Repasse Cambial na Economia Brasileira: Estimação a partir do modelo VCEE

Abstract

Changes in the nominal exchange rate lead to cost shocks that affect price indexes differently. The goal of this work is to estimate the degree of exchange rate pass-through for import, wholesale and consumer prices in Brazil between 2003 and 2019. We measure the degreeof exchange rate pass-through with Structural Error Correction Vector Model using statistical properties and constraints based on economic theory, incorporating long-term information into the estimation. The results indicate that the degree of exchange rate pass-through to import, wholesale and consumer prices varies respectively between 76% and 83%, between 15% and 22%, and between 9% and 22% in the long run.