• JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
 
  Bookmark and Share
 
 
Master's Dissertation
DOI
10.11606/D.12.2009.tde-29012010-105400
Document
Author
Full name
Bruno Westin Prado Soares Leal
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2009
Supervisor
Committee
Rodrigues Junior, Mauro (President)
Kannebley Júnior, Sérgio
Nakane, Marcio Issao
Title in Portuguese
Lei do preço único e seus desvios: existe algum padrão?
Keywords in Portuguese
Preço (Economia)
Taxa de câmbio
Abstract in Portuguese
O objetivo deste trabalho é identificar padrões nos desvios da Lei do Preço Único. Utilizando dados desagregados nacionais e internacionais do período 1998-2008, aplicaram-se duas metodologias distintas: i) análise de componentes principais; e ii) estimador group mean Fully Modified OLS para painel proposto por Pedroni (2000). A análise de componentes principais facilita a identificação de padrões na variação de uma quantidade grande de dados e, o estimador group mean FMOLS permite estimar a relação de longo prazo existente entre os preços de um mesmo produto, cotados na mesma moeda, praticados em mercados distintos. Os resultados obtidos indicam que o câmbio é o principal responsável pelos desvios da Lei do Preço Único. Ademais, os resultados sugerem a existência de uma relação fraca entre os preços de um mesmo bem, cotados em Reais, mas comercializados nos mercados brasileiro e americano.
Title in English
Law of one price deviations: is there any pattern?
Keywords in English
Exchange rate
Prices
Abstract in English
The main goal of this essay is to identify patterns in deviation from the law of one price. Using disaggregated data from Brazil and USA for the period 1998-2008, we applied two different methodologies: i) principal component analysis and ii) panel group mean Fully Modified OLS estimator proposed by Pedroni (2000). The principal component analysis facilitates the identification of patterns in the variation of a large amount of data, while the group mean FMOLS estimates the long run relationship between prices of the same good, quoted in the same currency, charged in separated markets. The results indicate that the exchange rate is the main responsible for deviations from the law of one price. Moreover, the results suggest the existence of a weak relationship between the prices of the same good, quoted in Reais, but sold in the Brazilian and American markets.
 
WARNING - Viewing this document is conditioned on your acceptance of the following terms of use:
This document is only for private use for research and teaching activities. Reproduction for commercial use is forbidden. This rights cover the whole data about this document as well as its contents. Any uses or copies of this document in whole or in part must include the author's name.
Bruno_Westin_Leal.pdf (505.88 Kbytes)
Publishing Date
2010-02-23
 
WARNING: Learn what derived works are clicking here.
All rights of the thesis/dissertation are from the authors
Centro de Informática de São Carlos
Digital Library of Theses and Dissertations of USP. Copyright © 2001-2019. All rights reserved.