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Inflação, Desemprego e Choques Cambiais: Estimativas Var Para a Economia Brasileira


  • Bernardo Patta Schettini
  • Raphael Rocha Gouvea
  • Adolfo Sachsida


Este artigo estima um modelo Vetorial Autorregressivo (VAR) da curva de Phillips, com choques cambiais, para a economia brasileira. Foram estimadas várias especificações, com diferentes frequências de dados, que confirmaram a robustez dos resultados. Os resultados econométricos sugerem que: i) o impacto de um choque cambial na inflação (pass-through cambial) é de aproximadamente 0,04 ponto percentual (p.p.) na inflação do mês seguinte ao choque (ou 0,48 p.p. na inflação anualizada); ii) um choque médio na taxa de desemprego demora ao redor de 18 meses para desaparecer; iii) uma inovação de 0,058 p.p. na expectativa de inflação é carregada para a inflação, que atinge um máximo de 0,049 p.p. no mês seguinte ao choque (o que corresponde a um acréscimo na inflação anualizada de 0,58 p.p.); e iv) choques na série de inflação não afetam a taxa de desemprego, isto é, mais inflação não reduz a taxa de desemprego. We estimate a VAR model of the Phillips curve with an exchange rate shock to the Brazilian economy. Several different specifications, with different time frequencies, were estimated. Overall the results were robust to these changes, and can be summed up in the following: i) the pass-through to the next month inflation is around 0.04 percentage points (p.p.) (0.48 p.p. over the annualized inflation); ii) a shock on the unemployment rate lasts for 18 months; iii) a shock on the expectations are carried to the next month inflation (0.58 p.p. over the annualized inflation); and iv) a shock on the inflation rate has no effect over the unemployment rate. That is, more inflation does not reduce unemployment.

Suggested Citation

  • Bernardo Patta Schettini & Raphael Rocha Gouvea & Adolfo Sachsida, 2012. "Inflação, Desemprego e Choques Cambiais: Estimativas Var Para a Economia Brasileira," Discussion Papers 1694, Instituto de Pesquisa Econômica Aplicada - IPEA.
  • Handle: RePEc:ipe:ipetds:1694

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    Cited by:

    1. Moreira, Tito Belchior Silva & Souza, Geraldo Silva & Ellery, Roberto, 2013. "An Evaluation of the tolerant to higher inflation rate in the short run by the Brazilian Central Bank in the period 2001-2012," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 67(4), November.
    2. Sachsida, Adolfo, 2013. "Inflação, Desemprego e Choques Cambiais: Uma Revisão da Literatura sobre a Curva de Phillips no Brasil," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 67(4), November.

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