alcohol taxes to consumer prices is equal to 100%, but does not provide exact predictions. This study analyzes the determinants of tax over-shifting observed as a result of the 1991 federal tax increase on U.S. beer production. This thesis reports cross-sectional OLS regressions where several variables at the market, firm and brand level are used to explain the change in the nominal price of beer between the last quarter of 1990 and the first quarter of 1991. After controlling for as many factors as the available dataset permits, a robust result across specifications is that non–price vertical restraints (exclusive territory and exclusive dealing contract between beer manufacturers and beer distributors), advertising expenditures (a proxy for product differentiation) and the number of brands are important determinants of pass-through rate. While the three determinants appear to be statistically significant, it is the first two that seem to be of greater economic importance. The fact that vertical restraints are associated with a smaller pass-through rate is consistent with the idea that vertical restraints can serve to mitigate the double marginalization problem; the reason for this interpretation is that theoretical work suggests that a more severe double-marginalization problem can magnify the pass-through rate. Conversely, the effect of advertising is consistent with the theoretical notion that less price-elastic (i.e. more heavily advertised) products will experience a higher pass-through rate. Together, advertising expenditures (evaluated at the mean of the data) and the absence of vertical restraints, can account for $1.075 out of the $1.40 price increase (i.e. 76.8% of the pass-through rate).