Repasse do Câmbio para a Inflação na Economia Brasileira (2003 -2019): Modelos ARDL
Keywords:
exchange rate – inflation – pass through – ARDL - N-ARDL ModelsAbstract
The goal of this paper is to investigate the relation between changes in the exchange rate and inflation for Brazil for the period of January 2003 to December 2019. Other than estimating the exchange rate pass through, we investigate the existence of asymmetries. In order to achieve this goal, we estimate four linear (ARDL) and four non-linear (N-ARDL) models. The results indicated an average pass-through of 0.08% and 0.19% for the IPCA and IGP-DI respectively. In the non-linear models, the average pass through was 0.06% for the IPCA and 0.18% for the IGP-DI. The results indicated the presence of asymmetries between appreciations and depreciations and that the linear models tend to underestimate the exchange rate pass-through. The tests confirmed Granger's causality for changes in the exchange rate and inflation.
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References
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Shin, Yongcheol; Yu, Byungchul; Greenwood-Nimmo, Matthew. (2014) “Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework”, Festschrift in honor of Peter Schmidt. Springer, New York, NY. p. 281-314.
Taylor, John. B. (2000) “Low inflation, pass-through, and the pricing power of firms”, European Economic Review, v. 44, Issue 7, p. 1389-1408.
Terra, Maria. C. T. (1998) “Openness and Inflation: A New Assessment”, The Quarterly Journal of Economics, v.113, n. 2, p. 641-648, May.
Tombini, Alexandre A.; Sergio A. L. Alves. (2006) "The recent Brazilian disinflation process and costs." Central Bank of Brazil Working Paper Series 109.
Amitrano, Alessandra; De Grauwe, Paul; Tullio, Giuseppe (1997) “Why has inflation remained so low after the large exchange rate depreciations of 1992?”, Journal of Common Market Studies, v. 35, n. 3, p. 329-346.
Belaisch, A. (2003) “Exchange rate pass‑through in Brazil”, IMF Working Paper, n. 03141.
Bussiere, M. (2013) “Exchange rate pass‐through to trade prices: The role of nonlinearities and asymmetries”, Oxford Bulletin of Economics and Statistics, 731-758.
Calvo, Guillermo A.; Reinhart, Carmen M. (2002) “Fear of floating”, The Quarterly Journal of Economics, v. 117, n. 2, p. 379-408.
Campa, Jose M.; Goldberg, Linda S. (2005) “Exchange rate pass-through into import prices”, Review of Economics and Statistics, v. 87, n. 4, p. 679-690.
Carneiro, Dioniso D.; Monteiro, André A..; Wu, Thomas Y. H. (2002) “Mecanismos não-lineares de repasse cambial para o IPCA”. Revista de Economia e Administração, v. 3, n. 1.
Cassel, Gustav (1922) “Money and foreign exchange after 1914”, Constable and Company Limited, London.
Couto, Sílvia V; Fraga, Gilberto J. (2014) “O pass-through da taxa de câmbio para índices de preços: análise empírica para o Brasil”, Revista de Economia Contemporânea, v. 18, n. 3, p. 333-356.
De Assis, Thallis M; Fonseca, Luiz F. C; Feijó, Carmem A. D. V. C. (2019) “Determinantes do repasse cambial: uma resenha com foco no caso brasileiro”, Revista de Economia Contemporânea, v. 23, n. 1, p. 1-31.
De Souza, Rodrigo G; Alves, Alexandre, F. (2011) “Relação entre câmbio e preços no Brasil: aspectos teóricos e evidências empíricas." Anais do XXXVIII Encontro Nacional de Economia. ANPEC.
Delatte, Anne-Laure; López-Villavicencio, Antonia (2012) “Asymmetric exchange rate pass-through: Evidence from major countries”, Journal of Macroeconomics, v. 34, n. 3, p. 833-844.
Eichengreen, B. (2002) “Can emerging markets float? Should they inflation target?” Brasília, DF: Banco Central do Brasil, fev. p. 1-46, 2002.
Goldberg, Pinelopi K.; Knetter, Michael M. (1997) “Causes and consequences of the export enhancement program for wheat. In: The effects of US trade protection and promotion policies”, University of Chicago Press. p. 273-296.
Goldfajn, Ilan; Werlang, Sergio. (2000) “The pass-through from depreciation to inflation: a panel study”, Banco Central de Brasil Working Paper, n. 5.
Granger, Clive Wj. (1969) “Investigating causal relations by econometric models and cross-spectral methods. Econometrica”, Journal of the Econometric Society, p. 424-438.
Holland, Márcio; Rogério Mori. (2010) “Dinâmica da Inflação no Brasil e os efeitos globais", Economia, Brasília 11.3: 649-670.
Khundrakpam, Jeevan K. (2007) “Economic reforms and exchange rate pass-through to domestic prices in India”.
Knetter, Michael M. (1989) “Price Discrimination by U.S. and German Exporters”, The American Economic Review, vol. 79, n. 1, p. 198-210, Mar.
Knetter, Michael M. (1994) “Is export price adjustment asymmetric? Evaluating the market share and marketing bottlenecks hypotheses”, Journal of International Money and Finance, v. 13, n. 1, p. 55-70.
Krugman, Paul R. (1986) “Pricing to market when the exchange rate changes”, National Bureau of Economic Research. Disponível em: <https://www.nber.org/papers/w1926>.
Lane, Philip R. (2001) “The new open economy macroeconomics: a survey”. Journal of international economics, v. 54, n. 2, p. 235-266.
Peltzman, Sam. (2000) “Prices rise faster than they fall”, Journal of political economy, v. 108, n. 3, p. 466-502.
Pesaran, H.; Schin, Y. (1999) “An autoregressive distributed lag modelling approach to cointegration analysis”, Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, Strom S (ed.). Cambridge University Press: Cambridge.
Pesaran, H.; Schin, Y.; Smith, R.J. (2001) “Bounds testing approaches to the analysis of level relationship”, Journal of Applied Econometrics, n. 16. V. 3, p. 289-326.
Pimentel, Débora M; Luporini, Viviane; Modenesi, André D. M. (2016) “Assimetrias no repasse cambial para a inflação: uma análise empírica para o Brasil (1999 a 2013)”, Estudos Econômicos, v. 46, n. 2, p. 343-372.
Rogoff, K. (1996) “The purchasing power parity puzzle”, Journal of Economic Literature, v. 34, p. 647‑688.
Romer, D. (1993) “Openness and inflation: theory and evidence”, The Quarterly Journal of Economics., v. CVIII, Issue, 4, Nov.
Shin, Yongcheol; Yu, Byungchul; Greenwood-Nimmo, Matthew. (2014) “Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework”, Festschrift in honor of Peter Schmidt. Springer, New York, NY. p. 281-314.
Taylor, John. B. (2000) “Low inflation, pass-through, and the pricing power of firms”, European Economic Review, v. 44, Issue 7, p. 1389-1408.
Terra, Maria. C. T. (1998) “Openness and Inflation: A New Assessment”, The Quarterly Journal of Economics, v.113, n. 2, p. 641-648, May.
Tombini, Alexandre A.; Sergio A. L. Alves. (2006) "The recent Brazilian disinflation process and costs." Central Bank of Brazil Working Paper Series 109.
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Published
2021-07-29
How to Cite
Vilela Vieira, F. ., & Caetano de Sousa Junior, V. (2021). Repasse do Câmbio para a Inflação na Economia Brasileira (2003 -2019): Modelos ARDL. Revista De Economia Mackenzie, 18(esp), 39–66. Retrieved from http://editorarevistas.mackenzie.br/index.php/rem/article/view/14118
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