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

Arnildo Correa and André Minella ()

Revista Brasileira de Economia - RBE, 2010, vol. 64, issue 3

Abstract: 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.

Date: 2010
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Related works:
Working Paper: Nonlinear Mechanisms of the Exchange Rate Pass-Through: a Phillips curve model with threshold for Brazil (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgrbe:v:64:y:2010:i:3:a:946

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