Asymmetric effects from exchange to inflation: evidence to Brazil via NARDL models
Benito Adelmo Salomão Neto () and
Thaís Guimarães Alves ()
Brazilian Journal of Political Economy, 2025, vol. 45, issue 3, 619-640
Abstract:
This paper tests the pass-through effect for Brazil from 1999 to 2024 using nonlineardistributed lag autoregressive models (NARDL). Inflation (IGP-M; IPCA; monitored;free; tradable and non-tradable) cointegrates with the exchange rate and the vector of covariates.The ECM, on the other hand, points to inflation resilience in the short term, indicatingnominal rigidity. Dynamic multipliers reveal that the exchange rate pass-through to inflationis asymmetric, but heterogeneous. The IPCA and free and non-tradable prices havepositive asymmetry, in which the pass-through in the face of exchange rate depreciations isgreater than that of appreciations. The other prices showed negative asymmetry. JEL Classification: E31; F31; F41.
Keywords: Inflation; exchange rate; NARDL; Bounds Testing; dynamic multipliers (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:
Downloads: (external link)
https://centrodeeconomiapolitica.org.br/repojs/ind ... ticle/view/2523/2451 (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ekm:repojs:v:45:y:2025:i:3:p:619-640:id:2523
Access Statistics for this article
More articles in Brazilian Journal of Political Economy from Center of Political Economy
Bibliographic data for series maintained by Brazilian Journal of Political Economy (Brazil) ().