Nonlinear mechanisms of the exchange rate pass-through: a Phillips curve model with threshold for Brazil
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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| Main Authors: | , |
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| Format: | Digital revista |
| Language: | English |
| Published: |
Fundação Getúlio Vargas
2010
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| Online Access: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402010000300001 |
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