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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

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  • Nogueira, Veridiana de Andrade
  • Mori, Rogério
  • Marçal, Emerson Fernandes

Abstract

Este artigo estima a transmissão da variação cambial aos índices de preços brasileiros, utilizando a metodologia de vetores autorregressivos estruturais (SVAR) com vetores de correção de erros (VEC). O período estudado tem início na introdução do regime de metas para a inflação (junho de 1999) e se encerra em setembro de 2011. Os resultados reforçam a avaliação de que houve amadurecimento da política monetária nos últimos anos, concomitantemente a uma melhora do ambiente macroeconômico. Na comparação dos nossos resultados com estudos anteriores, encontramos significativa redução do pass-through da taxa de câmbio para os índices de inflação.

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Bibliographic Info

Paper provided by Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) in its series Textos para discussão with number 349.

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Date of creation: 09 Dec 2013
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Handle: RePEc:fgv:eesptd:349

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  1. Stephen G. Cecchetti & Michael Ehrmann, 2002. "Does Inflation Targeting Increase Output Volatility?: An International Comparison of Policymakers' Preferences and Outcomes," Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile, in: Norman Loayza & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.), Monetary Policy: Rules and Transmission Mechanisms, edition 1, volume 4, chapter 9, pages 247-274 Central Bank of Chile.
  2. Guillermo A. Calvo & Carmen M. Reinhart, 2000. "Fear of Floating," NBER Working Papers 7993, National Bureau of Economic Research, Inc.
  3. Andrew Crockett & Chairman, 1999. "General discussion : exchange rates and financial fragility," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, Federal Reserve Bank of Kansas City, pages 411-422.
  4. Joel Bogdanski & Alexandre Antonio Tombini & Sérgio Ribeiro da Costa Werlang, 2000. "Implementing Inflation Targeting in Brazil," Working Papers Series, Central Bank of Brazil, Research Department 1, Central Bank of Brazil, Research Department.
  5. Svensson, Lars E. O., 2000. "Open-economy inflation targeting," Journal of International Economics, Elsevier, Elsevier, vol. 50(1), pages 155-183, February.
  6. André Minella & Paulo Springer de Freitas & Ilan Goldfajn & Marcelo Kfoury Muinhos, 2003. "Inflation Targeting in Brazil: Constructing Credibility under Exchange Rate Volatility," Working Papers Series, Central Bank of Brazil, Research Department 77, Central Bank of Brazil, Research Department.
  7. Barry Eichengreen & Ricardo Hausmann, 1999. "Exchange rates and financial fragility," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, Federal Reserve Bank of Kansas City, pages 329-368.
  8. Arminio Fraga & Ilan Goldfajn & André Minella, 2004. "Inflation Targeting in Emerging Market Economies," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER Macroeconomics Annual 2003, Volume 18, pages 365-416 National Bureau of Economic Research, Inc.
  9. Laurence Ball, 2000. "Policy Rules and External Shocks," Working Papers Central Bank of Chile, Central Bank of Chile 82, Central Bank of Chile.
  10. Laurence Ball, 1998. "Policy Rules for Open Economies," RBA Research Discussion Papers, Reserve Bank of Australia rdp9806, Reserve Bank of Australia.
  11. Agnes Belaisch, 2003. "Exchange Rate Pass-Through in Brazil," IMF Working Papers, International Monetary Fund 03/141, International Monetary Fund.
  12. Ilan Goldfajn & Sergio R.C. Werlang, 2000. "The pass-through from depreciation to inflation : a panel study," Textos para discussão, Department of Economics PUC-Rio (Brazil) 423, Department of Economics PUC-Rio (Brazil).
  13. Marcelo Kfoury Muinhos, 2001. "Inflation Targeting in an Open Financially Integrated Emerging Economy: the case of Brazil," Working Papers Series, Central Bank of Brazil, Research Department 26, Central Bank of Brazil, Research Department.
  14. Juselius, Katarina, 2006. "The Cointegrated VAR Model: Methodology and Applications," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780199285679, October.
  15. Márcio Holland, 2006. "Exchange Rate Volatility and the Fear of Floating in Brazil," Economia, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 7(2), pages 279-292.
  16. Marcos Rocha & Marcelo Curado, 2007. "Metas De Inflação E Volatilidade Cambial: Uma Análise Da Experiência Internacional Com Painel-Garch," Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Gr 018, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  17. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 39(1), pages 195-214, December.
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