Estimação do impacto da variação cambial para a inflação no Brasilde 1999 a 2021

Resumo

The evolution of the exchange rate and its impacts on price variations is of significant importance for the agents of an economy, taking into account its implications for monetary policy and the consequent effects on the real economy. The present work aims to provide estimates of the exchange rate pass-through for the IPA, IGP-DI and IPCA (and their main subdivisions) indexes, for the period from August 1999 to December 2021. The approach used was the estimation of autoregressive vector models (VAR), and the respective impulse-response functions. The results obtained were a reduction in the exchange rate pass-through in the period from 2011 to 2021, compared to the period from 1999 to 2011 and to 2021. The exclusion of the period from 1999 to 2002 (greater exchange rate volatility and significant one-off devaluation of the Real) also contributed to reduce the exchange rate pass-through. In terms of magnitude, the exchange rate pass through stood at 14.3%, 13.3% and 4.3% for the IPA, IGP-DI and IPCA, respectively, after 12 months of the exchange rate shock (and comprising the entire sample period), a result similar to others obtained in the literature. Restricting the sample to the period from 2003 to 2021 reduced the pass-through to 8.4%, 9% and 1%, respectively.

Ficha do documento

Tipo

Dissertação

Ano

2022

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/31902

Temas

Economia

Palavras-chave

Pass-throughInflationExchange rateRepasse cambialInflaçãoCâmbioEconomiaPolítica monetária