O MECANISMO DE TRANSMISSÃO DA TAXA DE CÂMBIO PARA ÍNDICES DE PREÇOS: UMA ANÁLISE VECM PARA O BRASIL

Osmani Guillén and Carlos Hamilton Vasconcelos Araújo

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 article uses a Vector Error Correction Model (VECM) framework to study exchange rate pass-through to producer and consumer prices in Brasil. We identify two long-run and one short-run relations in data. We calculate the impulse-response function of domestic prices to exchange rate shock. Exchange rate pass-through is shown to be incomplete. We verify that passthrough is modest for producer prices and very small for consumer prices. An exchange rate shock does, therefore, have a limited impact on consumer price inflation.

JEL-codes: E31 E32 E58 (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:anp:en2005:034

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