Assimetria no pass-through da taxa de câmbio: evidências para o Brasil

Abstract

This paper investigates the nonlinear relationship of exchange rate pass-through to inflation for Brazil. For this purpose, we use a TVAR (Threshold Autoregressive Vector) with the variable exchange as threshold. The following variables were tested to explain the pass-through: consumer price indices (free and administered), price index for the producer, oil prices, unit labor costs, the output gap, interest rate and credibility of authority monetary, from 2000 to 2014. The results indicate the presence of nonlinearities in consumer and producer prices, a significant effect when there is exchange rate depreciation and that after the 2008 crisis there is no evidence of asymmetric pass-through. These results have implications with respect to monetary policy, which may be compared with existing structures on the market home and menu costs to price changes.