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

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  • Margarido, Mario Antonio
  • Felippe, Cauê Serigati
  • Bruno, Benzaquen Perosa
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    Abstract

    This paper examined the transmission mechanism of international prices ofagricultural commodities into the real exchange rate in Brazil for the period from January2000 to February 2010. We used time series models (ARIMA Model, Transfer Model,Intervention Analysis, Johansen Cointegration Test) in determination of the short and longrun elasticities. Transfer Function Model results show that changes in international prices ofagricultural 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 longerconverge 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 pricesin the case of Brazil. These results show that monetary shocks have greater weight on changesof the real exchange rate than real shocks.

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    Bibliographic Info

    Paper provided by Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) in its series Textos para discussão with number 256.

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    Date of creation: 26 May 2010
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    Handle: RePEc:fgv:eesptd:256

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