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: eng
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402010000300001
Resumo: This paper investigates the presence of nonlinear mechanisms of pass-through from the 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 exchange rate changes, and exchange rate volatility. The results indicate that the short-run pass-through is higher when the economy is growing faster, when the exchange rate depreciates above some threshold and when 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 BrazilExchange Rate Pass-ThroughThresholdInflationNonlinearityBrazilThis paper investigates the presence of nonlinear mechanisms of pass-through from the 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 exchange rate changes, and exchange rate volatility. The results indicate that the short-run pass-through is higher when the economy is growing faster, when the exchange rate depreciates above some threshold and when exchange rate volatility is lower.Fundação Getúlio Vargas2010-09-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402010000300001Revista Brasileira de Economia v.64 n.3 2010reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGV10.1590/S0034-71402010000300001info:eu-repo/semantics/openAccessCorrea,Arnildo da SilvaMinella,Andréeng2010-11-10T00:00:00Zoai:scielo:S0034-71402010000300001Revistahttp://bibliotecadigital.fgv.br/ojs/index.php/rbe/issue/archivehttps://old.scielo.br/oai/scielo-oai.php||rbe@fgv.br1806-91340034-7140opendoar:2010-11-10T00:00Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)false
dc.title.none.fl_str_mv 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
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
topic Exchange Rate Pass-Through
Threshold
Inflation
Nonlinearity
Brazil
description This paper investigates the presence of nonlinear mechanisms of pass-through from the 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 exchange rate changes, and exchange rate volatility. The results indicate that the short-run pass-through is higher when the economy is growing faster, when the exchange rate depreciates above some threshold and when exchange rate volatility is lower.
publishDate 2010
dc.date.none.fl_str_mv 2010-09-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402010000300001
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402010000300001
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/S0034-71402010000300001
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Fundação Getúlio Vargas
publisher.none.fl_str_mv Fundação Getúlio Vargas
dc.source.none.fl_str_mv Revista Brasileira de Economia v.64 n.3 2010
reponame:Revista Brasileira de Economia (Online)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
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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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