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Lima, Elcyon Caiado
Martinez, Thiago Sevilhano
Cerqueira, Vinícius dos Santos
Year of Publication: 
Series/Report no.: 
Texto para Discussão, Instituto de Pesquisa Econômica Aplicada (IPEA) 2072
Abstract (Translated): 
This paper investigates the effect of monetary and exchange rate shocks on disaggregated prices of the Brazilian Consumer Price Index (IPCA), from 1999 to 2011. We analyze the results of a factor-augmented vector autoregressive model (Favar), which are presented by different levels of aggregation. We estimate the model using Bayesian techniques, and construct impulse-response functions using sign restrictions over the responses of macroeconomic variables. The main results were: i) 65.9% of the surveyed prices at the sub-items level fell after a monetary shock and 50.7% rose after exchange rate's shock; ii) only 2.6% of the sub-items (weight of 1.6% of the index) showed the price puzzle for monetary shocks and 2.3% (weight of 0.5% of the index) for exchange rate shocks; iii) macroeconomic shocks are more persistent than series-specific shocks; iv) the answers are different according to the sector considered.
disaggregated prices
monetary and exchange rate shocks
Favar model
Document Type: 
Working Paper

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