Asymmetric cost pass‐through: SVAR analysis for Brazil under inflation targeting regime (1999-2016)

Detalhes bibliográficos
Autor(a) principal: Pimentel, Débora
Data de Publicação: 2023
Outros Autores: de Melo Modenesi, Andre
Tipo de documento: Artigo
Idioma: por
Texto Completo: https://revistas.ufrj.br/index.php/rec/article/view/62016
Resumo: The aim of this article is to empirically analyze the peculiarities of the Brazilian economy that may explain the observed low rigidity of the Extended National Consumer Price Index (IPCA). We investigated the existence of asymmetry in the transmission of prices and heterogeneity in the inflationary dynamics among different sectors of the economy, as well as evaluated the passthrough of the exchange rate, commodity index, and industrial production to consumer prices (IPCA) and producer (Price Index to the Wide Producer [IPA]). The IPCA was split into food and beverages, industrialized products, service provision, and monitored prices. Estimations were performed using symmetric and asymmetric models of Structural Autoregressive Vectors (SVAR). The results indicated that the exchange rate is the most relevant variable in the dynamics of the IPCA, followed by the commodities index. Industrial production was less relevant than external factors, including the model for industrialized products. It was noted a positive asymmetry in the exchange rate pass-through in all IPCA breakdowns. The main conclusion is that cost shocks should not be treated as mere white noises, with a zero average and that, therefore, compensate in time.
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spelling Asymmetric cost pass‐through: SVAR analysis for Brazil under inflation targeting regime (1999-2016)Transmissão assimétrica de choques de custos: uma análise SVAR para o Brasil durante as metas de inflação (1999-2016)Pimentel, Déborade Melo Modenesi, AndreThe aim of this article is to empirically analyze the peculiarities of the Brazilian economy that may explain the observed low rigidity of the Extended National Consumer Price Index (IPCA). We investigated the existence of asymmetry in the transmission of prices and heterogeneity in the inflationary dynamics among different sectors of the economy, as well as evaluated the passthrough of the exchange rate, commodity index, and industrial production to consumer prices (IPCA) and producer (Price Index to the Wide Producer [IPA]). The IPCA was split into food and beverages, industrialized products, service provision, and monitored prices. Estimations were performed using symmetric and asymmetric models of Structural Autoregressive Vectors (SVAR). The results indicated that the exchange rate is the most relevant variable in the dynamics of the IPCA, followed by the commodities index. Industrial production was less relevant than external factors, including the model for industrialized products. It was noted a positive asymmetry in the exchange rate pass-through in all IPCA breakdowns. The main conclusion is that cost shocks should not be treated as mere white noises, with a zero average and that, therefore, compensate in time.O objetivo deste artigo é analisar empiricamente as peculiaridades da economia brasileira que podem explicar a observada rigidez na baixa do Índice de Preços no Consumidor (IPCA). Investigamos a existência de assimetria na transmissão de preços e de heterogeneidade na dinâmica inflacionária entre diferentes setores da economia, bem como avaliamos o repasse da taxa de câmbio, do índice de commodities e da produção industrial aos preços ao consumidor (IPCA) e ao produtor (Índice de Preços ao Produtor Amplo [IPA]). O IPCA foi desagregado em alimentos e bebidas, industrializados, serviços e preços monitorados. As estimações foram realizadas por meio de modelos simétricos e assimétricos de Vetores Autorregressivos Estruturais (SVAR). Os resultados indicaram que a taxa de câmbio é a variável mais relevante na dinâmica do IPCA, seguido do índice de commodities. A produção industrial mostrou-se menos relevante que os fatores externos, inclusive no modelo para produtos industrializados. Foi verificada a existência de assimetria positiva no repasse cambial em todas as desagregações do IPCA. A principal conclusão é de que os choques de custos não devem ser tratados como meros ruídos brancos, com média zero e que, portanto, se compensam no tempo.IE-UFRJ2023-11-23info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArtigo avaliado pelos Paresapplication/pdfhttps://revistas.ufrj.br/index.php/rec/article/view/62016Revista de Economia Contemporânea; Rev. Econ. Contemp., v. 27, 2023Journal of Contemporary Economics; Rev. Econ. Contemp., v. 27, 20231980-5527porhttps://revistas.ufrj.br/index.php/rec/article/view/62016/39385Copyright (c) 2023 Débora Pimentel, Andre de Melo Modenesihttp://creativecommons.org/licenses/by/4.0oai:ojs.pkp.sfu.ca:article/620162023-11-24T18:31:08Z
dc.title.none.fl_str_mv Asymmetric cost pass‐through: SVAR analysis for Brazil under inflation targeting regime (1999-2016)
Transmissão assimétrica de choques de custos: uma análise SVAR para o Brasil durante as metas de inflação (1999-2016)
title Asymmetric cost pass‐through: SVAR analysis for Brazil under inflation targeting regime (1999-2016)
spellingShingle Asymmetric cost pass‐through: SVAR analysis for Brazil under inflation targeting regime (1999-2016)
Pimentel, Débora
title_short Asymmetric cost pass‐through: SVAR analysis for Brazil under inflation targeting regime (1999-2016)
title_full Asymmetric cost pass‐through: SVAR analysis for Brazil under inflation targeting regime (1999-2016)
title_fullStr Asymmetric cost pass‐through: SVAR analysis for Brazil under inflation targeting regime (1999-2016)
title_full_unstemmed Asymmetric cost pass‐through: SVAR analysis for Brazil under inflation targeting regime (1999-2016)
title_sort Asymmetric cost pass‐through: SVAR analysis for Brazil under inflation targeting regime (1999-2016)
dc.creator.none.fl_str_mv Pimentel, Débora
de Melo Modenesi, Andre
author Pimentel, Débora
author_facet Pimentel, Débora
de Melo Modenesi, Andre
author_role author
author2 de Melo Modenesi, Andre
author2_role author
description The aim of this article is to empirically analyze the peculiarities of the Brazilian economy that may explain the observed low rigidity of the Extended National Consumer Price Index (IPCA). We investigated the existence of asymmetry in the transmission of prices and heterogeneity in the inflationary dynamics among different sectors of the economy, as well as evaluated the passthrough of the exchange rate, commodity index, and industrial production to consumer prices (IPCA) and producer (Price Index to the Wide Producer [IPA]). The IPCA was split into food and beverages, industrialized products, service provision, and monitored prices. Estimations were performed using symmetric and asymmetric models of Structural Autoregressive Vectors (SVAR). The results indicated that the exchange rate is the most relevant variable in the dynamics of the IPCA, followed by the commodities index. Industrial production was less relevant than external factors, including the model for industrialized products. It was noted a positive asymmetry in the exchange rate pass-through in all IPCA breakdowns. The main conclusion is that cost shocks should not be treated as mere white noises, with a zero average and that, therefore, compensate in time.
publishDate 2023
dc.date.none.fl_str_mv 2023-11-23
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Artigo avaliado pelos Pares
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://revistas.ufrj.br/index.php/rec/article/view/62016
url https://revistas.ufrj.br/index.php/rec/article/view/62016
dc.language.none.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://revistas.ufrj.br/index.php/rec/article/view/62016/39385
dc.rights.none.fl_str_mv Copyright (c) 2023 Débora Pimentel, Andre de Melo Modenesi
http://creativecommons.org/licenses/by/4.0
rights_invalid_str_mv Copyright (c) 2023 Débora Pimentel, Andre de Melo Modenesi
http://creativecommons.org/licenses/by/4.0
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv IE-UFRJ
publisher.none.fl_str_mv IE-UFRJ
dc.source.none.fl_str_mv Revista de Economia Contemporânea; Rev. Econ. Contemp., v. 27, 2023
Journal of Contemporary Economics; Rev. Econ. Contemp., v. 27, 2023
1980-5527
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1789436683415977984

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