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
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