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Master's Dissertation
DOI
https://doi.org/10.11606/D.96.2020.tde-16092020-093918
Document
Author
Full name
Paolo Marcelo Kazuo Costa Imori
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
Ribeirão Preto, 2020
Supervisor
Committee
Júnior, Sérgio Kannebley (President)
Gomes, Fabio Augusto Reis
Marçal, Emerson Fernandes
Mendonça, Diogo de Prince
Title in Portuguese
Analisando o repasse cambial de indústrias americanas através de um modelo Global VAR
Keywords in Portuguese
Global VAR
Preço de importação
Preço de produtor
Repasse cambial
Taxa de câmbio
Abstract in Portuguese
Este trabalho visa contribuir para a análise do repasse cambial, em particular para indústrias manufatureiras dos Estados Unidos. Seguindo os modelos microeconômicos de repasse cambial, fundamentados em Dornbusch (1987) dentre outros, aspectos competitivos de cada indústria determinam o grau de repasse cambial daquele setor. Utiliza-se um modelo Global VAR proposto em Pesaran, Schuermann e Weiner (2004) para estimar o repasse cambial nos preços de importação e produtor dos setores de manufatura, permitindo modelar a interação entre setores. A média das estimativas de repasse cambial é de 23% e 18% no curto prazo e 60% e 45% no longo prazo, para preços de importação e produtor, respectivamente. O resultado é comparado com estimativas de modelos VAR sem ligação entre setores.
Title in English
Analyzing the exchange rate pass-through of american industries through a GVAR Model
Keywords in English
Exchange rates
Global VAR
Import prices
Pass-through ERPT
Producer prices
Abstract in English
This work's main objective is to add to the analysis of the exchange rate pass-through (ERPT), in particular for manufacturing industries of the US. Following the microeconomic models of ERPT, based on foundations on Dornbusch (1987), Krugman (1986), amongst others, competitive aspects of each industry determine the degree of pass through on that sector. A Global VAR model is utilized, as proposed in Pesaran, Schuermann e Weiner (2004), to estimate the ERPT in import and producer prices of manufacturing industries, allowing to model the interaction between sectors. The average of ERPT estimates is 23% and 18% in the short run and 60% and 45% in the long run, for import and producer prices, respectively The result is compared with estimates from VAR models without sector interaction.
 
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Publishing Date
2020-11-19
 
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