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A segmentação dos mercados internacionais permite a existência do pricing-to-market, hipótese inicialmente formulada por Krugman (1986). O primeiro objetivo deste trabalho foi testar o pricing-to-market realizado pelos exportadores brasileiros entre 1999 e 2012 utilizando dados para 26 setores industriais. À partir do modelo de Marston (1990), a sua estratégia de identificação adotada foi expandida para ser utilizada em dados em painel e considerar a possibilidade de cointegração entre as variáveis. Modelos de correção de erros em painel foram estimados utilizando diferentes técnicas de estimação, o efeito médio da taxa real de câmbio no longo prazo é de 0.673, ou seja, um aumento de 1% na taxa real de câmbio leva a um aumento de aproximadamente 0.07% nos preços relativos. No curto prazo, o efeito médio da taxa real de câmbio é de 0.233 nos preços relativos. Então há um efeito maior da taxa real de câmbio no longo prazo que no curto prazo. Após encontrar evidências de pricing-to-market nas exportações brasileiras, este estudo testou a assimetria do pricing-to-market através do modelo de painel com parâmetros limiares proposto por Hansen (1999). Foi estudado se a assimetria ou a volatilidade cambial possuem efeitos no nível de pricing-to-market realizado. As evidências encontradas mostram que a taxa real de câmbio possui efeitos assimétricos, há um aumento do pricing-to-market com a desvalorização cambial. / The segmentation of international markets allows the pricing-to-market, hypothesis initially defined by Krugman (1986). The first objective of this work is to test the pricing-to-market held by Brazilian exporters between 1999 and 2012 using data panel for 26 industrial sectors. Using the model proposed by Marston (1990), his identification strategy has been expanded from and consider the possibility of cointegration between the variables. Panel error correction models were estimated using differents estimation techniques, the average effect of the real exchange rate in the long run is 0.673, i.e. an increase of 1% in the real exchange rate leads to an increase of 0.07% in relative prices. In the short term, the average effect of the real exchange rate is 0.233 in relative prices. So there is a higher effect of real exchange rate in the long run than the in the short term. After finding evidence of the Brazilian pricing-to-market, this study tested the asymetric pricingto-market using the panel threshold model proposed by Hansen (1999). It was examined whether the exchange rate asymmetry or the volatility have effects on the level of pricing-tomarket. The evidences shows the real exchange rate has asymmetric effects, there is an increase of brazilian pricing-to-market associated with a depreciated exchange rate.

A segmentação dos mercados internacionais permite a existência do pricing-to-market, hipótese inicialmente formulada por Krugman (1986). O primeiro objetivo deste trabalho foi testar o pricing-to-market realizado pelos exportadores brasileiros entre 1999 e 2012 utilizando dados para 26 setores industriais. À partir do modelo de Marston (1990), a sua estratégia de identificação adotada foi expandida para ser utilizada em dados em painel e considerar a possibilidade de cointegração entre as variáveis. Modelos de correção de erros em painel foram estimados utilizando diferentes técnicas de estimação, o efeito médio da taxa real de câmbio no longo prazo é de 0.673, ou seja, um aumento de 1% na taxa real de câmbio leva a um aumento de aproximadamente 0.07% nos preços relativos. No curto prazo, o efeito médio da taxa real de câmbio é de 0.233 nos preços relativos. Então há um efeito maior da taxa real de câmbio no longo prazo que no curto prazo. Após encontrar evidências de pricing-to-market nas exportações brasileiras, este estudo testou a assimetria do pricing-to-market através do modelo de painel com parâmetros limiares proposto por Hansen (1999). Foi estudado se a assimetria ou a volatilidade cambial possuem efeitos no nível de pricing-to-market realizado. As evidências encontradas mostram que a taxa real de câmbio possui efeitos assimétricos, há um aumento do pricing-to-market com a desvalorização cambial. / The segmentation of international markets allows the pricing-to-market, hypothesis initially defined by Krugman (1986). The first objective of this work is to test the pricing-to-market held by Brazilian exporters between 1999 and 2012 using data panel for 26 industrial sectors. Using the model proposed by Marston (1990), his identification strategy has been expanded from and consider the possibility of cointegration between the variables. Panel error correction models were estimated using differents estimation techniques, the average effect of the real exchange rate in the long run is 0.673, i.e. an increase of 1% in the real exchange rate leads to an increase of 0.07% in relative prices. In the short term, the average effect of the real exchange rate is 0.233 in relative prices. So there is a higher effect of real exchange rate in the long run than the in the short term. After finding evidence of the Brazilian pricing-to-market, this study tested the asymetric pricingto-market using the panel threshold model proposed by Hansen (1999). It was examined whether the exchange rate asymmetry or the volatility have effects on the level of pricing-tomarket. The evidences shows the real exchange rate has asymmetric effects, there is an increase of brazilian pricing-to-market associated with a depreciated exchange rate.

Abstract The purchasing power parity puzzle, exchange rate disconnection to macroeconomic fundamentals and pricing to market are central issues of international macroeconomics. Recent research has suggested that these issues can be presented by nonlinear behaviour. In this dissertation, we examine and explain the nonlinearities in the form of regime switching behaviour in real exchange rate series, exchange rate and macroeconomic fundamentals relation and exchange rate pass-through into consumer and import prices. Overall, we find evidence that nonlinearities are important in analysing empirical exchange rate models. The dissertation consists of four self-contained empirical studies. In chapter 2 we examine whether the Markov switching models and exponential smooth transition autoregressive models can give any additional insights into real exchange rate behaviour for several OECD countries. The results show that there are long swings in the real exchange rate series, which can be characterize as a depreciation and an appreciation regime. These regimes are very persistent, although the processes are eventually mean reverting. We estimate a multivariate smooth transition autoregressive model for the euro/dollar exchange rate in chapter 3. The significant point of our analysis is the possibility that a nonlinear specification for the exchange rate series might reveal aspects of the exchange rate dynamics that cannot be picked up by linear models. We find that the euro/dollar exchange rate may display random walk or near random walk behaviour within a certain range but the ability of the exchange rate to wander without any bound is limited by long-term government bond interest rate differentials. In chapter 4 we examine nonlinear relationships between macroeconomic fundamentals and exchange rate for G-7 countries. We estimate a smooth transition error correction model that allows for parameter variation in the error correction form and interest rate differentials. The nonlinearity is determined by the inflation rate differentials between countries. We find significant error correction terms in monetary models. Our findings suggest the importance of nonlinear dynamics for examining deviations from the long-run equilibrium. We examine whether the degree of exchange rate pass-through is dependent on importing country inflation rate in chapter 5. Our model shows that import prices respond differently to exchange rate changes when we are in a high inflation regime compared to a low inflation regime. We also present empirical evidence by estimating pass-through elasticises for several OECD countries. We find that consumer prices are not very sensitive to exchange rate changes. For aggregate import prices, we find partial or full exchange rate pass-throughs. The tested nonlinear regime specific models proved appropriate for testing exchange rate dynamics for several currency pairs. Furthermore, we were able to present that macroeconomic fundamentals are important predictors of exchange rates.

Thèse numérisée par la Direction des bibliothèques de l'Université de Montréal.

This thesis investigates pricing to market behavior in the exports of Turkey, which is a small economy. The investigated sectors are hazelnut, dried grape, dried apricot, dried fig and feldspar. The sectors are selected because Turkey is the leading producer and exporter for these products in the world. We apply pricing to market model for the exports from Turkey to each of the largest importer countries and the world in total for each product to check whether there is monopolistic behavior in the markets. We also check whether there is complete local currency price stability in the investigated markets. The relationship between the import shares of destination markets in the Turkey&amp / #8217 / s exports and the estimated pricing to market elasticities are compared as well. In general, we find that there is pricing to market in the exports of Turkey for the investigated sectors.

台灣的經濟發展，仰賴對外貿易甚鉅。廠商如何因應匯率的變動，在國際競爭激烈的貿易市場中策略性的定價以取得優勢，一直是國際貿易與金融發展上重要的議題。因此，本論文包括三篇文章，依序透過台灣進口物價、出口物價，以及人造纖維梭織布的出口價格，探討匯率轉嫁與市場取價的相關議題。以下就每篇文章的重點摘要如下。 第一篇主要驗證「菜單成本」(menu costs) 存在，所產生之不對稱匯率轉嫁行為。由於菜單成本的存在，出口商必須在調價所產生的菜單成本，以及不調價對其市場競爭力的減損中，進行權衡取捨(trade-off)。我們首先透過模型推導，說明在此情況下，出口商唯有在匯率變動超過某一水準（門檻）時， 才會因應匯率變動進行調價。這意謂若匯率波動幅度較小時，出口商囿於菜單成本不會調整價格，進口國將面臨完全匯率轉嫁；而若匯率變動幅度夠大，出口商才會調整價格以維持其市場競爭力，而產生不完全匯率轉嫁。為驗證並說明此一不對稱匯率轉嫁現象，我們利用門檻迴歸模型(threshold regression model)進行台灣進口品是否有不對稱轉嫁之實證分析。結果顯示，以匯率變動幅度為門檻變數下，當匯率變動幅度小於門檻值3%時，匯率轉嫁程度高達58.7%;而匯率變動幅度高於門檻值3%時，則無顯著之匯率轉嫁。 我們因此認為菜單成本的存在，確實可能導致匯率不對稱轉嫁行為。 第二篇則應用門檻迴歸模型檢驗台灣出口物價是否因菜單成本導致在匯率變動幅度不同時，產生不同程度調整加成的出口定價行為，導致不對稱匯率轉嫁。 實證結果顯示，當匯率變動幅度低於門檻2.5%時，調整出口價格的幅度為27%。反之，當匯率變動幅度超過門檻值時，相較於前者，調價幅度增加至42%。經檢定兩者有顯著差異，證實有不對稱匯率轉嫁。上述不對稱匯率轉嫁的實證結果與理論預期並未完全相符。我們認為可能的原因在於出口商考量當期市佔率對未來利潤的潛在影響力，因此即使當期匯率變動幅度小，仍選擇微幅調價，藉以維持市場優勢與價格競爭力。亦即菜單成本可能並非影響其定價行為的關鍵因素。此外，廠商也有可能考量其在短期無法立即因應需求而擴張產能，因此即使匯率變動幅度小，仍選擇調價穩定進口價格，如此可避免因產能不足無法接單而流失客戶。再者，受限於資料的取得，我們採用總體出口物價資料，因此僅能呈現出平均的定價行為，而無法凸顯個別產業的出口定價行為。上述皆有可能是造成理論預期與實證結果不完全一致的原因。 為修正前兩篇使用總體資料的缺點，並進一步瞭解出口商因應匯率變動時是否依不同目標市場決定不同的調整加成幅度，在第三篇中本文使用人造纖維梭織布產業資料，主要探討在不完全競爭市場的結構下，出口商面對匯率變動時的「市場取價」行為。由於紡織業為台灣創匯產業，早期以出口胚布和成衣服飾品為主。到1980年代以後，逐漸地轉為以出口紗與成品布為主。在2005年全面取消全球紡織品配額後，紡織業的競爭更加激烈。儘管台灣有許多紡織廠外移至大陸及東南亞國家生產，使得台灣布料的出口額逐年減少。然而，台灣的人造纖維梭織布的出口單價卻有上升的趨勢。因此，本文主要探討台灣自1999年至2009年，人造纖維梭織布出口至美國、中國、香港及印尼等前四大出口目的國，因應匯率變動的出口定價行為是否具有市場取價的特性。此研究有助於我們瞭解產業競爭的過程與廠商的定價行為。實證結果顯示，台灣人纖梭織布的出口有市場取價的能力。對於出口至美國及香港的人纖梭織布，出口商會因應匯率等比例調整加成，自行吸收匯率變動對進口價格的影響，以穩定進口價格(即 local currency pricing stability)。對於出口至中國及印尼的人纖梭織布，則未有明顯的證據支持類似的調價行為。

No description available.

This dissertation is composed of three essays at the intersection of international trade and finance. In the first chapter, I measure exchange rate pass-through (ERPT) for value-added exports, where intermediate input requires sharing among countries in a back-and-forth manner for producing a single final product. I derive an estimating equation for ERPT and value-added trade following a partial equilibrium model, which also leads to decomposition of the trade elasticity into the own price effect and the price index effects. From the empirical estimation, I find that ignoring the value-added trade will cause a systematic upward bias in the estimation of ERPT. I also find that there exists substantial heterogeneity in pass-through rates across sectors: sectors with high-integration into global markets functions with a lower rate of exchange in comparison to sectors with less integration. The second essay focuses on a specific market, where I examine the relationship between product attributes and ERPT. This paper estimates the ERPT by using good-level daily data on wholesale prices of imported agricultural products, where the identification is achieved by using daily data on the domestic inflation rate. The results of standard empirical analyses are in line with existing studies that employ lower frequencies of data by showing evidence for incomplete daily ERPT of about 5 percent. The key innovation is achieved when nonlinearities in ERPT are considered, where ERPT is doubled to about 10 percent when daily nominal exchange rate changes are above 0.55 percent, daily frequencies of price change are above 3.12 percent, the storage life of a product is above 10 weeks, and for the non-zero price changes, the ERPT is complete. In the final essay, I focus on the firms’ export pricing strategy: pricing-to-market strategy. To achieve this, I introduce a partial equilibrium model of firm’s pricing strategy, where the market share of a firm plays an important role in the determination of markup. The empirical estimation is that markup ranges from 1.25 to 1.5 across years and 1.25 to 51.23 across firms. I also find that markups come back to their average level within 30 to 60 days of the initial date.

How should central banks react to movements in the exchange rate? Can social welfare be improved if the policy maker is giving explicit or implicit consideration to fluctuations in the exchange rate? These are some of the principal questions addressed in this thesis, which analyzes the influence of exchange rates on prices and monetary policy, from an empirical as well as a theoretical perspective. The thesis consists of four self-contained papers, and sets off by providing some empirical evidence for incomplete exchange rate pass-through. Incomplete exchange rate pass-through is subsequently incorporated into a theoretical model of a small open economy, to study how exchange rate fluctuations affect monetary policy. The first chapter is an empirical paper studying the relation between exchange rates and prices, using data on Swedish exports of automobiles and kraft paper. A price determining error correction model indicates results consistent with price discrimination and incomplete exchange rate pass-through. In the second chapter, a small open economy aggregate supply-aggregate demand model, allowing for incomplete exchange rate pass-through, is developed to analyze the effects of limited pass-through on monetary policy. The results suggest that the optimal policy reaction, both to foreign and domestic shocks, is dependent on the degree of exchange rate pass-through. The third chapter studies what the delegated monetary policy should be in an open economy with limited pass-through. In particular, the question of whether to delegate an exchange rate-stabilization objective to the policy maker is investigated. The results show that incorporation of an explicit nominal, or real, exchange-rate term in the (optimized) objective function only improves social welfare marginally. The fourth chapter assumes, in contrast, that monetary policy is implemented through a simple instrument rule. It is examined whether the policy maker’s performance, in terms of social welfare, can be improved by also responding to the exchange rate. The results indicate that the exchange rate-augmented policy rules do not outperform an optimized rule without the exchange rate, irrespective of the degree of pass-through. Social welfare is, however, improved by an indirect exchange rate response, which is reached using a policy rule based on Consumer Price Index (CPI) inflation, rather than on domestic inflation. / Diss. Stockholm : Handelshögsk., 2001