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Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil

Revista Brasileira de Economia

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Title Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil
Nonlinear Mechanisms of the Exchange Rate Pass-Through: A Phillips Curve Model with Threshold for Brazil
 
Creator Correa, Arnildo da Silva; Banco Central do Brasil
Minella, André; Banco Central do Brasil
 
Subject Exchange Rate Pass-Through, Threshold, Inflation, Nonlinearity, Brazil.
Exchange Rate Pass-Through, Threshold, Inflation, Nonlinearity, Brazil.
 
Description This paper investigates the presence of nonlinear mechanisms of the pass-through from exchange rate to inflation in Brazil. In particular, it estimates a Phillips curve with a threshold for the pass-through. The paper examines whether the short-run magnitude of the pass-through is affected by the business cycle, direction and magnitude of the exchange rate change, and volatility of the exchange rate. The results indicate that the short-run pass-through is higher when the economy is booming, when the exchange rate depreciates above some threshold and when the exchange rate volatility is lower.
Este trabalho investiga a presença de mecanismos não-lineares de repasse cambial para a inflação no Brasil. Em particular, estima-se uma curva de Phillips com limiar (threshold) para o repasse cambial. O artigo examina se a magnitude de curto prazo do repasse é afetada pelo ciclo econômico, pela direção e magnitude da variação cambial e pela volatilidade da taxa de câmbio. Os resultados indicam que o repasse de curto prazo é maior quando a economia está em expansão, quando a taxa de câmbio se deprecia acima de certo valor e quando a volatilidade da taxa de câmbio é menor.
 
Publisher Escola de Pós-Graduação em Economia da FGV
 
Contributor —
—
 
Date 2010-06-25
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Articles
Artigos
 
Format application/pdf
application/pdf
 
Identifier http://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/view/946
 
Source Revista Brasileira de Economia; v. 64, n. 3 (2010); 231-243
Revista Brasileira de Economia; v. 64, n. 3 (2010); 231-243
0034-7140
0034-7140
 
Language por
eng
 
Relation http://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/view/946/1810
http://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/view/946/1811
http://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/downloadSuppFile/946/47