Asymmetric exchange rate pass-through: an empirical analysis for Brazil (1999-2013)

Authors

  • Débora Mesquita Pimentel Universidade Federal do Rio de Janeiro. Instituto de Economia
  • Viviane Luporini Universidade Federal do Rio de Janeiro. Instituto de Economia
  • André de Melo Modenesi Universidade Federal do Rio de Janeiro. Instituto de Economia

DOI:

https://doi.org/10.1590/0101-416146233dva

Keywords:

Inflation, Exchange rate, Pass-through, Asymmetry, Brazil

Abstract

This paper investigates a possible non-linearity in the pass-through of the exchange rate to the Brazilian consumer price index. Using a decomposition of the exchange rate series, into appreciations and depreciations, for the period of 1999-2013, the paper estimates a sequence of SVAR models with different identifying restrictions. The results are robust and indicate an important asymmetric behavior of the exchange rate pass-through in Brazil. A simple average of the estimates indicates a pass-through of 11.38% in case of depreciation, and 2.84% in the case of appreciation of the Brazilian
currency against the US Dollar.

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Published

30-06-2016

Issue

Vol. 46 No. 2 (2016)

Section

Articles

License

Copyright (c) 2016 Débora Mesquita Pimentel, Viviane Luporini, André de Melo Modenesi

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

By submitting an article, the author authorizes its publication and attests that it has not been submitted to any other journal. The original article is considered final. Articles selected for publication are proofread for grammatical and orthographic errors. The journal does not pay rights for published articles. The Institute of Economic Research from the School of Economics, Business and Accounting of the University of São Paulo (Instituto de Pesquisas Econômicas da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo) owns the journal's copyright.

How to Cite

Pimentel, D. M., Luporini, V., & Modenesi, A. de M. (2016). Asymmetric exchange rate pass-through: an empirical analysis for Brazil (1999-2013). Estudos Econômicos (São Paulo), 46(2), 343-372. https://doi.org/10.1590/0101-416146233dva