Pass-through cambial em alimentos no atacado e varejo no Brasil

Resumo

This dissertation investigates price transmission between wholesale and retail food markets in Brazil, emphasizing the role of the exchange rate as a determinant of domestic prices. Using monthly data from January 2012 to December 2023 for five staple food products (rice, beans, beef, chicken, and milk), the study employs two complementary methodologies: the vector error correction model (VECM) to identify long-run relationships and adjustment mechanisms, and the autoregressive distributed lag model (ARDL) to assess temporal robustness and incorporate exchange rate effects. VECM results reveal robust cointegration for rice, beans, beef, and chicken, evidencing long-run equilibrium relationships between wholesale and retail markets, with elasticities exceeding unity (ranging from 1.14 to 1.24), indicating significant marketing margins. Impulse response functions confirm wholesale price leadership, with asymmetric transmission: shocks to wholesale prices robustly affect retail (magnitudes of 0.4 to 0.6 standard deviations), while the reverse movement is weak or insignificant. Milk constitutes an exception, exhibiting structural segmentation without cointegration between wholesale and retail. ARDL analysis across four subperiods investigates the direct effect of the PTAX exchange rate on retail prices, conditional on wholesale price levels. Results do not provide evidence of robust direct exchange rate pass-through: for rice and beef, the long-run multiplier of PTAX is not statistically significant in any subperiod; for beans and chicken, direct coefficients are negative in some subperiods, with significance in isolated cases, a pattern attributable to multicollinearity between log_PTAX and log_wholesale — the wholesale price index already incorporates exchange rate effects on dollar-linked production costs. The economic interpretation is that the exchange rate channel operates indirectly, through wholesale prices, consistent with the wholesale price leadership identified by the VECM. Milk remains insensitive to the exchange rate across all periods, confirming structural disconnection between segments. The study’s contributions include: (i) updated empirical evidence incorporating the pandemic period; (ii) documentation of product heterogeneity in terms of adjustment speeds, marketing margins, and transmission patterns; (iii) characterization of the exchange rate channel as an indirect mechanism, intermediated by wholesale prices; and (iv) characterization of milk as a uniquely segmented market. Impulse-response functions also indicate that exchange rate shocks transmit to retail prices with a lag of approximately 2 to 4 months, an information relevant for the timing calibration of stabilization policies. The results have direct implications for macroeconomic management, sector-specific policies, and market regulation: since the transmission channel operates through the wholesale stage, stabilization interventions tend to be more effective at that level, although logistics costs, taxation, and industrial organization also account for part of the retail margins observed — limiting the mechanical pass-through of price variations originating upstream in the chain.

Ficha do documento

Tipo

Dissertação

Ano

2026

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/40024

Temas

EconomiaDesenvolvimento Econômico

Palavras-chave

Pass-through cambialTransmissão de preçosCointegraçãoVECMARDLMercados agroalimentaresExchange rate pass-throughPrice transmissionCointegrationAgrifood marketsEconomiaTaxas de câmbioPreços - DeterminaçãoComércio atacadistaComércio varejistaAlimentos - Indústria