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Nova Economia

versão impressa ISSN 0103-6351versão On-line ISSN 1980-5381

Resumo

STOCKL, Marcos; MOREIRA, Ricardo Ramalhete  e  GIUBERTI, Ana Carolina. The impact of commodities on Brazilian inflationary dynamics and the smoothing role of the exchange rate: evidences for the CRB Index and Commodity Index Brazil. Nova econ. [online]. 2017, vol.27, n.1, pp.173-207. ISSN 1980-5381.  http://dx.doi.org/10.1590/0103-6351/2945.

This article investigates the impacts of shocks in commodity prices, measured by the CRB and IC-Br indexes, on the inflationary dynamics in Brazil, from January 2005 to December 2013, using vector autoregressive (VAR) models. Specifically, the role of the nominal exchange rate was tested as a smoothing mechanism for inflationary effects of those shocks. The main results were the following: (i) Both indexes are robust for anticipating consumer prices changes in Brazil; (ii) the CRB index is more suitable to express the inverse correlation of commodities prices and the nominal exchange rate in Brazil; (iii) the exchange rate changes caused by shocks in commodity prices are, as expected by the literature, an important mechanism to smooth the induced inflationary pressure.

Palavras-chave : commodities prices; inflation; exchange rate; CRB; IC-Br.

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