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Transmissãoda Variação Cambial Para As Taxas De Inflação No Brasil: Estimação Dopass-Through Através De Modelos De Vetores Autorregressivos Estruturaiscom Correção De Erros

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  • VERIDIANA DE ANDRADE NOGUEIRA
  • ROGÉRIO MORI
  • EMERSON FERNANDES MARÇAL

Abstract

This paper estimates the transmission of exchange rate changes to price indices in Brazil using the methodology of structural autoregressive vectors (SVAR) with vector error correction (VEC). The study period begins on the introduction of the inflation targeting (June 1999) and ends in September 2011. The results support the evaluation that monetary policy has matured in recent years, with a concomitant improvement in the macroeconomic environment. Comparing our results with previous studies, we found a significant reduction in the pass-through of the exchange rate for inflation.
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Suggested Citation

  • Veridiana De Andrade Nogueira & Rogério Mori & Emerson Fernandes Marçal, 2014. "Transmissãoda Variação Cambial Para As Taxas De Inflação No Brasil: Estimação Dopass-Through Através De Modelos De Vetores Autorregressivos Estruturaiscom Correção De Erros," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 044, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    • Handle: RePEc:anp:en2012:044
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