The exchange rate pass through to the price indices: empirical analysis for Brazil

This paper aims to examine the relationship between exchange rate and prices in Brazil from 1999 through 2012. Also presents a survey of theoretical and empirical literature highlighting the transmission channels of exchange price indexes in both the micro and macroeconomic. Empirical analysis uses time series econometric procedure through the Vector Error Correction. The main findings suggest a long-term relationship between exchange rates and domestic prices under consideration, although it is possible to note a degree of incomplete pass-through is also observed that the transfer is greater for the price index (IGPDI) with higher component prices wholesale.

本文旨在考察1999年至2012年巴西汇率与物价水平之间的关联关系。同时，本文还对相关理论与实证文献进行了系统综述，重点梳理了微观及宏观经济层面下汇率价格指数的传导渠道。实证分析采用向量误差修正（Vector Error Correction）模型开展时间序列计量经济学研究。主要研究结果显示，本文所考察的汇率与国内物价之间存在长期均衡关系；尽管研究同时发现存在一定程度的不完全汇率传递现象，且对于批发价格占比更高的物价指数（IGPDI）而言，汇率传递效应更为显著。