Transmissão da variação cambial para as taxas de inflação no Brasil: estimação do pass-through através de modelos de vetores autorregressivos estruturais com correção de erros

Resumo

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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