Transmission of exchange rate variation to Brazilian pulp export prices

ABSTRACT: The aim of this research was to examine the relationship between exchange rate variations and Brazilian export prices for cellulose, which is defined as the exchange rate pass-through, taking the period from January 2000 to March 2019 as a reference. The data were collected on the websites of the Ministry of Development, Industry and Foreign Trade - MDIC, the Institute of Applied Economics - IPEA and the Federal Reserve Bank of St. Louis - FRED. Thus, time series instruments were used, especially the Error Correction Vector Model. Results provided indications that the pass-through degree of exchange rate for cellulose export prices occurred incompletely in the total period and in the second sub-period, and was null in the first sub-period, representing that depreciation of rate exchange rates did not translate into significant competitiveness gains, as they did not significantly reduced export prices.

摘要：本研究以2000年1月至2019年3月为研究区间，旨在考察巴西纤维素出口价格与汇率波动之间的关系，即汇率传递效应（exchange rate pass-through）。研究数据取自发展、工业与外贸部（Ministry of Development, Industry and Foreign Trade，缩写MDIC）、应用经济研究所（Institute of Applied Economics，缩写IPEA）以及圣路易斯联邦储备银行（Federal Reserve Bank of St. Louis，缩写FRED）的官方网站。本研究采用时间序列分析工具，核心方法为误差修正向量模型（Error Correction Vector Model）。结果显示，在全样本时段与第二子时段内，汇率对纤维素出口价格的传递程度不完全；而在第一子时段内，汇率传递效应为零，这表明汇率贬值并未转化为显著的竞争力提升，因为出口价格并未出现明显下调。