IDEAS home Printed from https://ideas.repec.org/p/fgv/eesptd/256.html
   My bibliography  Save this paper

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

Author

Listed:
  • Margarido, Mario Antonio
  • Felippe, Cauê Serigati
  • Bruno, Benzaquen Perosa

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.

Suggested Citation

  • Margarido, Mario Antonio & Felippe, Cauê Serigati & Bruno, Benzaquen Perosa, 2010. "Análise do mecanismo de transmissão dos preços internacionais de commodities agrícolas sobre o comportamento da taxa de câmbio real no Brasil," Textos para discussão 256, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  • Handle: RePEc:fgv:eesptd:256
    as

    Download full text from publisher

    File URL: http://bibliotecadigital.fgv.br/dspace/bitstream/10438/6630/1/TD%20256%20-%20Mario%20Antonio%20Margarido%3b%20Felippe%20Cau%c3%aa%20Serigati%3b%20Bruno%20Benzaquen%20Perosa.pdf
    Download Restriction: no

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fgv:eesptd:256. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Núcleo de Computação da FGV/EPGE). General contact details of provider: http://edirc.repec.org/data/eegvfbr.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.