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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
Date of revision:
Handle: RePEc:anp:en2005:034
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  1. Issler, Joao Victor & Vahid, Farshid, 2001. "Common cycles and the importance of transitory shocks to macroeconomic aggregates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 449-475, June.
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  17. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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