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O impacto das commodities sobre a dinâmica da inflação no Brasil e o papel amortecedor do câmbio: evidências para o CRB Índex e Índice de Commodities Brasil [The impact of commodities on Brazilian inflationary dynamics and the smoothing role of the exchange rate: evidences for the CRB Index and Commodity Index Brazil]

Marcos Stockl, Ricardo Ramalhete Moreira and Ana Carolina Giuberti
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Marcos Stockl: UFES
Ricardo Ramalhete Moreira: UFES
Ana Carolina Giuberti: UFES

Nova Economia, 2017, vol. 27, issue 1, 173-207

Abstract: This article investigates the impacts of shocks in commodity prices, measured by the CRB and IC-Br indexes, on the inflationary dynamics in Brazil, from January 2005 to December 2013, using vector autoregressive (VAR) models. Specifically, the role of the nominal exchange rate was tested as a smoothing mechanism for inflationary effects of those shocks. The main results were the following: (i) Both indexes are robust for anticipating consumer prices changes in Brazil; (ii) the CRB index is more suitable to express the inverse correlation of commodities prices and the nominal exchange rate in Brazil; (iii) the exchange rate changes caused by shocks in commodity prices are, as expected by the literature, an important mechanism to smooth the induced inflationary pressure.

Keywords: commodities prices; inflation; exchange rate; CRB; IC-Br (search for similar items in EconPapers)
JEL-codes: E31 E52 (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:nov:artigo:v:27:y:2017:i:1:p:173-207