Advanced Search
MyIDEAS: Login to save this paper or follow this series

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

Contents:

Author Info

  • 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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://bibliotecadigital.fgv.br/dspace/bitstream/10438/11341/5/TD%20349%20-%20CEMAP%2004%20-%20Veridiana%20de%20Andrade%20Nogueira%20-%20Rog%c3%a9rio%20Mori%20-%20Emerson%20Mar%c3%a7al.pdf
Download Restriction: no

Bibliographic Info

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

as in new window
Length:
Date of creation: 09 Dec 2013
Date of revision:
Handle: RePEc:fgv:eesptd:349

Contact details of provider:
Postal: Rua Itapeva, 474, 13o andar, CEP 01332-000, São Paulo - SP
Phone: 55 (011) 3799-3350
Fax: 55 (011) 3799-3357
Email:
Web page: http://eesp.fgv.br
More information through EDIRC

Related research

Keywords:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Agnes Belaisch, 2003. "Exchange Rate Pass-Through in Brazil," IMF Working Papers 03/141, International Monetary Fund.
  2. Barry Eichengreen & Ricardo Hausmann, 1999. "Exchange Rates and Financial Fragility," NBER Working Papers 7418, National Bureau of Economic Research, Inc.
  3. Laurence Ball, 2000. "Policy Rules and External Shocks," NBER Working Papers 7910, National Bureau of Economic Research, Inc.
  4. Stephen Cecchetti & Michael Ehrmann, 2000. "Does Inflation Targeting Increase Output volatility? An International Comparison of Policy Maker's Preferences and Outcomes," Working Papers Central Bank of Chile 69, Central Bank of Chile.
  5. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
  6. Svensson, Lars E.O., 1998. "Open-Economy Inflation Targeting," Seminar Papers 638, Stockholm University, Institute for International Economic Studies.
  7. Reinhart, Carmen & Calvo, Guillermo, 2002. "Fear of floating," MPRA Paper 14000, University Library of Munich, Germany.
  8. Laurence M. Ball, 1999. "Policy Rules for Open Economies," NBER Chapters, in: Monetary Policy Rules, pages 127-156 National Bureau of Economic Research, Inc.
  9. Arminio Fraga & Ilan Goldfajn & Andre Minella, 2003. "Inflation Targeting in Emerging Market Economies," NBER Working Papers 10019, National Bureau of Economic Research, Inc.
  10. 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] 018, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  11. Marcelo Kfoury Muinhos, 2001. "Inflation Targeting in an Open Financially Integrated Emerging Economy: the case of Brazil," Working Papers Series 26, Central Bank of Brazil, Research Department.
  12. Joel Bogdanski & Alexandre Antonio Tombini & Sérgio Ribeiro da Costa Werlang, 2000. "Implementing Inflation Targeting in Brazil," Working Papers Series 1, Central Bank of Brazil, Research Department.
  13. Andrew Crockett & Chairman, 1999. "General discussion : exchange rates and financial fragility," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 411-422.
  14. 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], vol. 7(2), pages 279-292.
  15. Juselius, Katarina, 2006. "The Cointegrated VAR Model: Methodology and Applications," OUP Catalogue, Oxford University Press, number 9780199285679, September.
  16. Ilan Goldfajn & Sergio R.C. Werlang, 2000. "The pass-through from depreciation to inflation : a panel study," Textos para discussão 423, Department of Economics PUC-Rio (Brazil).
  17. André Minella & Paulo Springer de Freitas & Ilan Goldfajn & Marcelo Kfoury Muinhos, 2003. "Inflation Targeting in Brazil: Constructing Credibility Under Exchange Rate Volatility," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31th Brazilian Economics Meeting] b26, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:fgv:eesptd:349. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Núcleo de Computação da EPGE).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.