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MECANISMOS NÃO-LINEARES DE REPASSE CAMBIAL: UM MODELO DE CURVA DE PHILLIPS COM THRESHOLD PARA O BRASIL

Arnildo Correa and André Minella

Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] from ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]

Abstract: This paper investigates the presence of non-linear mechanisms of the pass- through from exchange rate to inflation in Brazil. In particular, it estimates a Phillips curve with a threshold for the passthrough. 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. For that purpose, three variables are tested as thresholds: i) output gap, ii) exchange rate change, and iii) exchange rate volatility. 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. These results have important implications for monetary policy and are possibly related to pricing-to-market behavior, menu costs of price adjustment and uncertainty about the degree of persistence in exchange rate movements.

JEL-codes: E31 E50 E58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:anp:en2005:033

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