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Master's Dissertation
DOI
10.11606/D.12.2010.tde-20122010-111346
Document
Author
Full name
Gustavo Rechdan de Andrade
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2010
Supervisor
Committee
Duarte, Pedro Garcia (President)
Nogueira Junior, Reginaldo Pinto
Rodrigues Junior, Mauro
Title in Portuguese
Repasse cambial e ambiente inflacionário: uma análise para países desenvolvidos através de painéis dinâmicos
Keywords in Portuguese
Inflação
Política antiinflacionária
Taxa de câmbio
Abstract in Portuguese
Recentemente, importantes questionamentos emergiram na literatura sobre repasse cambial. Mais especificamente, foi dada crescente atenção à hipótese de Taylor (2000) de que o pass-through se reduziu em diversos países como conseqüência do ambiente de inflação mais baixa. Esta dissertação investiga o tema através da aplicação de painéis dinâmicos para um conjunto de economias desenvolvidas. Deste modo, são estimados modelos de efeito fixo e Arellano-Bond em janelas fixas (rolling windows), que apontam para uma redução substancial na transmissão do câmbio para a inflação. A análise de potenciais determinantes macroeconômicos dessa queda indica que o ambiente inflacionário foi o principal elemento por trás do fato, sobretudo nos anos oitenta e noventa, em que o processo de desinflação foi mais intenso. Por outro lado, os anos dois mil apresentam um coeficiente de pass-through bastante baixo e estável, visto que o cenário de inflação baixa já estava consolidado para o conjunto de economias analisadas.
Title in English
Exchange rate pass-through and inflation: looking at developed dountries through a dynamic panel analysis
Keywords in English
Developed countries
Dynamic panel models
Exchange rate pass-through
Inflation
Abstract in English
Recently, economists have become more interested in studying exchange rate pass-through. More specifically, increasing attention has been given to Taylors (2000) hypothesis that the passthrough has declined in several countries as a result of a lower inflation environment. This dissertation examines this issue through the application of dynamic panels for a number of developed economies. Panel data models are estimated here using fixed effects and Arellano- Bond estimators in rolling windows. The results point to a substantial reduction in the transmission of exchange rate to inflation. The analysis of potential macroeconomic determinants of this decline indicates that the inflationary environment was the main factor behind this fact, mainly in the eighties and nineties when the disinflation process was more intense worldwide. On the other hand, in the first decade of this century the pass-through coefficient was fairly low and stable, perhaps because the scenario of low inflation was already a longstanding reality to the economies analyzed in the present study.
 
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Publishing Date
2011-01-13
 
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