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Mecanismos Não-Lineares De Repasse Cambial: Um Modelo De Curva De Phillips Com Threshold Para O Brasil

Author

Listed:
  • Arnildo da Silva Correa
  • André Minella

Abstract

This paper investigates the presence of non-linear mechanisms of the pass- through from exchange rate to inflation in Brazil. In particular, it estimates a Phillips curve with a threshold for the passthrough. The paper examines whether the short-run magnitude of the pass-through is affected by the business cycle, direction and magnitude of the exchange rate change and volatility of the exchange rate. For that purpose, three variables are tested as thresholds: i) output gap, ii) exchange rate change, and iii) exchange rate volatility. The results indicate that the short-run pass-through is higher when the economy is booming, when the exchange rate depreciates above some threshold and when the exchange rate volatility is lower. These results have important implications for monetary policy and are possibly related to pricing-to-market behavior, menu costs of price adjustment and uncertainty about the degree of persistence in exchange rate movements.

Suggested Citation

  • Arnildo da Silva Correa & André Minella, 2005. "Mecanismos Não-Lineares De Repasse Cambial: Um Modelo De Curva De Phillips Com Threshold Para O Brasil," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] 033, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  • Handle: RePEc:anp:en2005:033
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    File URL: http://www.anpec.org.br/encontro2005/artigos/A05A033.pdf
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    Cited by:

    1. Vicente da Gama Machado & Marcelo Savino Portugal, 2014. "Phillips curve in Brazil: an unobserved components approach," Working Papers Series 354, Central Bank of Brazil, Research Department.
    2. Ferreira, Diego & Palma, Andreza Aparecida, 2015. "Forecasting Inflation with the Phillips Curve: A Dynamic Model Averaging Approach for Brazil," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 69(4), December.

    More about this item

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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