Assimetrias no repasse cambial para a inflação: Uma análise empírica para o Brasil (1999-2013)
DOI:
https://doi.org/10.1590/0101-416146233dvaPalavras-chave:
Inflação, taxa de câmbio, repasse cambial, assimetria, BrasilResumo
O presente artigo analisou o repasse cambial para os preços ao consumidor (IPCA) no Brasil no período entre 1999 e 2013, verificando através de diversas especificações econométricas a existência de assimetrias no repasse. Utilizando uma decomposição da variável câmbio, entre depreciações e apreciações, o artigo estima uma sequência de modelos SVAR com diferentes restrições de identificação. Os resultados, robustos para uma gama de especificações, indicam forte assimetria no repasse cambial. A média simples das diversas estimações indica um repasse de 11.38% no caso de depreciação e de 2.84% no caso de apreciação da moeda brasileira em relação ao dólar americano.
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Referências
ÁLVAREZ, E., JARAMILLO, P., e SELAIVE, J. Exchange rate pass-through into import prices: the
Case of Chile. Working Paper nº 465, Banco Central de Chile, 2008.
ARAÚJO, E., MODENESI, A. A Importância do Setor Externo na Evolução do IPCA (1999-2010):
uma análise com base em um modelo SVAR. In: XXXVIII Encontro Nacional de Economia
(ANPEC), Salvador (BA), 2010.
BEECHEY, M.; HJALMARSSON, E. e ÖSTERHOLM, P. Testing the expectations hypothesis when
interest rates are near integrated. Journal of Banking & Finance, v. 33, n. 5, p. 934-943, 2009.
BELAISCH, A. Exchange Rate Pass-Through in Brazil. IMF Working Paper 03/141. Washington:
International Monetary Fund, 2003.
BUSSIERE, M. Exchange rate pass‐through in the G7 economies: the role of nonlinearities and asymmetries.
European Central Bank Working Paper n. 822, 2007.
CAMPA, J.; GOLDBERG, L. Exchange rate pass-through into imports prices. The Review of Economics
and Statistics. v. 87. p. 679-690, 2005.
CARNEIRO, D., MONTEIRO, A. M. e WU, T. Mecanismos Não-lineares de Repasse Cambial para o
IPCA. Departamento de Economia PUC-Rio, Texto para Discussão nº 462, 2002.
CHOUDHRI, E. e HAKURA, D. Exchange rate pass-through to domestic prices: does the inflationary
environment matter? Journal of International Money and Finance, v. 25, n. 4, p. 614-639, 2006.
CORREA, A. S. e MINELLA, A. Nonlinear mechanisms of the exchange rate pass-through: A Phillips
curve model with threshold for Brazil. Revista Brasileira de Economia, 64(3):231–243, 2010.
DELATTE, A. e VILLAVICENCIO, A. Asymmetric exchange rate pass-through: Evidence from major
countries. Journal of Macroeconomics, v. 34, n. 3, p. 833-844, 2012.
ENDERS, W. Applied Econometric Time Series. Wiley Series in Probability and Mathematica Statistics.
Ed. John Wiley & Sons Inc, 2008.
ENGLE, R. e GRANGER, C. Co-integration and error correction: representation, estimation, and
testing. Econometrica: journal of the Econometric Society, 251-276, 1987.
FOSTER, H., e BALDWIN, R. Marketing bottlenecks and the relationship between exchange rates and
prices. Department of Economics, Massachusetts Institute of Technology, Cambridge, Mass, 1986.
FRAGA, G. e COUTO, S. O pass-through da taxa de câmbio para índices de preços: uma análise empírica
para o Brasil. In: XVI Encontro de Economia da Região Sul - ANPEC/SUL, 2013, Curitiba.
FRANKEL, J., PARSLEY, D. e WEI, S. Slow Pass-through around the World: A New Import for Developing
Countries? Open Economies Review 23(2) pp 213-251, 2012.
FREY, G., e MANERA, M. Econometric models of asymmetric price transmission. Journal of Economic
surveys, 21(2), 349-415, 2007.
FROOT, K., e KLEMPERER, P. Exchange rate pass-through when market share matters. American
Economic Review, 79(4), 637-654, 1989.
GAGNON, J. E.; IHRIG, J. Monetary policy and exchange rate pass‐through. International Journal of
Finance & Economics, v. 9, n. 4, p. 315-338, 2004.
GIL-PAREJA, S. Exchange rates and European countries’ export prices: An empirical test for asymmetries
in pricing to market behavior. Weltwirtschaftliches Archiv, v. 136, n. 1, p. 1-23, 2000.
GOLDFAJN, I. e WERLANG, S. The pass-through from depreciation to inflation: a panel study. Banco
Central do Brasil. Working Paper n. 05, 2000.
GRANGER, C. Some properties of time series data and their use in econometric model specification.
Journal of econometrics, 16(1), 121-130, 1981.
GRANGER, C., YOON, G., Hidden cointegration. University of California, San Diego, Department of
Economics Working Paper 2002–02.
HERZBERG, V., KAPETANIOS, G., e PRICE G., Import prices and exchange rate passthrough:
theory and evidence from the United Kingdom, Working Paper No. 182, Bank of England, 2003.
HJALMARSSON, E. e ÖSTERHOLM, P. A residual-based cointegration test for near unit root variables,
International Finance Discussion Papers 907, Board of Governors of the Federal Reserve
System (U.S.), 2007.
HJALMARSSON, E.; ÖSTERHOLM, P. Testing for cointegration using the Johansen methodology
when variables are near-integrated: size distortions and partial remedies. Empirical Economics,
v. 39, n. 1, p. 51-76, 2010.
KARORO, T., MESHACH, A. e CATTANEO, N. Exchange Rate Pass-through to Import Prices in South
Africa: Is There Asymmetry? South African Journal of Economics v. 77, n. 3, p. 380-398, 2009.
KHUNDRAKPAM, J. Economic reforms and exchange rate pass-through to domestic prices in India.
Bank for International Settlements Working Paper No.225, 2007.
KNETTER, M. Is Export Price Adjustment Asymmetric? Evaluating the Market Share and Marketing
Bottlenecks Hypotheses. Journal of International Money and Finance 13(1), 55-70, 1994.
KOHLSCHEEN, E. Emerging floaters: pass-throughs and (some) new commodity currencies. Journal
of International Money and Finance, v. 29, n. 8, p. 1580-1595, 2010.
KRUGMAN, P. Pricing to Market When the Exchange Rate Changes, In Arndt, S. e Richardson, J.,
Real-Financial Linkages Among Open Economies, Cambridge, MA, MIT Press, 1987.
LEE, J. e STRAZICICH, M. Minimum Lagrange multiplier unit root test with two structural breaks.
Review of Economics and Statistics, v. 85, n. 4, p. 1082-1089, 2003.
LIM, G. Bank interest rate adjustments: are they asymmetric?. Economic Record, v. 77, n. 237, p.
135-147, 2001.
LÜTKEPOHL, H. New introduction to multiple time series analysis. Cambridge University. Press, 2005.
MARSTON, R. Pricing to Market in Japanese Manufacturing, Journal of International Economics,
29, pp. 217-236, 1990.
MCCARTHY, J. Pass-through of exchange rates and import prices to domestic inflation in some industrialized
economies. FRB of New York Staff Report 111, 2000.
MENEZES, G.; FERNANDEZ, R. Análise do efeito pass-through cambial para a formação dos índices
de preços no Brasil (1999 - 2011). In: XV Encontro de Economia da Região Sul - ANPEC / SUL,
Porto Alegre, 2012.
MIHALJEK, D.; KLAU, M. Exchange rate pass-through in emerging market economies: what has
changed and why? BIS Papers, v. 35, p. 103-130, 2008.
MINELLA, A.; FREITAS, P.; GOLDFAJN, I., MUINHOS, M. Inflation targeting in Brazil: constructing
credibility under exchange rate volatility. Journal of International Money and Finance, v.
22. p. 1015-1040, 2003.
NOGUEIRA, R. Inflation Targeting, Exchange Rate Pass-Through and ‘Fear of Floating’, Studies in
Economics 0605, Department of Economics, University of Kent, 2006.
NOGUEIRA, P. Inflation targeting and exchange rate pass-through. Economia Aplicada, São Paulo,
v.11 (2), pp. 189-208, Abril-Junho, 2007.
NOGUEIRA, V.; MORI, R. e MARCAL, E. Transmissão da variação cambial para as taxas de inflação
no Brasil: estimação do pass-through através de modelos de vetores autorregressivos estruturais
com correção de erros. In: XL Encontro Nacional de Economia - ANPEC. Porto de Galinhas, 2012.
NONNENBERG, M. e LAMEIRAS, M. Preços das commodities e o IPA. Boletim de Conjuntura,
IPEA, n. 69, jun., 2005.
PELTZMAN, S. Prices rise faster than they fall. Journal of Political Economy 108.3: 466-502, 2000.
POLLARD, P.; COUGHLIN, C. Size matters: asymmetric exchange rate pass-through at the industry
level. Federal Reserve Bank of St. Louis Working Paper Series, n. 2003-029, 2003.
PRZYSTUPA, J.; WRÓBEL, E. Asymmetry of the Exchange Rate Pass-Through: an exercise on the
Polish data. Eastern European Economics, v. 49, n. 1, p. 30-51, 2011.
RUBIO-RAMIREZ, J., WAGGONER, D., e ZHA, T. Structural Vector Autoregressions: Theory of
Identification and Algorithms for Inference, Review of Economic Studies, 77, 665-696, 2010.
SCHORDERET, Y. Asymmetric Cointegration. Working Paper, Department of Econometrics, University
of Geneva, 2004.
SHIN, Y., YU, B., e GREENWOOD-NIMMO, M. Modelling asymmetric cointegration and dynamic
multipliers in a nonlinear ARDL framework. In: Festschrift in Honor of Peter Schmidt (pp. 281-
314). Springer New York, 2014.
SQUEFF, G. Repasse cambial reverso: uma avaliação sobre a relação entre taxa de câmbio e IPCA
no Brasil (1999-2007). In: II Encontro Internacional da Associação Keynesiana Brasileira, Porto
Alegre, 2009.
SOUZA, R. e ALVES, A. Relação entre câmbio e preços no Brasil: aspectos teóricos e evidências
empíricas In: XXXVIII Encontro Nacional de Economia, ANPEC, 2011.
TOMBINI, A.; ALVES, S. The recent Brazilian disinflations process and costs. Working Papers Series
nº 109. Brasília: Banco Central do Brasil, 2006.
WARE, R., e WINTER, R. Forward markets, currency options and the hedging of foreign exchange
risk. Journal of International Economics 25.3 291-302, 1988.
WEBBER, A. Newton’s gravity law and import prices in the Asia Pacific. Japan and the World Economy,
12(1):71-87, 1999.
WICKREMASINGHE, G.; SILVAPULLE, P. Exchange rate pass-through to manufactured import
prices: The case of Japan. International Trade, v. 406006, 2004.
ZIVOT, Eric; e ANDREWS, D. Further evidence on the great crash, the oil-price shock, and the unit-root
hypothesis. Journal of Business & Economic Statistics, v. 20, n. 1, p. 25-44, 2002.
Case of Chile. Working Paper nº 465, Banco Central de Chile, 2008.
ARAÚJO, E., MODENESI, A. A Importância do Setor Externo na Evolução do IPCA (1999-2010):
uma análise com base em um modelo SVAR. In: XXXVIII Encontro Nacional de Economia
(ANPEC), Salvador (BA), 2010.
BEECHEY, M.; HJALMARSSON, E. e ÖSTERHOLM, P. Testing the expectations hypothesis when
interest rates are near integrated. Journal of Banking & Finance, v. 33, n. 5, p. 934-943, 2009.
BELAISCH, A. Exchange Rate Pass-Through in Brazil. IMF Working Paper 03/141. Washington:
International Monetary Fund, 2003.
BUSSIERE, M. Exchange rate pass‐through in the G7 economies: the role of nonlinearities and asymmetries.
European Central Bank Working Paper n. 822, 2007.
CAMPA, J.; GOLDBERG, L. Exchange rate pass-through into imports prices. The Review of Economics
and Statistics. v. 87. p. 679-690, 2005.
CARNEIRO, D., MONTEIRO, A. M. e WU, T. Mecanismos Não-lineares de Repasse Cambial para o
IPCA. Departamento de Economia PUC-Rio, Texto para Discussão nº 462, 2002.
CHOUDHRI, E. e HAKURA, D. Exchange rate pass-through to domestic prices: does the inflationary
environment matter? Journal of International Money and Finance, v. 25, n. 4, p. 614-639, 2006.
CORREA, A. S. e MINELLA, A. Nonlinear mechanisms of the exchange rate pass-through: A Phillips
curve model with threshold for Brazil. Revista Brasileira de Economia, 64(3):231–243, 2010.
DELATTE, A. e VILLAVICENCIO, A. Asymmetric exchange rate pass-through: Evidence from major
countries. Journal of Macroeconomics, v. 34, n. 3, p. 833-844, 2012.
ENDERS, W. Applied Econometric Time Series. Wiley Series in Probability and Mathematica Statistics.
Ed. John Wiley & Sons Inc, 2008.
ENGLE, R. e GRANGER, C. Co-integration and error correction: representation, estimation, and
testing. Econometrica: journal of the Econometric Society, 251-276, 1987.
FOSTER, H., e BALDWIN, R. Marketing bottlenecks and the relationship between exchange rates and
prices. Department of Economics, Massachusetts Institute of Technology, Cambridge, Mass, 1986.
FRAGA, G. e COUTO, S. O pass-through da taxa de câmbio para índices de preços: uma análise empírica
para o Brasil. In: XVI Encontro de Economia da Região Sul - ANPEC/SUL, 2013, Curitiba.
FRANKEL, J., PARSLEY, D. e WEI, S. Slow Pass-through around the World: A New Import for Developing
Countries? Open Economies Review 23(2) pp 213-251, 2012.
FREY, G., e MANERA, M. Econometric models of asymmetric price transmission. Journal of Economic
surveys, 21(2), 349-415, 2007.
FROOT, K., e KLEMPERER, P. Exchange rate pass-through when market share matters. American
Economic Review, 79(4), 637-654, 1989.
GAGNON, J. E.; IHRIG, J. Monetary policy and exchange rate pass‐through. International Journal of
Finance & Economics, v. 9, n. 4, p. 315-338, 2004.
GIL-PAREJA, S. Exchange rates and European countries’ export prices: An empirical test for asymmetries
in pricing to market behavior. Weltwirtschaftliches Archiv, v. 136, n. 1, p. 1-23, 2000.
GOLDFAJN, I. e WERLANG, S. The pass-through from depreciation to inflation: a panel study. Banco
Central do Brasil. Working Paper n. 05, 2000.
GRANGER, C. Some properties of time series data and their use in econometric model specification.
Journal of econometrics, 16(1), 121-130, 1981.
GRANGER, C., YOON, G., Hidden cointegration. University of California, San Diego, Department of
Economics Working Paper 2002–02.
HERZBERG, V., KAPETANIOS, G., e PRICE G., Import prices and exchange rate passthrough:
theory and evidence from the United Kingdom, Working Paper No. 182, Bank of England, 2003.
HJALMARSSON, E. e ÖSTERHOLM, P. A residual-based cointegration test for near unit root variables,
International Finance Discussion Papers 907, Board of Governors of the Federal Reserve
System (U.S.), 2007.
HJALMARSSON, E.; ÖSTERHOLM, P. Testing for cointegration using the Johansen methodology
when variables are near-integrated: size distortions and partial remedies. Empirical Economics,
v. 39, n. 1, p. 51-76, 2010.
KARORO, T., MESHACH, A. e CATTANEO, N. Exchange Rate Pass-through to Import Prices in South
Africa: Is There Asymmetry? South African Journal of Economics v. 77, n. 3, p. 380-398, 2009.
KHUNDRAKPAM, J. Economic reforms and exchange rate pass-through to domestic prices in India.
Bank for International Settlements Working Paper No.225, 2007.
KNETTER, M. Is Export Price Adjustment Asymmetric? Evaluating the Market Share and Marketing
Bottlenecks Hypotheses. Journal of International Money and Finance 13(1), 55-70, 1994.
KOHLSCHEEN, E. Emerging floaters: pass-throughs and (some) new commodity currencies. Journal
of International Money and Finance, v. 29, n. 8, p. 1580-1595, 2010.
KRUGMAN, P. Pricing to Market When the Exchange Rate Changes, In Arndt, S. e Richardson, J.,
Real-Financial Linkages Among Open Economies, Cambridge, MA, MIT Press, 1987.
LEE, J. e STRAZICICH, M. Minimum Lagrange multiplier unit root test with two structural breaks.
Review of Economics and Statistics, v. 85, n. 4, p. 1082-1089, 2003.
LIM, G. Bank interest rate adjustments: are they asymmetric?. Economic Record, v. 77, n. 237, p.
135-147, 2001.
LÜTKEPOHL, H. New introduction to multiple time series analysis. Cambridge University. Press, 2005.
MARSTON, R. Pricing to Market in Japanese Manufacturing, Journal of International Economics,
29, pp. 217-236, 1990.
MCCARTHY, J. Pass-through of exchange rates and import prices to domestic inflation in some industrialized
economies. FRB of New York Staff Report 111, 2000.
MENEZES, G.; FERNANDEZ, R. Análise do efeito pass-through cambial para a formação dos índices
de preços no Brasil (1999 - 2011). In: XV Encontro de Economia da Região Sul - ANPEC / SUL,
Porto Alegre, 2012.
MIHALJEK, D.; KLAU, M. Exchange rate pass-through in emerging market economies: what has
changed and why? BIS Papers, v. 35, p. 103-130, 2008.
MINELLA, A.; FREITAS, P.; GOLDFAJN, I., MUINHOS, M. Inflation targeting in Brazil: constructing
credibility under exchange rate volatility. Journal of International Money and Finance, v.
22. p. 1015-1040, 2003.
NOGUEIRA, R. Inflation Targeting, Exchange Rate Pass-Through and ‘Fear of Floating’, Studies in
Economics 0605, Department of Economics, University of Kent, 2006.
NOGUEIRA, P. Inflation targeting and exchange rate pass-through. Economia Aplicada, São Paulo,
v.11 (2), pp. 189-208, Abril-Junho, 2007.
NOGUEIRA, V.; MORI, R. e MARCAL, E. Transmissão da variação cambial para as taxas de inflação
no Brasil: estimação do pass-through através de modelos de vetores autorregressivos estruturais
com correção de erros. In: XL Encontro Nacional de Economia - ANPEC. Porto de Galinhas, 2012.
NONNENBERG, M. e LAMEIRAS, M. Preços das commodities e o IPA. Boletim de Conjuntura,
IPEA, n. 69, jun., 2005.
PELTZMAN, S. Prices rise faster than they fall. Journal of Political Economy 108.3: 466-502, 2000.
POLLARD, P.; COUGHLIN, C. Size matters: asymmetric exchange rate pass-through at the industry
level. Federal Reserve Bank of St. Louis Working Paper Series, n. 2003-029, 2003.
PRZYSTUPA, J.; WRÓBEL, E. Asymmetry of the Exchange Rate Pass-Through: an exercise on the
Polish data. Eastern European Economics, v. 49, n. 1, p. 30-51, 2011.
RUBIO-RAMIREZ, J., WAGGONER, D., e ZHA, T. Structural Vector Autoregressions: Theory of
Identification and Algorithms for Inference, Review of Economic Studies, 77, 665-696, 2010.
SCHORDERET, Y. Asymmetric Cointegration. Working Paper, Department of Econometrics, University
of Geneva, 2004.
SHIN, Y., YU, B., e GREENWOOD-NIMMO, M. Modelling asymmetric cointegration and dynamic
multipliers in a nonlinear ARDL framework. In: Festschrift in Honor of Peter Schmidt (pp. 281-
314). Springer New York, 2014.
SQUEFF, G. Repasse cambial reverso: uma avaliação sobre a relação entre taxa de câmbio e IPCA
no Brasil (1999-2007). In: II Encontro Internacional da Associação Keynesiana Brasileira, Porto
Alegre, 2009.
SOUZA, R. e ALVES, A. Relação entre câmbio e preços no Brasil: aspectos teóricos e evidências
empíricas In: XXXVIII Encontro Nacional de Economia, ANPEC, 2011.
TOMBINI, A.; ALVES, S. The recent Brazilian disinflations process and costs. Working Papers Series
nº 109. Brasília: Banco Central do Brasil, 2006.
WARE, R., e WINTER, R. Forward markets, currency options and the hedging of foreign exchange
risk. Journal of International Economics 25.3 291-302, 1988.
WEBBER, A. Newton’s gravity law and import prices in the Asia Pacific. Japan and the World Economy,
12(1):71-87, 1999.
WICKREMASINGHE, G.; SILVAPULLE, P. Exchange rate pass-through to manufactured import
prices: The case of Japan. International Trade, v. 406006, 2004.
ZIVOT, Eric; e ANDREWS, D. Further evidence on the great crash, the oil-price shock, and the unit-root
hypothesis. Journal of Business & Economic Statistics, v. 20, n. 1, p. 25-44, 2002.
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30-06-2016
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Copyright (c) 2016 Débora Mesquita Pimentel, Viviane Luporini, André de Melo Modenesi
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Pimentel, D. M., Luporini, V., & Modenesi, A. de M. (2016). Assimetrias no repasse cambial para a inflação: Uma análise empírica para o Brasil (1999-2013). Estudos Econômicos (São Paulo), 46(2), 343-372. https://doi.org/10.1590/0101-416146233dva
