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O Mecanismo De Transmissão Da Taxa De Câmbio Para Índices De Preços: Uma Análise Vecm Para O Brasil

  • Osmani Teixeira de Carvalho de Guillén
  • Carlos Hamilton Vasconcelos Araújo

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.

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Paper provided by ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] in its series Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] with number 034.

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Date of creation: 2005
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Handle: RePEc:anp:en2005:034
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  13. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-95, October.
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