Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil
This paper investigates the presence of nonlinear mechanisms of the pass-through from exchange rate to inflation in Brazil. In particular, it estimates a Phillips curve with a threshold for the pass-through. The paper examines whether the short-run magnitude of the pass-through is affected by the bu...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2010 |
| País: | Brasil |
| Institución: | Fundação Getulio Vargas (FGV) |
| Repositorio: | Revista Brasileira de Economia (Online) |
| Idioma: | portugués inglés |
| OAI Identifier: | oai:ojs.periodicos.fgv.br:article/946 |
| Acceso en línea: | https://periodicos.fgv.br/rbe/article/view/946 |
| Access Level: | acceso abierto |
| Palabra clave: | Exchange Rate Pass-Through Threshold Inflation Nonlinearity Brazil. |
| Sumario: | This paper investigates the presence of nonlinear mechanisms of the pass-through from exchange rate to inflation in Brazil. In particular, it estimates a Phillips curve with a threshold for the pass-through. 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. 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. |
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