Repasse do Câmbio para a Inflação na Economia Brasileira (2003 -2019): Modelos ARDL
Mots-clés :
taxa de câmbio – inflação – Repasse Cambial – Modelos ARDL - Modelos N-ARDLRésumé
O objetivo do artigo consiste em investigar a relação entre a variação da taxa de câmbio e a inflação no Brasil, no período de janeiro de 2003 a dezembro de 2019. Além de estimar o repasse da taxa de câmbio, foi investigada a existência de assimetrias. Para atingir tal objetivo, foram estimados quatro modelos lineares (ARDL) e quatro modelos não lineares (N-ARDL). Nos modelos lineares, os resultados indicaram um repasse médio de 0,08% e 0,19% para o IPCA e o IGP-DI respectivamente. Nos modelos não lineares o repasse médio foi 0,06% para o IPCA e 0,18% para o IGP-DI. Os resultados indicaram a presença de assimetrias entre apreciações e depreciações e que os modelos lineares tendem a subestimar o repasse cambial. Os testes confirmaram a causalidade de Granger entre a variação do câmbio e a inflação.
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Références
Albuquerque, Christiane R.; Portugal, Marcelo S. (2005) “Pass-through from exchange rate to prices in Brazil: an analysis using time-varying parameters for the 1980-2002 period”, Revista de Economía, v. 12, n. 1, p. 17-74.
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.
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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Publiée
2021-07-29
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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. Consulté à l’adresse http://editorarevistas.mackenzie.br/index.php/rem/article/view/14118
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