Hysteresis e o comércio exterior de produtos industrializados brasileiros

This article investigates the hypothesis of hysteresis for the Brazilian manufactured exports and imports in recent years. For that it was used an empirical measure of strong hysteresis (macroeconomic) developed by Piscitelli et al. (2000) and tested its significance in sectoral supply and demand equations for exports and in sectoral equations for import demand. The results shows that Brazilian manufactured exports are strongly determined by international demand, being the empirical measure of real exchange rate expressed by the ratio between international prices and export prices nationals the relevant measure to explain the export performance. With respect to the hysteresis hypothesis, it was rejected for the aggregate of manufactures exports, but accepted in some industrial sectors. For imports this hypothesis was accepted for aggregate of manufactured imports and for ten industrial sectors.

On equilibrium prices in continuous time

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.

Purchasing power parity: the choice of price index

Looking closely at the PPP argument, it states that the currencies purchasing power should not change when comparing the same basket goods across countries, and these goods should all be tradable. Hence, if PPP is valid at all, it should be captured by the relative price indices that best Öts these two features. We ran a horse race among six di§erent price indices available from the IMF database to see which one would yield higher PPP evidence, and, therefore, better Öt the two features. We used RER proxies measured as the ratio of export unit values, wholesale prices, value added deáators, unit labor costs, normalized unit labor costs and consumer prices, for a sample of 16 industrial countries, with quarterly data from 1975 to 2002. PPP was tested using both the ADF and the DFGLS unit root test of the RER series. The RER measured as WPI ratios was the one for which PPP evidence was found for the larger number of countries: six out of sixteen when we use DF-GLS test with demeaned series. The worst measure of all was the RER based on the ratio of foreign CPIs and domestic WPI. No evidence of PPP at all was found for this measure.

Essays on international prices and the subjacent market structure

Esta tese utiliza a informação contida em preços internacionais para identificar parâmetros de modelos de comércio sob competição imperfeita, desta forma permitindo inferência sobre o comportamento das exportações, sobre os ganhos de troca da abertura comercial e sobre a variedade de bens produzidos domesticamente. Em primeiro lugar, investigamos o repasse cambial, no longo prazo, para os preços praticados por exportadores brasileiros. O foco no longo prazo permite controlar os efeitos da rigidez de preço no curto prazo, de maneira que o repasse incompleto evidencie competição imperfeita com preços flexíveis. Em segundo lugar, calculamos os ganhos de troca de novas variedades de bens importados baseando-nos em estimativas para as elasticidades de substituição desagregadas. Finalmente, qualificamos a ênfase da literatura de comércio em ganhos de eficiência no lugar de ganhos de variedade, demonstrando que a variedade de bens produzidos domesticamente se amplia após aberturas comerciais desde que as firmas tenham uma margem de decisão em bens intermediários ou na qualificação da mão de obra.

Fuel ethanol price drivers in the Atlantic basin : Brazil & the U.S. traders perspectives

Como a oportunidade de exportação de etanol combustível é muito recente, o agronegócio carece de literatura para formação de gestores e estrategistas. Este trabalho tem como objetivo descrever o mecanismo de formação de preços de etanol tanto no Brasil como nos Estados Unidos da America. Decupei as variáveis que impactam na formação de preços, custo de produção de etanol de cana-de-açúcar, custo da logística e desidratação no Caribe, custo do etanol de milho e fiz algumas análises de cenários de formação de preços das principais variáveis e consegui organizar este conhecimento em um gráfico que contém no eixo superior preço do etanol hidratado na usina no Brasil e no eixo inferior o preço do bushel de milho em Chicago cujas interceções nas retas da taxa do dólar e do preço do gás natural, fornecem no eixo Y o preço do produto no porto de Nova York, ficando uma visualização simples das possibilidades da janela de exportação. A metodologia permite assumir diferentes cenários de oferta, demanda e preços e estabelecer diferentes estratégias de comercialização.

Reinsurance in Brazil: what happened to prices?

Neste estudo investigamos a mudança no Brasil de um mercado fechado monopolista de resseguros para um mercado aberto. O foco tem sido sobre os prêmios, como a queda nos preços foi um dos benefícios mais antecipados da nova estrutura do mercado. Para comparar os preços de resseguro entre mercados o Índice Combinado foi usado. Ao comparar o Brasil ao Resto do Mundo, Índices Combinados significativamente menores foram observados para 2001 - 2007. No período 2008 - 2010, após a abertura, parece ter sido uma convergência dos Índices Combinados com os níveis no mundo. Confirma que os preços de resseguro eram altos no passado, e que ocorreu uma queda nos preços desde a abertura. No entanto estas conclusões devem ser tratados com alguma precaução uma vez que apenas 2,5 anos de experiência está disponível desde a abertura do mercado e outros fatores podem ter influenciado a evolução dos preços observados.

Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons

The objective of this article is to study (understand and forecast) spot metal price levels and changes at monthly, quarterly, and annual horizons. The data to be used consists of metal-commodity prices in a monthly frequency from 1957 to 2012 from the International Financial Statistics of the IMF on individual metal series. We will also employ the (relatively large) list of co-variates used in Welch and Goyal (2008) and in Hong and Yogo (2009) , which are available for download. Regarding short- and long-run comovement, we will apply the techniques and the tests proposed in the common-feature literature to build parsimonious VARs, which possibly entail quasi-structural relationships between different commodity prices and/or between a given commodity price and its potential demand determinants. These parsimonious VARs will be later used as forecasting models to be combined to yield metal-commodity prices optimal forecasts. Regarding out-of-sample forecasts, we will use a variety of models (linear and non-linear, single equation and multivariate) and a variety of co-variates to forecast the returns and prices of metal commodities. With the forecasts of a large number of models (N large) and a large number of time periods (T large), we will apply the techniques put forth by the common-feature literature on forecast combinations. The main contribution of this paper is to understand the short-run dynamics of metal prices. We show theoretically that there must be a positive correlation between metal-price variation and industrial-production variation if metal supply is held fixed in the short run when demand is optimally chosen taking into account optimal production for the industrial sector. This is simply a consequence of the derived-demand model for cost-minimizing firms. Our empirical evidence fully supports this theoretical result, with overwhelming evidence that cycles in metal prices are synchronized with those in industrial production. This evidence is stronger regarding the global economy but holds as well for the U.S. economy to a lesser degree. Regarding forecasting, we show that models incorporating (short-run) commoncycle restrictions perform better than unrestricted models, with an important role for industrial production as a predictor for metal-price variation. Still, in most cases, forecast combination techniques outperform individual models.

Non-durable consumption and real-estate prices in Brazil: panel-data analysis at the state level

Housing is an important component of wealth for a typical household in many countries. The objective of this paper is to investigate the effect of real-estate price variation on welfare, trying to close a gap between the welfare literature in Brazil and that in the U.S., the U.K., and other developed countries. Our first motivation relates to the fact that real estate is probably more important here than elsewhere as a proportion of wealth, which potentially makes the impact of a price change bigger here. Our second motivation relates to the fact that real-estate prices boomed in Brazil in the last five years. Prime real estate in Rio de Janeiro and São Paulo have tripled in value in that period, and a smaller but generalized increase has been observed throughout the country. Third, we have also seen a recent consumption boom in Brazil in the last five years. Indeed, the recent rise of some of the poor to middle-income status is well documented not only for Brazil but for other emerging countries as well. Regarding consumption and real-estate prices in Brazil, one cannot imply causality from correlation, but one can do causal inference with an appropriate structural model and proper inference, or with a proper inference in a reduced-form setup. Our last motivation is related to the complete absence of studies of this kind in Brazil, which makes ours a pioneering study. We assemble a panel-data set for the determinants of non-durable consumption growth by Brazilian states, merging the techniques and ideas in Campbell and Cocco (2007) and in Case, Quigley and Shiller (2005). With appropriate controls, and panel-data methods, we investigate whether house-price variation has a positive effect on non-durable consumption. The results show a non-negligible significant impact of the change in the price of real estate on welfare consumption), although smaller then what Campbell and Cocco have found. Our findings support the view that the channel through which house prices affect consumption is a financial one.

Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons

The objective of this article is to study (understand and forecast) spot metal price levels and changes at monthly, quarterly, and annual frequencies. Data consists of metal-commodity prices at a monthly and quarterly frequencies from 1957 to 2012, extracted from the IFS, and annual data, provided from 1900-2010 by the U.S. Geological Survey (USGS). We also employ the (relatively large) list of co-variates used in Welch and Goyal (2008) and in Hong and Yogo (2009). We investigate short- and long-run comovement by applying the techniques and the tests proposed in the common-feature literature. One of the main contributions of this paper is to understand the short-run dynamics of metal prices. We show theoretically that there must be a positive correlation between metal-price variation and industrial-production variation if metal supply is held fixed in the short run when demand is optimally chosen taking into account optimal production for the industrial sector. This is simply a consequence of the derived-demand model for cost-minimizing firms. Our empirical evidence fully supports this theoretical result, with overwhelming evidence that cycles in metal prices are synchronized with those in industrial production. This evidence is stronger regarding the global economy but holds as well for the U.S. economy to a lesser degree. Regarding out-of-sample forecasts, our main contribution is to show the benefits of forecast-combination techniques, which outperform individual-model forecasts - including the random-walk model. We use a variety of models (linear and non-linear, single equation and multivariate) and a variety of co-variates and functional forms to forecast the returns and prices of metal commodities. Using a large number of models (N large) and a large number of time periods (T large), we apply the techniques put forth by the common-feature literature on forecast combinations. Empirically, we show that models incorporating (short-run) common-cycle restrictions perform better than unrestricted models, with an important role for industrial production as a predictor for metal-price variation.

Determinantes da apreciação da taxa de câmbio real brasileira nos anos 2000

A forte apreciação cambial que o Brasil sofreu na última década se traduziu em um novo debate acerca da hipótese de Doença Holandesa no país. Como a queda da taxa de câmbio real ocorreu em um período de alta de preços de commodities e nos últimos anos, especialmente após a crise de 2008, vimos uma maior concentração da pauta exportadora em produtos primários, muitos economistas argumentam que a apreciação foi consequência do boom de commodities e que, em razão disso, o Brasil poderia estar sofrendo da Doença Holandesa. Este trabalho mostra que o boom de commodities não foi a principal causa da apreciação da taxa de câmbio real e não representou uma maior dependência destas mercadorias. A mudança do perfil de risco da economia brasileira foi um dos fatores mais importante para a queda da taxa de câmbio. Concluímos, portanto, que a recente perda de competitividade dos demais setores exportadores não pode ser atribuída exclusivamente à valorização das commodities.

A quase-estagnação brasileira e sua explicação novo-desenvolvimentista

The Brazilian economy is quasi-stagnant since 1980, with exception of the short 2006-2010 boom, caused by the high prices of the commodities. Up to 1994, the causes were the major financial crisis of the 1980s and the ensuing high inertial inflation. Since these two causes were overcome, the Brazilian economy should have resumed growth, but didn’t. According to new developmental macroeconomics, the new fact that explains this low growth is the 1990-91 trade liberalization, which had as non-predicted consequence the suspension of the neutralization of the Dutch disease. This fact made the Brazilian manufacturing industry to have since then a competitive disadvantage of 20 to 25%, which is causing premature deindustrialization and quasi-stagnation. There is a solution for this stalemate today, but liberal as well as developmental Brazilian economists are not being able to consider the new macroeconomic models that justify it

Financial constraints and house prices: an international perspective

In this paper, we show substantial empirical evidence that house prices are more sensitive to shocks to percapita income, in countries where housing finance is more developed. This result is consistent with the theoretical framework developed in the paper, where we study the impact ofprogressive relaxation of financiai constraints on housing demand and equilibrium house prices. Our results are consistent with recent literature on financiai constraints and business investment, which argues that the investment of less constrained firms can be more sensitive to changes in cash flow. More broadly, our results challenge the traditional view that financiai development leads to smaller fluctuations in key economic variables. The policy implications are c1ear and important. Even iffinancial development is desirable for other reasons, the potential associated increase in volatility should be an explicit policy concern.