IDEAS home Printed from https://ideas.repec.org/a/aft/journl/v18spe2021specialissuep39-66.html
   My bibliography  Save this article

Exchange Rate Pass-Through To Inflation For The Brazilian Economy (2003-2019): Ardl Models

Author

Listed:
  • Flávio Vilela Vieira

    (Universidade Federal de Uberlândia (UFU))

  • Valdecy Caetano de Sousa Junior

    (Universidade Federal de Uberlândia (UFU))

Abstract

The goal of this paper is to investigate the relation between changes in the exchange rate and inflation for Brazil for the period of January 2003 to December 2019. Other than estimating the exchange rate pass-through, we investigate the existence of asymmetries. In order to achieve this goal, we estimate four linear (auto-regressive distributed lag – ARDL) and four non-linear (N-ARDL) models. The results indicated an average pass-through of 0.08% and 0.19% for the broad national consumer price index (à ndice Nacional de Preços ao Consumidor Amplo [IPCA]) and general price index/internal availability (à ndice Geral de Preços/ Disponibilidade Interna [IGP-DI]), respectively. In the non-linear models, the average pass through was 0.06% for the IPCA and 0.18% for the IGP-DI. The results indicated the presence of asymmetries between appreciations and depreciations and that the linear models tend to underestimate the exchange rate pass-through. The tests confirmed Granger’s (1969) causality for changes in the exchange rate and inflation.

Suggested Citation

  • Flávio Vilela Vieira & Valdecy Caetano de Sousa Junior, 2021. "Exchange Rate Pass-Through To Inflation For The Brazilian Economy (2003-2019): Ardl Models," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 18(spe), pages 39-66, special i.
    • Handle: RePEc:aft:journl:v:18:spe:2021:specialissue:p:39-66
    DOI: 10.5935/1808-2785/rem.v18nespp.39-66
    as

    Download full text from publisher

    File URL: http://editorarevistas.mackenzie.br/index.php/rem/article/view/14118
    Download Restriction: no
    File URL: https://libkey.io/10.5935/1808-2785/rem.v18nespp.39-66?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Exchange rate; inflation; pass through; ARDL models; NARDL models.;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aft:journl:v:18:spe:2021:specialissue:p:39-66. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Instituto Presbiteriano Mackenzie (IPM) (email available below). General contact details of provider: https://edirc.repec.org/data/fcmacbr.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.