The degree of exchange rate pass-through in the Brazilian economy after the Real

Abstract The research problem of this paper involves the identification of the exchange rate pass-through to the export and import prices in the Brazilian economy. The exchange rate pass-through is estimated for the period from January 2000 to June 2016, using ARDL and DOLS models applied to panel data. Additionally, the Kalman filter is used to estimate the time-varying exchange rate pass-through to the export and import prices. The empirical results show the existence of an incomplete pass-through to the export prices that is also lower than the import prices (average values of 37% and 98%, respectively). In this context, economic policies aiming to increase Brazilian exports via currency depreciation may not be the most suitable instrument to boost economic growth, based on the low level of export competitiveness and the potential impact of the high degree of exchange rate pass-through to the import prices on the broad price level index.

摘要 本研究旨在识别巴西经济中汇率对进出口价格的汇率传递（exchange rate pass-through）效应。本文以2000年1月至2016年6月为研究区间，采用适配面板数据的ARDL与DOLS模型对汇率传递效应进行估计。此外，本文还借助卡尔曼滤波（Kalman filter）方法，估算了进出口价格的时变汇率传递程度。实证结果表明，出口价格存在不完全汇率传递现象，且该传递水平低于进口价格（均值分别为37%与98%）。在此背景下，鉴于巴西出口竞争力偏弱，且进口价格的高汇率传递程度可能对整体物价指数产生潜在影响，通过货币贬值提振巴西出口以推动经济增长的经济政策或并非最优选择。