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Master's Dissertation
DOI
10.11606/D.96.2010.tde-05052010-145050
Document
Author
Full name
Diogo de Prince Mendonça
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
Ribeirão Preto, 2010
Supervisor
Committee
Kannebley Júnior, Sérgio (President)
Brito, Marcio Holland de
Ferreira, Alex Luiz
Title in Portuguese
Uma análise empírica para a hipótese de hysteresis nas importações brasileiras
Keywords in Portuguese
Demanda por importação
Hysteresis
Pass-through da taxa de câmbio
Abstract in Portuguese
Esse trabalho propõe testar a presença de hysteresis na demanda por importações e no repasse cambial para o preço das importações, no período de 1996 a 2008 no Brasil, utlizando dados em painel para 29 setores industriais. Os testes para a presença de hysteresis baseiam-se no conceito de hysteresis forte fornecido pelo modelo de Preisach (1938), captadas a partir de variáveis representativas do fenômeno calculadas a partir do algoritmo de Piscitelli et al (2000). As estimações utilizam a metodologia convencional em painel, bem como métodos de estimação considerando a possibilidade de cointegração entre as variáveis. Os resultados evidenciaram a presença de hysteresis no preço e no quantum importados. Como teorizou Dixit (1989), o grau de pass-through reduz na presença do fenômeno histerético. Além disso, obtivemos que o grau de repasse cambial para o preço das importações diminuía sob a presença de hysteresis, conforme proposto por Dixit.
Title in English
Empirical analysis of the hysteresis hypothesis on the brazilian imports
Keywords in English
Exchange rate pass-through
Hysteresis
Import demand
Abstract in English
This research proposes to test the hysteresis hypothesis on the Brazilian import demand and the exchange rate pass-through from 1996 to 2008 in a panel from 29 industrial sectors. The hysteresis test is based on the strong hysteresis concept from Preisach model, measured by algorithm from Piscitelli et al (2000). The methodology focus on the traditional panels method and the cointegration relationship. The results indicate the presence of hysteresis at both equations. Besides, the exchange rate pass-through estimated reduced in the presence of hysteresis as proposed by Dixit (1989).
 
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DiogoPrinceMendonca.pdf (562.22 Kbytes)
Publishing Date
2010-07-21
 
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