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>Study I<i>Real Wage Determination in the Swedish Engineering Industry</i></p><p>This study uses the monopoly union model to examine the determination of real wages and in particular the effects of active labour market programmes (ALMPs) on real wages in the engineering industry. Quarterly data for the period 1970:1 to 1996:4 are used in a cointegration framework, utilising the Johansen's maximum likelihood procedure. On a basis of the Johansen (trace) test results, vector error correction (VEC) models are created in order to model the determination of real wages in the engineering industry. The estimation results support the presence of a long-run wage-raising effect to rises in the labour productivity, in the tax wedge, in the alternative real consumer wage and in real UI benefits. The estimation results also support the presence of a long-run wage-raising effect due to positive changes in the participation rates regarding ALMPs, relief jobs and labour market training. This could be interpreted as meaning that the possibility of being a participant in an ALMP increases the utility for workers of not being employed in the industry, which in turn could increase real wages in the industry in the long run. Finally, the estimation results show evidence of a long-run wage-reducing effect due to positive changes in the unemployment rate.</p><p>Study II<i>Intersectoral Wage Linkages in Sweden</i></p><p>The purpose of this study is to investigate whether the wage-setting in certain sectors of the Swedish economy affects the wage-setting in other sectors. The theoretical background is the Scandinavian model of inflation, which states that the wage-setting in the sectors exposed to international competition affects the wage-setting in the sheltered sectors of the economy. The Johansen maximum likelihood cointegration approach is applied to quarterly data on Swedish sector wages for the period 1980:1–2002:2. Different vector error correction (VEC) models are created, based on assumptions as to which sectors are exposed to international competition and which are not. The adaptability of wages between sectors is then tested by imposing restrictions on the estimated VEC models. Finally, Granger causality tests are performed in the different restricted/unrestricted VEC models to test for sector wage leadership. The empirical results indicate considerable adaptability in wages as between manufacturing, construction, the wholesale and retail trade, the central government sector and the municipalities and county councils sector. This is consistent with the assumptions of the Scandinavian model. Further, the empirical results indicate a low level of adaptability in wages as between the financial sector and manufacturing, and between the financial sector and the two public sectors. The Granger causality tests provide strong evidence for the presence of intersectoral wage causality, but no evidence of a wage-leading role in line with the assumptions of the Scandinavian model for any of the sectors. </p><p>Study III<i>Wage and Price Determination in the Private Sector in Sweden</i></p><p>The purpose of this study is to analyse wage and price determination in the private sector in Sweden during the period 1980–2003. The theoretical background is a variant of the “Imperfect competition model of inflation”, which assumes imperfect competition in the labour and product markets. According to the model wages and prices are determined as a result of a “battle of mark-ups” between trade unions and firms. The Johansen maximum likelihood cointegration approach is applied to quarterly Swedish data on consumer prices, import prices, private-sector nominal wages, private-sector labour productivity and the total unemployment rate for the period 1980:1–2003:3. The chosen cointegration rank of the estimated vector error correction (VEC) model is two. Thus, two cointegration relations are assumed: one for private-sector nominal wage determination and one for consumer price determination. </p><p>The estimation results indicate that an increase of consumer prices by one per cent lifts private-sector nominal wages by 0.8 per cent. Furthermore, an increase of private-sector nominal wages by one per cent increases consumer prices by one per cent. An increase of one percentage point in the total unemployment rate reduces private-sector nominal wages by about 4.5 per cent. The long-run effects of private-sector labour productivity and import prices on consumer prices are about –1.2 and 0.3 per cent, respectively. The Rehnberg agreement during 1991–92 and the monetary policy shift in 1993 affected the determination of private-sector nominal wages, private-sector labour productivity, import prices and the total unemployment rate. The “offensive” devaluation of the Swedish krona by 16 per cent in 1982:4, and the start of a floating Swedish krona and the substantial depreciation of the krona at this time affected the determination of import prices.</p>

Study IReal Wage Determination in the Swedish Engineering Industry This study uses the monopoly union model to examine the determination of real wages and in particular the effects of active labour market programmes (ALMPs) on real wages in the engineering industry. Quarterly data for the period 1970:1 to 1996:4 are used in a cointegration framework, utilising the Johansen's maximum likelihood procedure. On a basis of the Johansen (trace) test results, vector error correction (VEC) models are created in order to model the determination of real wages in the engineering industry. The estimation results support the presence of a long-run wage-raising effect to rises in the labour productivity, in the tax wedge, in the alternative real consumer wage and in real UI benefits. The estimation results also support the presence of a long-run wage-raising effect due to positive changes in the participation rates regarding ALMPs, relief jobs and labour market training. This could be interpreted as meaning that the possibility of being a participant in an ALMP increases the utility for workers of not being employed in the industry, which in turn could increase real wages in the industry in the long run. Finally, the estimation results show evidence of a long-run wage-reducing effect due to positive changes in the unemployment rate. Study IIIntersectoral Wage Linkages in Sweden The purpose of this study is to investigate whether the wage-setting in certain sectors of the Swedish economy affects the wage-setting in other sectors. The theoretical background is the Scandinavian model of inflation, which states that the wage-setting in the sectors exposed to international competition affects the wage-setting in the sheltered sectors of the economy. The Johansen maximum likelihood cointegration approach is applied to quarterly data on Swedish sector wages for the period 1980:1–2002:2. Different vector error correction (VEC) models are created, based on assumptions as to which sectors are exposed to international competition and which are not. The adaptability of wages between sectors is then tested by imposing restrictions on the estimated VEC models. Finally, Granger causality tests are performed in the different restricted/unrestricted VEC models to test for sector wage leadership. The empirical results indicate considerable adaptability in wages as between manufacturing, construction, the wholesale and retail trade, the central government sector and the municipalities and county councils sector. This is consistent with the assumptions of the Scandinavian model. Further, the empirical results indicate a low level of adaptability in wages as between the financial sector and manufacturing, and between the financial sector and the two public sectors. The Granger causality tests provide strong evidence for the presence of intersectoral wage causality, but no evidence of a wage-leading role in line with the assumptions of the Scandinavian model for any of the sectors. Study IIIWage and Price Determination in the Private Sector in Sweden The purpose of this study is to analyse wage and price determination in the private sector in Sweden during the period 1980–2003. The theoretical background is a variant of the “Imperfect competition model of inflation”, which assumes imperfect competition in the labour and product markets. According to the model wages and prices are determined as a result of a “battle of mark-ups” between trade unions and firms. The Johansen maximum likelihood cointegration approach is applied to quarterly Swedish data on consumer prices, import prices, private-sector nominal wages, private-sector labour productivity and the total unemployment rate for the period 1980:1–2003:3. The chosen cointegration rank of the estimated vector error correction (VEC) model is two. Thus, two cointegration relations are assumed: one for private-sector nominal wage determination and one for consumer price determination. The estimation results indicate that an increase of consumer prices by one per cent lifts private-sector nominal wages by 0.8 per cent. Furthermore, an increase of private-sector nominal wages by one per cent increases consumer prices by one per cent. An increase of one percentage point in the total unemployment rate reduces private-sector nominal wages by about 4.5 per cent. The long-run effects of private-sector labour productivity and import prices on consumer prices are about –1.2 and 0.3 per cent, respectively. The Rehnberg agreement during 1991–92 and the monetary policy shift in 1993 affected the determination of private-sector nominal wages, private-sector labour productivity, import prices and the total unemployment rate. The “offensive” devaluation of the Swedish krona by 16 per cent in 1982:4, and the start of a floating Swedish krona and the substantial depreciation of the krona at this time affected the determination of import prices.

This paper examines the forecast accuracy of an unrestricted Vector Autoregressive (VAR) model for GDP, relative to a comparable Vector Error Correction (VEC) model that recognizes that the data is characterized by co-integration. In addition, an alternative forecast method, Intercept Correction (IC), is considered for further comparison. Recursive out-of-sample forecasts are generated for both models and forecast techniques. The generated forecasts for each model are objectively evaluated by a selection of evaluation measures and equal accuracy tests. The result shows that the VEC models consistently outperform the VAR models. Further, IC enhances the forecast accuracy when applied to the VEC model, while there is no such indication when applied to the VAR model. For certain forecast horizons there is a significant difference in forecast ability between the VEC IC model compared to the VAR model.

This study discusses the monetary policy transmission mechanism in the different channels. The analysis is conducted using generalized impulse response functions derived from a factor-augmented vector error correction (FAVECM) model. The FAVECM methodology as developed by Lee (2009) extends the factoraugmented vector autoregression (FAVAR) model to analyze long-run and shortrun dynamics of non-stationary variables. This recenly derived FAVECM model combines the advantages of factor model and the VECM model. The estimations are conducted using 174 macroeconomic time series in monthly frequency for the period January 2000 to September 2009. Results indicate that interbank call loan rate, deposit rate and prime lending rate are conintegrated, which provides sufficient evidence of the existence of the credit channel in monetary transmission system. Other GIRF results are generally consistent of the expected monetary policy effectiveness.

This study revists Purchasing Power Parity (PPP) and discusses the monetary policy transmission mechanism in exchange rate channels. The analysis is conducted using generalized impulse response functions derived from a Factor- Augmented Vector Error Correction (FAVECM) model. The FAVECM methodology as developed by Lee (2009) extends the Factor- Augmented Vector Autoregression (FAVAR) model to analyze long-run and shortrun dynamics of non-stationary variables. This recently derived FAVECM model combines the advantages of factor model and the VECM model. The estimations are conducted using 157 macroeconomic time series in monthly frequency for the period January 2000 to September 2009. Results indicate that PPP exists and expansionary devaluation effect in Taiwan. Other GIRF results are generally consistent of the expected exchange rate effectiveness.

As the two main components of household portfolios, stocks and real estate are likely to catch people¡¦s attention. Although the number of extant studies on the interaction between the stock and real estate markets is large, the views and empirical evidence in those studies show inconsistent results. This dissertation provides an explanation for the inconsistent results: market imperfection. Employing the threshold vector error correction model to examine the interaction between Taiwan¡¦s stock and real estate markets during the period from 1973Q2 to 2009Q4, the empirical results support this explanation. When the transaction benefit from the disequilibrium between the stock and real estate markets can cover the potential cost resulting from market imperfection, the relationship between the stock and real estate markets is integrated; but when there is slight disequilibrium, the price of real estate will not converge since the arbitrage benefit cannot cover the cost of transaction. As a result, the relationship is segmented. The empirical results of the study are very robust as similar conclusions result when different proxies for housing prices are used. The interactions between the stock and the sub-region housing markets also show similar results. Finally, when macroeconomic factors are considered, the asymmetric dynamic relationship is still significant.

This study explores the dynamics between stock price and exchange rates through the cointegration methodology proposed by Herwartz and Luetkepohl (2011). Moreover, it consider the vector error correction model (VECM) with conditional heteroscedastic variance. And we use a feasible generalized least squares (FGLS) estimator to estimate the cointegrating vector. This paper analysis some Asian countries' data from 1997 to 2010. The evidence result suggests that Malaysia and Singapor's stock price and exchange rate are positively related. But Hong Kong's stock price is negatively related to exchange rate.

In this dissertation three essays were presented. In the first two essays we measure the consumer welfare changes caused by U.S. meat price changes. In the third essay the dynamic structure of international gasoline prices using the time series methodology is investigated. In chapter II, we investigate the U.S. consumer behavior on meat consumption depending on a linear expenditure system (LES), and then we simulate the welfare effects of a set of price changes on the U.S. meat consumption. The simulation results show that the amount of consumer welfare change for each meat is not same across the meats under the same percentage change of price. The simulation results also show that when all the prices are doubled the total amount of CV reaches almost the same amount of current total quarterly expenditures for the three meats. In chapter III, we apply the compensating variation (CV) approach for the measurement of consumer welfare losses associated with beef price changes. We applied the long-run cointegrating relationship in vector error correction model (VECM) to estimate the Marshallian demand function. Apparently, the use of long-run cointegration in VECM in deriving the direct Marshallian demand function to measure the consumer welfare change is the first attempt in the literature. This is one of the contributions of the study. The simulation results show that the amount of consumer welfare change for beef is compatible with the one derived from LES methodology. In chapter IV, an empirical framework to summarize the interdependence of four international gasoline markets (New York, U.S. Gulf Coast, Rotterdam and Singapore) is presented. For that purpose, we employ a structural VECM and directed acyclic graphs (DAGs). To solve the identification problem in structural VECM, we apply DAGs derived from contemporaneous VECM innovations. The impulse response functions show that the time period in which a shock in a market affects the other market is very short. Forecast error variance decompositions (FEVD) shows that in all markets, except the U.S. Gulf Coast market, current and past shocks in their own market explained the most of the volatility in their own market in the Short-run.

The dynamics of the U.S. and Canada natural gas spot markets are evolving through deregulation policies and technological advances. Economic theory suggests that these markets will be integrated. The key question is the extent of integration among the markets. This thesis characterizes the degree of dynamic integration among 11 major natural gas markets, six from the U.S. and five from Canada, and determines each individual markets’ role in price discovery. This is the first study to include numerous Canadian markets in a North American natural gas market study. Causal flows modeling using directed acyclic graphs in conjunction with time series analysis are used to explain the relationships among the markets. Daily gas price data from 1994 to 2009 are used. The 11 natural gas market prices are tied together with nine long-run co-integrating relationships. All markets are included in the co-integration space, providing evidence the markets are integrated. Results show the degree of integration varies by region. Further results indicate no clear price leader exists among the 11 markets. Dawn market is exogenous in contemporaneous time, while Sumas market is an information sink. Henry Hub plays a significant role in the price discovery of markets in the U.S. Midwest and Northeast, but little to markets in the west. The uncertainty of a markets’ price depends primarily on markets located in nearby regions. Policy makers may use information on market integration for important policy matters in efforts of attaining efficiency. Gas traders benefit from knowing the price discovery relationships.