Nonlinear mechanisms of the exchange rate pass-through
A Phillips curve model with threshold for Brazil
Bibliographic Data
| ID | 3079573 |
|---|---|
| Authors | Arnildo Da Silva Correa (0000-0001-7118-5768, Central Bank of Brazil), André Minella (Central Bank of Brazil) |
| Year | 2010 |
| Volume | 64 |
| Issue | 3 |
| Publication date | 2010-09-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Revista Brasileira de Ciências Sociais (JOURNAL) |
| Journal identifiers | ISSN: 0102-6909 • E-ISSN: 1806-9053 |
| Publisher | FapUNIFESP (SciELO) (PUBLISHER) |
| DOI | 10.1590/s0034-71402010000300001 |
| OpenAlex | W2128172350 |
| SciELO | S0034-71402010000300001 |
| Language | EN |
| Citations received | 5 |
| References cited | 7 |
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
Business cycle · Econometrics · Economics · Exchange rate · Exchange-rate pass-through · Inflation (cosmology) · Inflation rate · Interest rate · Keynesian economics · Monetary economics · Monetary policy · Nonlinear system · Phillips curve · Physics · Volatility (finance) · Economic Theory and Policy · Fiscal Policy and Economic Growth · Monetary Policy and Economic Impact
Efeitos assimétricos do câmbio para a inflação
Exchange Rate Behavior in the BRICS
Dinâmica recente da inflação brasileira em ambientes distintos de expectativas forward-looking
Testing the asymmetric effects of exchange rate pass‐through in BRICS countries
Phillips curve and the exchange rate pass-through
Sample Splitting and Threshold Estimation
Instrumental Variable Estimation of a Threshold Model
Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model
Threshold effects in non-dynamic panels
Asymmetric output‐gap effects in Phillips Curve and mark‐up pricing models
Reflections on the Natural Rate Hypothesis
| Citations per year | 0.56 |
|---|---|
| Citation span | 2017 - 2025 (9) |
| Highly cited | No |