Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil

Detalhes bibliográficos
Autor(a) principal: Correa, Arnildo da Silva
Data de Publicação: 2010
Outros Autores: Minella, André
Tipo de documento: Artigo
Idioma: por
eng
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: https://periodicos.fgv.br/rbe/article/view/946
Resumo: 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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spelling Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for BrazilNonlinear Mechanisms of the Exchange Rate Pass-Through: A Phillips Curve Model with Threshold for BrazilExchange Rate Pass-ThroughThresholdInflationNonlinearityBrazil.Exchange Rate Pass-ThroughThresholdInflationNonlinearityBrazil.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.Este trabalho investiga a presença de mecanismos não-lineares de repasse cambial para a inflação no Brasil. Em particular, estima-se uma curva de Phillips com limiar (threshold) para o repasse cambial. O artigo examina se a magnitude de curto prazo do repasse é afetada pelo ciclo econômico, pela direção e magnitude da variação cambial e pela volatilidade da taxa de câmbio. Os resultados indicam que o repasse de curto prazo é maior quando a economia está em expansão, quando a taxa de câmbio se deprecia acima de certo valor e quando a volatilidade da taxa de câmbio é menor.EGV EPGE2010-09-02info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticlesArtigosapplication/pdfapplication/pdfhttps://periodicos.fgv.br/rbe/article/view/946Revista Brasileira de Economia; Vol. 64 No. 3 (2010); 231-243Revista Brasileira de Economia; v. 64 n. 3 (2010); 231-2431806-91340034-7140reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGVporenghttps://periodicos.fgv.br/rbe/article/view/946/1810https://periodicos.fgv.br/rbe/article/view/946/1811Correa, Arnildo da SilvaMinella, Andréinfo:eu-repo/semantics/openAccess2010-09-02T18:02:02Zoai:ojs.periodicos.fgv.br:article/946Revistahttps://periodicos.fgv.br/rbe/https://periodicos.fgv.br/rbe/oai||rbe@fgv.br1806-91340034-7140opendoar:2024-03-06T13:02:56.766169Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)true
dc.title.none.fl_str_mv Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil
Nonlinear Mechanisms of the Exchange Rate Pass-Through: A Phillips Curve Model with Threshold for Brazil
title Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil
spellingShingle Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil
Correa, Arnildo da Silva
Exchange Rate Pass-Through
Threshold
Inflation
Nonlinearity
Brazil.
Exchange Rate Pass-Through
Threshold
Inflation
Nonlinearity
Brazil.
title_short Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil
title_full Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil
title_fullStr Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil
title_full_unstemmed Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil
title_sort Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil
author Correa, Arnildo da Silva
author_facet Correa, Arnildo da Silva
Minella, André
author_role author
author2 Minella, André
author2_role author
dc.contributor.author.fl_str_mv Correa, Arnildo da Silva
Minella, André
dc.subject.por.fl_str_mv Exchange Rate Pass-Through
Threshold
Inflation
Nonlinearity
Brazil.
Exchange Rate Pass-Through
Threshold
Inflation
Nonlinearity
Brazil.
topic Exchange Rate Pass-Through
Threshold
Inflation
Nonlinearity
Brazil.
Exchange Rate Pass-Through
Threshold
Inflation
Nonlinearity
Brazil.
description 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.
publishDate 2010
dc.date.none.fl_str_mv 2010-09-02
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Articles
Artigos
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://periodicos.fgv.br/rbe/article/view/946
url https://periodicos.fgv.br/rbe/article/view/946
dc.language.iso.fl_str_mv por
eng
language por
eng
dc.relation.none.fl_str_mv https://periodicos.fgv.br/rbe/article/view/946/1810
https://periodicos.fgv.br/rbe/article/view/946/1811
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv EGV EPGE
publisher.none.fl_str_mv EGV EPGE
dc.source.none.fl_str_mv Revista Brasileira de Economia; Vol. 64 No. 3 (2010); 231-243
Revista Brasileira de Economia; v. 64 n. 3 (2010); 231-243
1806-9134
0034-7140
reponame:Revista Brasileira de Economia (Online)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Revista Brasileira de Economia (Online)
collection Revista Brasileira de Economia (Online)
repository.name.fl_str_mv Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)
repository.mail.fl_str_mv ||rbe@fgv.br
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