Análise do mecanismo de transmissão dos preços internacionais de commodities agrícolas sobre o comportamento da taxa de câmbio real no Brasil

Mario Antonio Margarido, Cauê Serigati Felippe and Benzaquen Perosa Bruno

No 256, Textos para discussão from FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

Abstract: This paper examined the transmission mechanism of international prices of agricultural commodities into the real exchange rate in Brazil for the period from January 2000 to February 2010. We used time series models (ARIMA Model, Transfer Model, Intervention Analysis, Johansen Cointegration Test) in determination of the short and long run elasticities. Transfer Function Model results show that changes in international prices of agricultural commodities are transmitted to the real exchange rate in Brazil in the short run, however, that transmission is less than unity, thus configuring the inelastic relationship. Johansen cointegration tests show that these variables are not co-integrated, no longer converge to the long-run equilibrium. These results are in agreement Cashim et al. (2004), which also found no long run relationship between real exchange rate and commodity prices in the case of Brazil. These results show that monetary shocks have greater weight on changes of the real exchange rate than real shocks.

Date: 2010-05-26
References: Add references at CitEc
Citations:

Downloads: (external link)
https://repositorio.fgv.br/bitstreams/827cc551-932 ... 8a15aaeb816/download (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fgv:eesptd:256

Access Statistics for this paper

More papers in Textos para discussão from FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) Contact information at EDIRC.
Bibliographic data for series maintained by Núcleo de Computação da FGV EPGE ().