Transmissão da variação cambial para as taxas de inflação no Brasil: estimação do pass-through através de modelos de vetores autorregressivos estruturais com correção de erros

Veridiana Nogueira (), Rogério Mori and Emerson Marçal

No 349, Textos para discussão from FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

Abstract: This paper estimates the transmission of exchange rate changes to price indices in Brazil using the methodology of structural autoregressive vectors (SVAR) with vector error correction (VEC). The study period begins on the introduction of the inflation targeting (June 1999) and ends in September 2011. The results support the evaluation that monetary policy has matured in recent years, with a concomitant improvement in the macroeconomic environment. Comparing our results with previous studies, we found a significant reduction in the pass-through of the exchange rate for inflation.

Date: 2013-12-09
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://repositorio.fgv.br/bitstreams/0bc37d10-8aa ... cacc3152b07/download (application/pdf)

Related works:
Working Paper: TRANSMISSÃODA VARIAÇÃO CAMBIAL PARA AS TAXAS DE INFLAÇÃO NO BRASIL: ESTIMAÇÃO DOPASS-THROUGH ATRAVÉS DE MODELOS DE VETORES AUTORREGRESSIVOS ESTRUTURAISCOM CORREÇÃO DE ERROS (2014)
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:fgv:eesptd:349

Access Statistics for this paper

More papers in Textos para discussão from FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) Contact information at EDIRC.
Bibliographic data for series maintained by Núcleo de Computação da FGV EPGE ().